Order Imbalance and Its Impact on Market Performance: Order‐driven vs. Quote‐driven Markets
比较台湾TAIFEX（订单驱动）和SGX-DT（报价驱动）两个股指期货市场，发现订单不平衡对价差、流动性和波动性的影响因市场机制而异，订单驱动市场更能吸收订单不平衡。
Abstract: The behavior of order imbalance and its impact on market performance at the two Taiwan stock index futures markets, the TAIFEX and the SGX‐DT, is investigated. The TAIFEX is an order‐driven call market, while the SGX‐DT uses a quote‐driven continuous trading system. Our empirical results show that for the TAIFEX order‐driven market, the spread is minimized when order imbalance is high. In contrast, for the SGX‐DT quote‐driven market, the spread is highest when order imbalance is high. For both markets, order imbalance has an impact on market liquidity and volatility. The impact is larger and more significant for SGX‐DT futures. This suggests that the order‐driven market mechanism of TAIFEX futures is superior in absorbing order imbalance and in reducing the resulting price impact.