我國金融市場積極發展多元化與國際化，將由台灣期貨交易所推出臺指選擇權，建立選擇權市場以完備金融市場。由於選擇權市場掛牌交易契約眾多與選擇權的交易特性，因此有賴造市者發揮提供流動性、風險移轉、價格效率性及價格資訊揭露等經濟功能。本研究以造市者之功能性逐項比較我國造市者制度與EUREX、SEHK、LIFFE等各大交易所造市者制度之差異，用以發現我國首度引進的造市者制度對於選擇權市場發展的影響。 本研究為瞭解選擇權造市者營運的知識與技術，整理造市者作業循環的流程，針對造市者業務進行分工，建立起造市風險分析架構。推導得出造市風險包含造市交易風險與部位管理風險，呈現出市場波性風險、報價及交易策略風險、造市交易之市場機制風險、市場行情變動風險、遇險交易策略風險、部位管理之市場機制風險及財務與作業風險等七大類的造市風險。 本研究亦提出對於我國選擇權市場未來發展方向的關切，以及建議重視造市者利基與市場運作之關係，並提出未來與造市者相關之研究建議。 / Taiwan's financial market has been developing constructively into a globalization and multiplicity market within these years. To create a more completed financial market, Taiwan Futures Exchange (TAIFEX) will issue "the Taiwan stock index option" recently. As the complex and various features of the options trading, the option market will be successful and efficient through the market maker's economic functions, which are adding liquidity, increasing price efficiency, transferring risk and proving price information. This survey tried to compare the different functions of market maker system with TAIFEX, EUREX, SEHK and LEFFE, and to disclose the influence of the new market maker system on Taiwan's option market. This exposure takes great interest in market maker's knowledge and technology. By summarizing and classifying the operation process cycle flow of market maker, this research further organizes an analytic structure in market maker's risks. Including the market making risks and the positions management risks, the discussion demonstrates the market change risk, pricing strategy risk, limitary quoting risk, market volatility risk, hedging risk, mechanism risk, and finance and operation risk. The consequent also furnishes the concerns about the future development of Taiwan option market, emphasizing the importance of the relationship between market makers and market' benefit, and the suggestions to the further research.

世界上成功之交易所大多可以提供附廣度以及深度的商品，滿足各種投資人。若交易所提供證券、金融期貨、商品期貨、選擇權等商品以供投資人選擇，這就是附有廣度的交易所，具備完整性的市場，此外流動性也是交易所各類商品是否得以成功上市之關鍵因素之一，高度流動性可以降低交易成本，提高投資人繼續參與市場之意願，進而帶動商品後續的成長動力，這就是附有深度的市場。兼具廣度與深度性質之交易所，不僅僅能滿足各類投資人之需求，更能幫助經濟之發展。 臺灣期貨交易所（Taiwan Futures Exchange；TAIFEX）現行交易商品包括臺股期貨、電子期貨、金融期貨、小型臺指期貨、臺灣50指數期貨等等，這些商品是以金融期貨（Financial futures）為主，為了建構市場的完整性，增加市場的廣度，是有必要推出商品期貨（Commodity futures），不僅可滿足更多投資大眾之需求、促進商品現貨之避險套利活動，並且有助於市場效率。在眾多商品期貨中挑選貴重金屬期貨當成先發在目前此一環境是相當重要的，因為天然資源最大的先天限制在於蘊藏量在短期下是有限量的，再加上近幾年總體經濟面臨通膨壓力下，與通膨高度相關的黃金投資將再度成為市場上的寵兒。在這樣背景之下臺灣期貨交易所擬在2006年3月27日推出第一檔商品期貨－黃金期貨是很受肯定的，因此本論文將以黃金期貨（GDF）為例子，進一步闡釋如何為商品期貨市場建立相關的提供流動性之制度與計畫，使得市場的深度得以透過此等制度而成功建造。 在國外交易所剛推出商品期貨或者金融期貨都會面臨到流動性不足之現象，但是前者標的商品並不若後者來的具備齊一性，使商品期貨流動性的問題較金融期貨來更受重視。因此國外交易所在推出商品期貨常會順勢引入造市者制度，透過造市者在市場建立之初創造流動性，使買賣價差縮小，將有助於交易者的交易成本降低，另外遠期現貨價格也將透過高流動性逐漸反映在期貨的價格上，避險者也會有信心進場避險，如此一個成功的期貨商品才算是真正成功推出。所以造市者制度對於新期貨商品之推出是很關鍵的，尤其是對商品期貨更是如此，因此臺灣期貨交易所在推出黃金期貨時，為了樹立成功的商品期貨典範並且吸引更多投資者進入商品期貨市場交易，實有建立屬於期貨市場造市者制度之必要。 / Successful exchanges could provide both breadth and depth of financial products to fulfill investors’needs. An exchange filled with breadth indicates that it could provide many different kinds of financial products to investors. As for depth, also called liquidity, it means the ease of entering or exiting a market. Generally speaking, liquidity plays an important part and is also one of the successful keys in financial markets. Because high liquidity could reduce the transaction cost and enhance investors’interests towards the markets, it could bring the growth engine of financial products. As a result, an exchange filled with breadth and depth could not only fulfill investors’needs, but also help the development of the economy. As for Taiwan Futures Exchange (TAIFEX), until 27th March, 2006, it has already provided TAIEX futures, Taiwan 50 futures, and so on. Among these products, it is easy to tell that TAIFEX only provides financial futures but no commodity futures. Therefore, to improve the completeness and efficiency of the market, TAIFEX considers providing commodity futures so that all kinds of investors, such as speculators, hedgers, and arbitrager, could be effectively satisfied. As for the underlying assets of this commodity futures, since the price of gold has been getting higher and higher, and financial products associated with gold have also become more important, TAIFEX decided to launch gold futures on 27th March, 2006. Based on the previous background, this thesis would concentrate on illustrating how liquidity of commodity futures could be improved by executing the market maker program of gold futures. Usually, when exchanges launched new futures, most of them had difficulties in the illiquidity. Moreover, the underlying assets of commodity futures are not as identical as that of financial futures. Therefore, exchanges need to make more efforts in creating the liquidity of commodity futures. Market maker program is a good solution to this problem. Through actively trading of the market makers, it could increase market’s liquidity, reduce bid-ask spread, and further decrease the transaction cost. As a result, in order to provide successful commodity futures and attract more investors entering the markets, it is necessary for TAIFEX to adopt and design their own market maker program. To sum up, if TAIEX set a good example through gold futures, it will pave the light way for the other kinds of commodity futures.