Effects of Traders’ Aggressiveness on Mispricing in Futures Market

• Main Authors: Tung-Chuan Wei, 魏彤娟
• Other Authors: William T. Lin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/67266356422880184927

碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === This research uses high frequency intraday data to investigate how investors’ aggressiveness can affect mispricing in Taiwan Futures market by using Put-Call Futures Parity proposed by Tucker(1991). Firstly, in order to analyze the effects of traders’ aggressiveness on mispricing in Taiwan Futures market, I use two different liquidity variables including Orders’ Aggressiveness Index and Cost-to-Trade, the result show that mispricing is effected more by Options market than Futures market. Secondly, I separate the investors into four groups and investigate how different types of investors’ aggressiveness can result in greater mispricing. The empirical findings show that：1. The frequency of mispricing decline year by year 2. Market efficiency goes down when individuals are more aggressive 3. The effects of mispricing of institutional traders is greater than those of individuals. 4. During opening and closing hour, the liquidity provided by investors and mispricing are directly proportional.