第五章 結論與建議
第二節 未來研究建議
本文以波動度與流動性作為衡量岃場績效的指標，並使用近似向量自我迴歸模型，
探討極短線交易提供之流動性與岃場波動度之間的因果關聯關係，以下為方便後續研 究發展的建議方向:
1. 本文以波動度與流動性兩種岃場績效指標來衡量，建議可再加入其他岃場績效指標 來衡量，例如:價格的資訊含量(informative prices) 交易成本(transaction costs)及交易 獲 程度(trading profits)等等；另外流動性等變數的衡量方式亦可依不同研究主題而 改變
2. 本文以台灣期貨岃場為例，並針對大型台股期貨進行研究，未來亦可針對波動幅度 大與交易量多的商品來做研究，比較其中的差異
3. 本文以極短線交易為主要研究對象，未來可經由條件的設定，篩選出經常使用極短 線交易之投資人，作為研究主體，並探討其交易獲得之報酬對岃場的影響
4. 未來研究方向亦可結合行為 務學，融合投資人心理層面的因素，如:過度自信及 處分效果等等，進一步分析這些因素是否影響極短線交易者的決策，進而影響其獲 或損失
45
參考文獻
1. 詹場 胡星陽(2000)， 流動性衡量方法之綜合評論 ，國家 學委員會研究彙刊:人文 及社會 學，第十一卷第三期，頁 205~221
2. 林詩舫 (2012)，投資人交易行為影響交易量與波動度關係之研究-以台灣指數期貨為例 碩士論文 台北:臺灣師範大學全球經營與策略研究所
3. Abhyankar, A., Ghosh, D., Levin, E., and Limmack, R. J. (1997). Bid-ask spreads,trading volume and volatility:Intra-day evidence from the London stock exchange. Journal of Business
Finance & Accounting, 24(3), 343-362.
4. Aitken, M., and Comerton-Forde, C. (2003). How should liquidity be measured?
Pacific-Basin Finance Journal, 11(1), 45-59.
5. Aldridge, I. (2009). High-FrequencyTrading:A Practical Guide to Algorithmic Strategies and Trading Systems:17.
6. Amihud,Y., and Mendelson,H. (1989). The effects of beta, bid‐ask spread, residual risk, and size on stock returns. Journal of Finance, 44(2), 479-486.
7. Bessembinder, H., and Seguin, P.J. (1992). Futures trading activity and stock price volatility. Journal of Finance, 47(5), 2015-2034.
8. Bessembinder, H., and Seguin, P.J. (1993).Price volatility, trading volume, and market depth: Evidence from futures markets. Journal of Financial and Quantitative Analysis, 28(1), 21-39.
9. Biais, B., Foucault, T.,and Moinas, S. (2015). Equilibrium fast trading.Journal of Financial
Economics, 116(2), 292-313.
10.Board, J., andSutcliffe, C. (1990). Information, volatility, volume and maturity: An investigation of stock index futures.Reviewof Futures Market, 19(3), 533-549.
11. Brogaard, J.(2010). High frequency trading and its impact on market quality.Working Paper.
Northwestern University Kellogg School ofManagement.
12. Brogaard, J., Hendershott, T.,and Riordan, R. (2014). Highfrequency trading and price discovery. Review of Financial Studies, 27(8), 2267-2306.
13. Carchano, O.,Lucia, J.J.,and Tornero, A.P. (2010).Open and closed positions and stock index futures volatility. Working Paper. University of Valencia.
14. Carrion, A. (2013). Very fast money: Highfrequency trading on the NASDAQ.Journal of
Financial Markets,16(4), 680-711.
46
15. Chan,C.C.,and Fong W.M. (2006). Realized volatility and transactions. Journal of Banking
& Finance, 30(7), 2063-2085.
16. Chaboud, A., Chiquoine, B., Hjalmarsson, E., and Vega, C.(2014). Rise of the machines:
Algorithmic trading in the foreign exchange market. Journal of Finance, 69(5) , 2045-2084.
17. Chen,H.C., and Wu,J.(2008). Return volatility and the intraday behavior of market liquidity withoutmarket makers: Evidence from the taiwan futuresmarket. International Research
Journal of Finance and Economics, 17, 117-128.
18. Clark, P.K. (1973). Asubordinated stochastic process modelwith finite variance for speculative prices. The Econometric Society, 41(1), 135-155.
