價格發現、資訊傳遞、與市場整合－台股期貨市場之研究

Market Integration, Price Discovery, and Information Transmission in Taiwan Index Futures Market

謝文良(G. Wen-Liang Hsieh)

《財務金融學刊》 10卷3期 (2002/12) Pp. 1-31

https://doi.org/10.6545/JFS.2002.10(3).1

摘要

本又以日內資料分析台灣期貨市場的價格發現功能與資訊傳遞過程，Johansen的共整合模型顯示，台股現貨與期貨的價格間存在一共同長期趨勢，兩市場形成共整合系統，就整段研究期間而言，現貨價格修正本身偏離而朝向長期均衡的態勢較明擷，表示期貨價格的主導地位較強。但是兩市場都具有雙向回饋的資訊傳遞，相互參考彼此落後期的價格而調整當期的價格變化。變異數分解和衝擊反應函數也證實兩市場的雙向影響效果，然而預測誤差變異數中包含較多來自期貨的變異，同時期貨的衝擊也對整個系統的影響較現貨衝擊深遠，證明較多及較強的資訊由期貨市場流向現貨市場，造就期貨比較明顯的價格發現功能，整體而言，台股期貨與現貨市場具有穩定的長期均衡關係，短期間的資訊交流和價格互動也十分頻繁，價格發現的差異並不影響市場整合的態勢。將研究期間分割為三期後，本文更觀察到期貨市場的主導地位在成交量放大的後兩期明顯提昇，顯示交易量與價格發現的功能存在正向關係，以及期貨市場因逐漸成熟而展現更佳的價格發現能力。

關鍵字

指數期貨 ； 台股期貨 ； 價格發現 ； 共整合 ； 資訊傳遞 ； 誤差修正模型

並列摘要

This article investigates the price discovery and information transmission between Taiwan stock index futures and the underlying spot index. Using synchronized intraday data, we find that the spot index and futures are cointegrated markets with one common stochastic trend. Although both prices contribute to the long-term equilibrium、futures prices adjust less toward the equilibrium and are more likely the dominant market. A bi-directional short-term information feedback process indicates frequent information transmission between two markets. Further analyses show that futures innovations weight more than spot innovation in explaining the forecasting error. Overall evidences suggest that futures appear to be the informational leading market. The dominant role of futures becomes more significant m periods of higher futures volume. Alt ho ugh short-term dynamics between two markets do not complete instantaneously, the frequent information transmission and bi-directional feedback effect also support the market integration between TX spot and futures.

並列關鍵字

Taiwan index futures ； price discovery ； cointegration ； information transmission ； market integratlon

參考文獻

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