盤後交易制度對台股指數期貨與現貨及海外指數期貨之影響

過去台灣期貨市場的投資人要規避隔夜風險時，只能選擇海外商品的新加坡摩台電子盤，或是歐洲交易所的歐台指，方可進行盤後交易。但在去(2017)年5月15日之後，台灣期交所的盤後交易新制上路，提供了另外一種避險商品的選擇。本文旨在比較在「台指盤後交易制度」上路前後，三種期貨商品之間的連動關係，透過相關的計量分析方法，本文發現到小S&P、摩台電子盤與台指盤後盤，三種期貨指數商品之間並不具備共整合關係，也就是不存在長期均衡關係。而利用Granger 的因果檢定，也可以看出這三者並不具備因果關係。另外關於期貨夜盤制度對於現貨與期貨日盤的波動度影響，本研究發現到以加權指數和期貨日盤的開盤後第一個15分鐘與第一個30分鐘作為取樣，則期貨夜盤的收盤報酬率對於白天兩個交易市場都是具有顯著負相關的影響。這代表期貨夜盤收跌將會引發期貨與現貨兩個市場的波動度增加，而當夜盤收漲後，期貨日盤與加權指數的開盤波動反而會縮減。

關鍵字

盤後交易制度；市場波動度；期貨市場；現貨市場

並列摘要

To provide investors with more diverse hedging instruments and more trading opportunities, TAIFEX launches after-hours trading session after regular trading session from 15 May 2017. The after-hours trading session will trade until 5 o’clock the next morning. Base on the new trading session, the market volatility of the Taiwan future market and stock index market, which should be affected by the after-hours session. This paper analyzes the dynamic relationship between the intra-day volatility and liquidity for periods before and after the introduction of the continuous auction in Taiwan futures market. We find the volatility of the first 15 and 30 mins of Taiwan futures and Stock index market would be higher, after the market of the after-hours session had been lower; on the other way, the volatility would not be changed if the after-hours session had been higher in the morning. Further, we employ Granger causality test to examine the causal relationship between the price return of TAIFEX after-hours trading session and the Taiwan Index Future in SGX (Singapore Exchange Limited). The results show that for the hourly interval, there is no causal relationship between the two market price return.