選擇權市場避險壓力對期貨市場委託單修正的影響

Option Hedging Pressure Effect on Order Revision in the Futures Market

This study examines whether the option hedging pressure of market makers has a substantial effect on traders' decisions to revise and cancel limit orders in the futures market. Using a full limit order book of futures market, we find that hedging pressure stemming from option market makers helps explain traders' order placement behaviours in the futures market. Large hedging pressure stimulates order cancellation and revision activity in the futures market. In fact, increased cancellation and revision orders driven by option hedging pressure stem not only from aggressive limit orders but also from least aggressive limit orders in the limit order book of the futures market. Our result provides support for the feedback effect of dynamic hedging on the futures market. In addition, we find that the effect of option hedging pressure becomes stronger when the option market is in a period of illiquidity, high volatility, or financial crisis, such as the 2007-2008 financial crisis. 本文探討是否選擇權市場造市者（market makers）的避險壓力會影響期貨市場投資人委託單取消與修正（order revision）的行為。使用台灣指數期貨市場委託簿的資料分析，本文發現選擇權市場造市者的避險壓力可以幫助解釋期貨市場投資人下單策略的行為。當市場出現較強的造市者避險壓力時，將會增加期貨市場委託單刪除與委託單修正之活動，事實上，大的造市者避險壓力除了使期貨市場委託簿中較積極委託單之委託單取消與修正增加外，亦會造成較不積極委託單出現委託單取消與修正增加，而此一結果亦提供證據支持選擇權動態避險對期貨市場的回饋效果。除此之外，本文發現當選擇權市場缺乏流動性或具有較大的波動期間或是在2007－2008金融危機期間，選擇權避險壓力對期貨市場委託單刪除與修正的效果將變得更強。