偏態係數與樂透效應對臺指期流動性之影響

The Influence of Skewness and Lottery Effect on the Liquidity of TAIEX Futures

在本文中我們研究偏態係數與峰態係數是如何影響指數期貨的流動性。從臺灣加權指數期貨的實證結果發現偏態係數偏高時會導致買賣價差加大、交易量下降以及低流動率指標偏高。這些證據顯示當偏態係數升高時市場流動性會下降。另一方面，峰態係數對於流動性的影響則較不明確。根據我們的實證結果，我們發現峰態係數與交易量及買賣價差皆有顯著的正相關。

In this paper we study how skewness and kurtosis influence the liquidity of index futures. Evidence from Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures shows that the higher skewness leads to the wider bid-ask spread, the lower trading volume, and the higher illiquidity measure. The evidence indicates that the market liquidity is decreased when the skewness is increased. On the other hand, the influence of the kurtosis on the liquidity of index futures is unclear. Based on our empirical results, we found that the kurtosis has significant positive correlation with the trading volume and bid-ask spread.