台灣期貨交易所股價指數期貨之交易量群聚與成因

Trade-size Clustering and its Determinants in the Equity Index Futures Contracts Traded on the TAIFEX

菅瑞昌(Andy Chien)；闕河士(Horace Chueh)；方怡(Yi Fang)

交易量群聚 ； 價格衝擊 ； 期貨市場 ； Trade-size Clustering ； Price Impact ； Futures Market

管理與系統

20卷1期（2013 / 01 / 01）

165 - 200

繁體中文

交易量群聚是指每筆成交量傾向集中在5與10倍數的現象。本文發現TAIFEX的台股、電子及金融三項指數期貨，明顯存在交易量群聚現象。有關交易量群聚成因之發現如下，第一，中型委託單、開盤時段和前一筆交易為倍數量交易，發生倍數量交易的可能性較大。倍數量交易會引起較大的價格衝擊，又以中型倍數量交易較為顯著。尤其在財報公告月份與開盤時段，上述現象更為明顯。這些證據可解讀為，私有資訊交易者為避免資訊洩露，刻意以中型倍數量委託單進行交易。第二，委託單數量超過最佳報價深度和價格水準越低時，越可能出現倍數量交易，此表示當交易者欲儘快完成交易時，會傾向使用倍數量交易。第三，當接近到期日時，倍數量交易會顯著減少，這可能是起因於平倉與轉倉交易者的特定部位需求。第四，當投資人情緒越趨於樂觀與看多，倍數量交易出現的機會越大，這可能是更多個人投資者加入市場所致。

Trade-size clustering means trade sizes tend to occur on multiples of 5 and 10 lots. This study finds that trade-size clustering is evident for three index futures contracts traded on TAIFEX. The main findings for determinants of trade-size clustering are as following: Firstly, rounded size trades are more likely to occur for medium-size orders, the period surrounding opening, and previous trades are rounded size trades. Additionally, rounded size trades, especially medium-size rounded trades, have higher price impact than unrounded size trades. The above phenomenon is more significant during the release of financial reports and the opening period on TAIFEX, showing that informed traders fragment their trades into medium-size rounded trades to disguise their activities and protect their information advantage. Secondly, a trade is more likely to be rounded in size when the price is low and trade size exceeds the best quoted depth. It means that traders with desire to have trades executed quickly tend to use rounded trades. Thirdly, rounded trades decrease as futures contracts approach expiration, perhaps caused by offsetting and rolling trades. Finally, rounded size trades tend to increase with investors' sentiment turning to optimism. The potential explanation is that more individuals trade when their sentiment is high.

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