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博碩士論文 etd-0613115-130044 詳細資訊
Title page for etd-0613115-130044
論文名稱
Title
市場內生回饋程度在台灣期貨市場的實證分析
Market Reflexivity: Evidence from Taiwan Futures Exchange
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
57
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2015-06-24
繳交日期
Date of Submission
2015-07-13
關鍵字
Keywords
中心性、市場反身性、條件普瓦松分配、交易網絡分析、高頻交易
Centrality, Market Reflexivity, Hawkes, Trading Network, High frequency trading
統計
Statistics
本論文已被瀏覽 5826 次,被下載 50
The thesis/dissertation has been browsed 5826 times, has been downloaded 50 times.
中文摘要
本研究參考Filimonov and Sornette (2012)所提出之作法,以Hawkes條件普瓦松分配模型衡量台灣加權股價指數近月期貨合約價格之震盪情形,實證2010年至2012年之「市場反身性」。利用事件研究法觀察反身性接近臨界值時,市場價格之走勢,並以向量自我迴歸模型觀察反身性與市場流動性、波動性及效率性之關係,嘗試建立一市場脆弱性之領先指標。最後,本研究建立台灣期貨市場的「交易網絡」,以社群網絡分析的概念建構投資人行為的代理變數,嘗試分析影響市場反身性之因素。
研究結果顯示:(1)在市場反身性突破歷史99百分位數的前後30分鐘,市場有顯著的劇烈波動,尤其是在下跌趨勢中,價格有持續探底之現象,但在上漲趨勢中,則觀察不到價格有明顯的走勢。(2)反身性為市場品質之領先指標,領先流動性與效率性約5分鐘。(3)投資人群聚行為及利用交易網絡所建構之高頻交易代理變數、市場群聚程度對反身性皆有顯著正向影響。
Abstract
Market reflexivity refers to Soros(1987) describe a phenomenon of feedback-loop interaction between investors’ action and investment environments. It has been used in criticizing efficient market hypothesis and providing another explanation of the boom and burst of stock market. However, there are few empirical studies due to the difficulty of modeling the concept of market reflexivity. In this study, we quantify the level of endogeneity of price formation process and as the “market reflexivity” of the TXF index futures of Taiwan Futures Exchange, using the methodology of Hawkes conditional Poisson model proposed in Filimonov and Sornette(2012). We first examine the price movement before and after the exceeding of a critical 99 percentile of the market reflexivity measure. To test the validity of market reflexivity as a leading indicator of market fragility, the study also observes the interaction between market reflexivity and the liquidity, volatility and efficiency of the market. Finally, to decipher the factors contributing to reflexivity, we construct the trading network of TXF and invoke the concept of social network analysis such as centrality, clustering and centralization to describe the behavior of investors and the environment of market.
Our main findings are threefold: (1) There is significant volatility before and after the exceeding of the critical threshold of market reflexivity. Specifically, further drawdown is significant in bearish market when the threshold is reached. (2) Intraday market reflexivity leads the liquidity and efficiency variables by 5 minutes. (3) Herding, high frequency trading and the clustering of market significantly positively related with the market reflexivity. Our study shows an application of market reflexivity as an indicator of market fragility which reflects the impact of herding and high frequency trading.
目次 Table of Contents
摘要 ii
ABSTRACT iii
I. INTRODUCTION 1
II. LITERATURE REVIEW 9
2.1 Market Reflexivity and Hawkes Point Process 9
2.1.1 The Market Reflexivity 9
2.1.2 The Hawkes Point Process 12
2.2 Determinants of Market Reflexivity 15
2.2.1 Herding 15
2.2.2 Electronic Trading System and High Frequency Trading 15
2.2.3 Trading Network 15
III. DATA AND CALIBRATION 17
IV. METHODOLOGY AND EMPIRICAL RESULTS 20
4.1 Market Reflexivity 20
4.2 Market Reflexivity and Market Trend 29
4.3 Market Reflexivity and Market Quality 36
4.3.1 Market Quality Measurements 36
4.3.2 The Vector Auto Regression Model (VAR) 38
4.4 Determinants of Market Reflexivity 41
4.4.1 Herding 41
4.4.2 High Frequency Trading 41
4.4.3 Trading Network Topology 42
4.4.4 Empirical results 46
V. CONCLUSION 48
REFERENCES 49
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