台灣期貨市場交易制度之變化對於交易量、買賣價差、與波動度影響

Impact of Trading Mechanism Change on Trading Volume, Spread, and Volatility: Evidence from the Taiwan Futures Exchange

本文使用結構向量自我迴歸 （structural vector autoregressive, SVAR） 模型，分 析實際的期貨市場交易資料，以探討市場的交易活動、價格波動、與交易成本之 間的動態關係，並檢視交易制度變革對於市場之交易環境與市場結構的影響。實 證結果顯示，當撮合時間間隔由20秒縮小為10秒時，台股指數期貨的價差有微幅 的增加，但波動度與交易量無顯著的變化；當撮合制度由集合競價轉變成連續競 價時，台股指數期貨的交易量上升，買賣價差增加，而波動度並未發生顯著的變 化。另一方面, 在期貨交易稅降低之後，台股指數期貨的交易量上升，買賣價差 降低，然而價格波動度無顯著變化，與 Chou and Wang （2006）之結果一致。

This study examines empirically how trading volume, bid-ask spreads, and price volatility respond to changes in the frequency of market clearing and the reduction in transaction tax in the Taiwan futures market. Using a structural vector autoregressive (SVAR) model, we study the link among trading volume, bid-ask spread, and price volatility in the market. The results show that bid-ask spread increases slightly, the volatility and trading volume remain unchanged when the clearing frequency changes from 20 seconds to 10 seconds. When the market clearing system switches from a call auction to a continuous auction, both bid-ask spread and trading volume increase, but the volatility is not affected. Moreover, consistent with Chou and Wang (2006), we observe that the trading volume rises and bid-ask spread falls following the reduction in transaction tax, whereas the volatility remains unchanged before and after the transaction tax is reduced.