The Relationship among Investor Behavior, Bid-Ask Spread and Volatility

• Main Authors: Peng, Szu-Wei, 彭思維
• Other Authors: 邱建良
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/01573253593387976881

碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === This article investigates the market microstructure of the Taiwan Index Futures Market by analyzing the intraday patterns of bid-ask spreads and volatility. We examine the spread-volume and volatility-volume relation in Taiwan Index Futures Market using volume data categorized by type of investor. Using a linear regression model, we find that both bid-ask spreads and volatility have crude L-shaped patterns on a minute-by-minute basis. We also find that the negative spread-volume relation is driven by the institutional investors. However, the relation between individual investors, dealers, and foreign institutional investors with volume is positive. Moreover, institutional investors and individual investors tend to be negatively associated with volatility. But there is a direct relationship between dealers and foreign institutional investors with volatility.