台灣期貨對現貨市場的資訊傳遞效果分析

The Effect of Futures Introduction on Market Volatility and Information Transmission

周雨田(Ray Y. Chou) ； 李志宏(Jie-Haun Lee) ； 巫春洲(Chun-Chou Wu)

《財務金融學刊》 10卷2期 (2002/08) Pp. 1-22

https://doi.org/10.6545/JFS.2002.10(2).1

摘要

台灣期貨市場發展大致可以分為兩個階段：第一階段是開放國外期貨交易，第二階段為建立國內市場。本研究利用1995年1月至2000年12月台灣證券交易所加權股價指數日資料，針對不同的交易期間，利用一般化自我迴歸條件異質變異數模型（Generalized Autoregressive Conditional Heteroscedasticity），簡稱GARCH模型為主要分析工具。本文研究新加坡摩根台股指數期貨（SIMEX）以及台灣證券交易所加權股價指數期貨契約（現，在期貨契約未正式推出之前，千擾衝擊（innovation shocks）造成的市場波動持續較久。反之，當期貨契約推出之後，衝擊干擾因子會更快速地反應在經濟體系當中，而使體系更快地調整，進而回復到安定的狀況，亦即波動性行程變得相對更穩定。代表台股指數期貨契約的交易，有助於現貨市場資訊傳遞的功能。換言之，SIMEX及TAIFEX期貨契約的交易，確實有效地改善了台灣股票現貨市場資的傳遞效率。另外，為強化本文實證結果的推論，文中亦針對店市場的交易資料，速行對照組的分析，其結果與前述集中市場交易資料所闡述的結論一致，亦即開放期貨契約的交易，對於其標的現貨市場的資訊傳遞以及市場波動性，皆具有正面的貢獻）。

關鍵字

GARCH模型 ； 資訊傳遞假說 ； 波動性 ； 期貨市場

並列摘要

This paper provides some evidence in support of the information transmission hypothesis that the onset of SIMEX's MSCI Taiwan index futures and TAIFEX's Taiwan index futures has helped stabilize the volatility process of Taiwan's spot market. We use daily data of Taiwan's stock index from January 1995 to December 2000 to estimate a GARCH model before and after futures trading. Before futures trading, the effects of volatility shocks tended to be more persistent. After futures trading, the volatility process became more stabilized such that shocks are more quickly reflected in the system and the system reverts to its normal state relatively quicker. This is consistent with the hypothesis that the flow of information has accelerated with the opening of futures trading. In other words, Taiwan's stock market has improved its efficiency in processing market information due to trading of futures contracts in SIMEX and in TAIFEX. To check the robustness of our result , other data set was employed-the over the-counter market index . The study showed that using the over-the -counter data set revealed the consistent phenomena with using the Taiwan stock index. Namely, the introduction of futures trading on market volatility and information transmission has positive effects in the underlying asset's market efficiency.

並列關鍵字

GARCH Model ； Information Transmission Hypothesis ； Volatility ； Futures market

參考文獻

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