交易持續時間與交易價格衝擊之關係

The Relationship between Time Duration and Price Impact of Trades

菅瑞昌(Andy Chien)王健聰(Jan-Chung Wang)；闕河士(Horace Chueh)

市場微結構 ； 交易持續時間 ； 資訊不對稱 ； Market Microstructure ； Trade Time Duration ； Asymmetric Information

管理與系統

16卷4期（2009 / 10 / 01）

533 - 554

繁體中文

本研究以採取電腦自動撮合制度的台灣期貨交易所爲研究對象，檢驗台股指數期貨的交易持續時間與交易價格衝擊的關係。實證發現，兩者之間存在著倒U型的非線性關係，而過去文獻卻指出，在具有造市者的報價驅動市場中，二者則具有負的線性關係。此項差異可能是起因於，電腦自動撮合市場的限價委託單交易者，無法如同造市者一般快速地調整報價。此外，實證結果也顯示，位於開收盤時段和成交量較大的交易，以及交易前較小的報價深度，都會使價格產生較大的變動。

This study examines empirically the relationship between the time duration and the price impact of trades for the TAIEX index futures traded on TAIFEX which is an electronic order-driven market. The results show that a U shape nonlinear relationship between the time duration and the price impact of trades. In contrast, the previous literature documents a negative relationship in the quote-driven market with market makers. The phenomenon may attribute to the slower adjustment of quote by limit order providers in the electronic order-driven market than by market makers. In addition, trades have a greater impact on quotes in the open and the close of a trading day. Trades with larger trading volume and smaller depth have a greater impact on quotes.

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