The Impacts of Day-Trading on TAIFEX Futures Prices

[[abstract]]本研究利用2009年1月5日至2009年10月30日台灣期貨交易所之股價指數期貨，共207個日資料，本文使用向量自我迴歸模型(VAR model)處理定態的資料，並用以測試出每日交易次數是否會影響其價格的波動性或是期貨的流動性，接著再利用Granger的因果關係檢定，檢定兩者之間是否具有因果關係。 研究結果發現，落後一期的交易次數會影響落後兩期期貨價格的波動性；此外，落後三期的交易次數的波動性和落後一期的交易量也會影響期貨價格的波動性。而Granger的因果關係檢定顯示期貨價格交易次數和交易量都會影響到波動性，但期貨價格的波動性卻不會影響期貨價格的交易次數和其交易量。[[abstract]]We examine futures' day-trading activities of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX) Day-trading accounting for over 18 percent of total volume from January 5 2009 to October 30 2009 We use minute-by-minute bivariate VAR models to test whether day-trading activity affects price volatility or liquidity The VAR model permits us to test the Granger causality between day-trading activity and volatility and that between day-trading activity and liquidity We find that volatility is affected by last two periods and is affected by last period of trading frequency Moreover volatility is affected by last three periods itself and the last period of volume Granger causality test shows that volatility trading frequency and volume are all one-way relationship Frequency and volume both affect volatility but volatility does not affect other two variable