盤後交易對期貨開盤交易活動之影響

The Effect of After-Hours Trading on Futures Trades Surrounding Market Opening

臺灣期貨交易所於2017年5月15日推出盤後交易機制，本研究利用此一外生事件來檢測盤後交易對於期貨開盤交易活動之影響。本研究發現經過了整夜的盤後交易，隔日的期貨開盤波動性顯著降低，表示無交易時段的縮短可增加價格序列之連續性，的確有助於交易人對於價格之評估，使得期貨交易價格風險隨之下降。研究結果亦顯示，盤後交易使開盤波動性降低的效果，尤其顯著發生在非交易日過後的首個交易日。然而，由於盤後交易之替代效果，使得期貨開盤之成交量較先前降低，在交易需求較低時情況下，有可能使得掛單量下降，亦即市場深度不足，造成在現貨開盤前期貨交易偶發之流動性稀缺，此現象值得政策主管機關關注並研擬相關配套措施。

The Taiwan Futures Exchange introduced an after-hours trading mechanism on May 15, 2017, which provided a convenient way to manage positions. We use this exogenous event to investigate the effect of afterhours trading on futures trades surrounding market opening. The availability of overnight trading reduces the volatility of futures trades during pre-open session of the next day. This finding suggests that an abundant sequence of recent transaction prices due to a decrease in non-trading period helps traders infer the current value of a financial asset. Results also show that the reduction in volatility of pre-open futures prices is more pronounced after a weekend or holidays. Although after-hours trading improves the inference about futures price changes, the decline in trading volume deserves a notion for policymakers that a sudden scarcity of liquidity may occur in the futures market during the session before the spot market opens.