The Impact of Frequent Trading on Futures Market Liquidity

• Main Authors: Hsun-Hao Hsiao, 蕭勛豪
• Other Authors: Tsalm-Hsiang Lin
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/93903158145278234545

碩士 === 淡江大學 === 財務金融學系碩士班 === 103 === This paper investigates about the impact of Frequent Trading on futures market liquidity by examining the model which developed by Hendershott, Jones and Menkveld (2011) on Taiwan futures market. To define the Frequent Trading, this paper measured the time gap between order and order to classify Frequent Trading behavior, and measured the futures market liquidity by the best bid and ask spread. Deeply, we separated investors into frequent type and non-frequent type, and provided the analysis of how market factor effect on all type investor’s liquidity provision. 　　Empirical result shows that frequent trading is significantly improve futures market liquidity, and especially in frequent trading type of foreign institutions、frequent trading type of dealers and frequent trading type of individual investors. On the other hand, non-frequent trading type of investors are all significantly reduce futures market liquidity. Furthermore, this paper analysis liquidity into liquidity supply and liquidity demand throw all types investors, it shows that frequent trading type of dealers would have a strong liquidity demand in high market volatility, and frequent trading type of institutional investors tend to demand liquidity in high order imbalance.