19. Copeland, T.E. (1976). A model of asset trading under theassumption of sequential information arrival. Journal of Finance, 31(4), 1149-1168.
20. Darrat, A.F., Zhong, M., and Cheng, L.T.W. (2007). Intraday volume and volatility relations with and without public news. Journal of Banking & Finance, 31(9), 2711-2729.
21. Gallant,A.R., Rossi,P.E., and Tauchen,G. (1992). Stock prices and volume.Review of
Financial studies, 5(2), 199-242.
22. Hagstromer, B., and Norden. L. (2013). The diversity of highfrequency traders. Journal of
Financial Markets, 16(4), 741
–770.23. Harris, L. (2003). Trading and exchanges. Oxford University Press, Inc., NY.
24. Hasbrouck,J., and Schwartz,R.A. (1988). Liquidity and execution costs in equity markets.Journal of Portfolio Management, 14(3), 10-16.
25. Hasbrouck, J., and Saar, G. (2013). Lowlatency trading. Journal of FinancialMarkets, 16(4), 646-679.
26. Hendershott, T., Jones, C., and Menkveld, A. (2011). Does algorithmic tradingimprove liquidity? Journal of Finance, 66(1), 1-33.
27. Hendershott, T.,and Riordan, R. (2013). Algorithmic trading and the market for liquidity.Journal of Financial and Quantitative Analysis, 48(4), 1001-1024.
28. Hoffmann, P. (2014). A dynamic limit order market with fast and slow traders.Journal of
Financial Economics, 113(1), 156-169.
29. Jinliang,L.,and Chunchi,W. (2011). Stochastic volatility, liquidity and intraday information flow.Applied Economics Letters, 18(16), 1511-1515.
30. Jones,C.M.,Kaul,G.,and Lipson,M.L.(1994). Transactions,volume,andvolatility.
Review of Financial Studies, 7(4), 631-651.
47
31. Jovanovic,B.,and Menkveld, A. (2010). Middlemen in limit order markets,Working paper.
New York University.
32. Kawaller, I.G.,Koch, P.D.,and Peterson, J.E. (2001). Volume and volatility surrounding quarterly redesignation of the lead S&P 500 futures contract. Journal of Futures Markets, 21(12), 1119-1149.
33. Kearns, M., Kulesza, A., and Nevmyvaka, Y. (2010). Empirical limitations on high frequency trading profitability.Working paper, Universityof Pennsylvania.
34. Lee, C., and Ready, M. (1991). Inferring trading direction from intraday data. Journal
of Finance, 46(78), 733-746.
35. Lee, C., Mucklow, B., and Ready, M. (1993). Spreads, depths, and the Impact of earnings Information: An intraday analysis. Review of Financial Studies, 6(2), 345-374.
36. Lippman, S. A., and McCall, J.J. (1986). An operational measure of liquidity. American
Economic Review, 76(1), 43-55.
37. Najand, M., and Yung, K. (1991). A GARCH examination of the relationship between volume and price variability in futures markets. Journal of Futures Markets, 11(5), 613-621.
38. O’Hara, M. (1995). Market microstructure theory, Cambridge: Blackwell Publisher Inc.
39. O’Hara, M.(2003). Presidential Address: Liquidity and Price Discovery. Journal of
Finance, 58(4), 1335-1354.
40. Smirlock, M., and Starks, L. (1988). An empirical analysis of the stock price-volume relationship. Journal of Banking &Finance, 12(1), 31-41.
41. Sua, Y.C., Huangb, H.C., and Lina, S.F. (2012). Dynamic relations between order imbalance, volatility and return of top gainers. Applied Economics, 44(12), 1509-1519.
42. Viljoen, T., Joakim,W., and Zheng, H. (2014). Algorithmic trading, liquidity, andprice discovery: An intraday analysis of the SPI 200 futures. FinancialReview, 49(2), 245-270.
43. Wang, G.H.K. and Yau, J. (2000). Trading volume, bid-ask spread, and price volatility in futures markets. Journal of Futures Markets, 20(10), 943-970.
44. Zhang F. (2010). The effect of high frequency trading on stock volatility and price discovery.
Working paper, Yale University, School of Management.
45. Zwergel, B., and Heiden, S.(2014). Intraday futures patterns and volume-volatility relationships: The German evidence. Review of Managerial Science, 8(1), 29-61.