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This dissertation consists of 3 essays that examine the impact of electronic screen trading in futures markets. The research provides empirical evidence on increasingly significant issues given the rapid global advances in technology used in securities markets. Each essay addresses the scarcity of conclusive research in order to aid researchers, regulators, exchange policy makers and systems builders as they confront issues related to electronic trading systems.

This dissertation consists of 3 essays that examine the impact of electronic screen trading in futures markets. The research provides empirical evidence on increasingly significant issues given the rapid global advances in technology used in securities markets. Each essay addresses the scarcity of conclusive research in order to aid researchers, regulators, exchange policy makers and systems builders as they confront issues related to electronic trading systems.

abstract: Although margin trading has significant impacts on the stock market, extant research has mainly focused on its effect on stock price volatility and has rarely examined its influence on the rate of returns. In addition, little systematic research has examined the differential effects of margin trading under different circumstances. This thesis examines the effects of margin trading in bull market, bear market, balanced market and among stocks included in main board, SMEs(small and medium-sized enterprises) board, GEM(growth enterprises board), as well as large-cap and small-cap in China. I further studied the long-, medium-, and short-term influences of margin trading on the volatility of stock price, return rate, and liquidity of the market by both using the SVAR model and conducting panel data analyses. The findings show that: a)Volatility. Margin trading can effectively curtail the medium- and short-term volatility of the share price under any market condition but has no prominent influence on long-term volatility. b)Profitability. Margin trading enhances profitability in the bull market with an apparent leverage effect while having no significant effects on short-term profitability in the balanced market and the bear market. c) Individual shares with different attributes. The influences of margin trading on the large-cap and small-cap shares, shares with high vs. low PE ratio, shares included in the main board and SMEs stocks vary in different types of market. d) Liquidity. The influences of margin trading on the fluidity of market are significantly different in the bull, bear, and balanced markets. Finally, I set up a new trading strategy based on the above conclusions. The result from hypothetical trading demonstrates that the newly-created trading strategy works better than the long-term holding strategy, highlighting the practical implications of this thesis in addition to its implications for research / Dissertation/Thesis / Doctoral Dissertation Business Administration 2018

This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. Itis established that such ETFs are unsuitable for buy-and-hold investments because of thenegative roll yield it usually suffers, caused by the slope of the VIX term structure.Consequently, these conditions create opportunities for strategies that use direct andinverse VIX ETFs to be profitable. The study is a quantitative study that uses historicalprice data to back test three different trading strategies. The strategies are tested over theperiod 11-oct-2011 to 31-mar-2020. The authors have deliberately chosen to delimit thestudy by not testing the performance of the ETFs, not statistically test the risk-adjustedreturns and not perform a regression to calculate optimal hedge ratios for the strategies.The results from this study shows that its possible for strategies that exploit the termstructure dynamics of VIX futures to generate abnormal returns.

Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. The most commonly used hedging method is delta hedging which cancels out the directional risk in the option. Hedging the vega risk with dispersion trading seems to be both a profitable and accurate hedging method. This thesis examines the effectiveness of dispersion trading for reducing the vega risk in OMXS30 options. This is investigated by backtesting a strategy based on going short OMXS30 index volatility and long volatility on a tracking portfolio with a zero net vega. This investigation aims to determine if the dispersion trading strategy can be a reliable risk management tool. It was found that vega could accurately be hedged using dispersion trading. However, when considering the bid-ask spread, the strategy did not show profitability over the simulated period. Weighting the portfolio more in favour of companies with smaller bid-ask spreads did not show improved profitability. / Sedan introduktionen av derivat på de finansiella marknaderna har volatilitetshandel dykt upp som en metod för investerare att tjäna pengar i alla marknadsförhållanden. Parallellt med introduktionen av derivat på de finansiella marknaderna har säkringsmetoder vuxit fram och är idag väsentliga instrument för de likviditetsgivare som är verksamma på marknaderna. Den vanligaste säkringsmetoden är delta säkring som tar bort den riktade risken i optionen. Att säkra vegarisken med spridningshandel tycks vara både en lönsam och pålitlig säkringsmetod. Detta examensarbete syftar till att undersöka effektiviteten av att använda en spridningshandel för att minska vegarisken i OMXS30-optioner. Metoden involverar att simulera en strategi baserad på att vara kort volatilitet i OMXS30 och lång volatilitet på en spårningsportfölj på historisk data. Genom denna undersökning strävas det efter att avgöra om strategin för spridningshandel kan vara ett tillförlitligt verktyg för riskhantering. Det visade sig att vega kunde säkras med hjälp av spridningshandel. Strategin visade sig vara lönsam under den simulerade perioden men när köp- och sälj-spreadarna i de enskilda aktieoptioner inkluderades var det inte längre lönsamt att utföra metoden. Att vikta portföljen mer till förmån för företag med mindre köp- och sälj-spread visade inte på förbättrad lönsamhet.

本文考量波動度不對稱效果(Volatility Asymmetric Effect)與均數回歸(Mean Reverting)兩個特性，並考量台股市場特性，嘗試建立一個適合台灣市場的波動度交易策略。利用GARCH(1,1)波動度與VIX指標建構第一個交易訊號，並建立當日沖銷部位。以賺取日內行情為出發點，利用時間序列模型捕捉波動度的高估或低估且搭配純跨式(Pure Straddle)策略或根據Delta調整後的跨式(Adjusted Straddle)策略。第二個交易訊號則是利用市場敏感指標，觀察外資與自營商在交易部位與未平倉部位的變化，找出對於波動度的影響。建立由選擇權與期貨組成的Delta-Hedged部位，藉由觀察市場上主力籌碼的變化，動態調整部位契約，尋找波段之間的獲利機會。 實証部分以期交所公布的每日交易資料與VIX日資料，利用2007至2008兩年的歷史資料，估計參數與測試交易訊號。樣本外期間為2009年1月開始至3月結束共55個交易日。考量交易成本後，兩個不同型態的交易訊號，仍然能夠藉由本研究的策略，獲得正的報酬。本文認為台灣為一個淺碟市場，過度反應資訊的特性，讓波動度策略出現獲利的機會。藉由這個波動度交易系統的研究，除了讓資金豐沛的機構投資人使用外，也能夠讓一般投資大眾建立自己的波動度交易策略 關鍵字:波動度交易，選擇權交易策略，GARCH(1,1)，VIX，市場情緒指標 / Trying to apply a preliminary study of volatility trading strategies in Taiwan derivative market is the topic of this dissertation. Capturing the market movement or even the dynamic of underlying asset is a Pandora’s Box for academic researchers and industry participants. Mean-reverting and asymmetrical effects are the two special characteristics of volatility for us to design our trading system according to the previous empirical studies. In our study, we use different type of volatility signal to capture the trading opportunities. Use the new released information form TAIFEX including VIX and Position Structure of Institutional Traders to design our signal. We apply the idea to use pure option position and delta-hedged position as our trading tools in this volatility trading system and look for the opportunities between realized volatility and implied volatility. An over-reaction may rises the uncertainty and also lead the market volatility change coherently. We use history data from 2007 to 2008 test our trading signal and parameters. The out sample period is from 2009 January to 2009 March which has 55 trading days to simulate our strategies. In the end, we see a positive result in both trading signals which earns positive return after considering the trading cost. Key words: Volatility Trading, Market Sentiment Indices, Option Strategies, VIX, GARCH(1,1)