| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 107 === This study examined the activities of Taiwan futures market traders who have similar trading features with high-frequency traders (HFTs) in NASDAQ and NYSE, high-frequency trading (HFT) is beneficial to futures market during normal period but detrimental to market quality during financial crisis period in Taiwan. With market quality changed, the activities of HFTs might affect other market participants in transaction costs. We further categorized HFTs as liquidity-demander and liquidity-supplier to analyze their impact. The results are consistent no matter HFTs are which type trader in a transaction, and results are identical in robustness test with varied HFTs choosing thresholds and varied samples interval as well. HFTs do alter their trading behaviors when market is volatile, and the results also strengthen previous literatures’ concern. This study also examined the impact of HFT on price efficiency. The price efficiency of trading date with high or low HFTs participation has no significant difference, it might be another evidence of HFT have no contribution in enhancing market quality. Different from previous literatures, this study firstly reports that HFT might destroy market quality when market face panic and not enhance price efficiency at the same time in documenting the HFT in Taiwan futures market. Because of the similarity between HFTs in futures market and day traders in equity in equity market, the conclusion of this study could be a guide in employing continuous auction trading system in Taiwan equity market in the future.
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