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不同市场条件下之期货与现货市场日内报酬动态关係 – 门槛交易策略

【中文摘要】:此篇研究目的为检视台湾市场期货与现货之日内报酬领先落后关係,研究期间为2007-2012年包含三个主要现货指数与其对应之期货商品,因台湾市场间交易成本与交易机制的落差可能造成比其他国家之金融市场更大的领先落后效果。并利用不同面相去解释领先落后效果存在的原因。分别为 (1) 市场制度的改变(e.g. 现货禁放空的限制、期货税率的降低以及期货皆是速度的增快) (2) 市场品质的影响(e.g.市场波动、成交量(成交口数)、流动性以及基差) (3) 投资人结构。最后建立依市场品质所形成的交易策略试剥削领先落后效果的存在。
本文发现期货市场领先现货市场约9-18分钟,相较于近年其他国家市场来说领先更久。而制度改变方面,现货禁放空的限制、期货税率降低以及期货揭示速度变快皆会使两市场接收资讯的能力差距扩大,导致期货领先的程度更大。市场品质方面,当期货市场波动、成交量(成交口数)及流动性越高时期货领先强度也会跟着越强,而基差会随着时间而改变其影响效果,认为当市场波动、成交量大时表示资讯的发生,而流动性高时可使资讯快速进入市场,使得两市场资讯能力产生差距。投资人结构方面,认为外资的委託与成交是最具有资讯性的,当外资的参与增加时其期货领先程度也会增强,其次是法人和散户。最后,剥削领先效果的策略只能在市场极端情况下获取获利,于平常期间此获利会被现货市场的高交易成本所稀释甚至为负。
【英文摘要】:The aim of this study is to examine the lead-lag effect between the futures and spot markets in the Taiwan financial market and three types of major indexes, over the period 2007 to 2012, using intraday data. We use different aspects to discuss the causes of lead-lag effect: (1) The changes of exchange rules (the restriction of short-selling in the spot market, tax-reduction, and speed-up information disclosure in the futures market); (2) market quality (volatility, volume, and liquidity in the futures market and basis); and (3) investors structure. Last, we establish trading strategies using market qualities to exploit the existence of lead-lag effect.
This study finds that the leading ability of the futures market in Taiwan, which is about 9-18 minutes, is stronger than in other countries. In the aspect of exchange rules, these three changes enlarge the information gap between the futures and spot markets, which makes the leading ability of futures stronger. In the aspect of market quality, the leading ability of futures is stronger when the futures market has higher volatility, volume (number of contracts), and liquidity. The effect of basis will change over time. We believe that there is more information content in the market when there is higher volatility and higher volume, and higher liquidity allows information to enter the market quickly. In the aspect of investor structure, the order and trading of foreign investors holds the most information. The leading intensity of futures strength is directly proportional with participation of foreign investors, followed by institutional investors and individuals. Last, the strategy, which is to exploit lead-lag effect, can only earn profit under extreme market conditions. In normal a market, profit will be diluted by the high transaction costs of the spot market.
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  • 来源:中山大学;作者:胡又文
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