Effects of Trader’s Aggressiveness on Efficiency in Futures Market

• Main Authors: Wei-Hao Huang, 黃偉豪
• Other Authors: William T. Lin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/39533184096386190627

碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === In this paper, we apply the method of Ekkehart Boehmer, Eric K. Kelley.(2009) to investigate the futures market efficiency to examine the impact from order aggressive of different types traders in the TAIEX futures and options market. We also discuss the impact of financial crisis how to affect the investors. After the regression analysis, this paper finds that the information transmission in the futures market is most efficiency, and then is in ITM options market, and finally is OTM options markets. We further distinguish different investors, futures dealer trading behavior will lead to a significant improvement of market liquidity, although the main market is individual investors, but there are many noise traders to decrease market efficiency. On the other hand, futures dealers not only provides liquidity, accurate order behavior promote information react on price. In the period of financial crisis, we further explore different types traders between normal market and market panic behavior whether there are differences, this study confirmed that conclusion is not subject to financial crisis.