一般期貨、小型期貨與現貨市場價格發現過程與資訊傳遞現象 研究－以臺灣股價指數市場為例

Price Discovery and Information Transmission between Regular、Mini futures and Underlying spot market－Research in Taiwan Stock Index Market

黃昱超(Yu-Chao Huang)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00112

摘要

本研究使用 Hasbrouck（1995）所提出的資訊比例市場微結構模型，探討臺股期貨契約、小型台指期貨契約以及臺股現貨三者之間的價格發現過程與資訊傳遞現象。研究期間為2004年7月1日至2004年12月31日，共127個交易日，採用各交易日的期貨與現貨的高頻率每一分鐘或每一秒鐘的日內資料為觀察值來進行分析。利用Johansen的共整合檢定發現，臺股期貨契約、小型台指期貨契約以及臺股現貨三價格之間存在一共同長期趨勢，三市場形成共整合系統。實證結果顯示：臺股期貨於價格發現過程中居於主導地位，小型台指期貨次之，臺股現貨最後。在指數期貨市場與現貨市場之間，造成臺股期貨價格領先的因素可能是證券特性、財務槓桿、市場流通性、市場摩擦等；此外，在一般期貨契約與小型期貨契約方面，由於契約設計與交易環境相似，造成臺股期貨契約價格領先優勢的可能原因包含：較低的交易成本、較高的相對流通性以及較多的機構法人利用此契約進行交易，本文實證結果發現臺股期貨居於資訊主導地位並無異於上述理論。

關鍵字

價格發現 ； 市場微結構模型 ； 資訊比例

並列摘要

This paper examines the price discovery process and information transmission between Taiwan stock index futures contracts、Mini Taiwan index futures contracts and underlying spot index, using a modification of Hasbrouck’s （1995）”information share” market microstructure model. The data is collected from July 1, 2004 to December 31, 2004, and we use 1-minute resolution or 1-second resolution as intraday transaction data. we find out that these three markets are co-integrated markets with one common stochastic trend. Empirical results show price discovery appears to be initiated in Taiwan stock index futures market, Mini Taiwan index futures market is the second, and spot index market is the last. In index futures and underlying spot index market, price discovery across Taiwan stock index futures market is related to security property, leverage, transaction cost, liquidity, market friction etc.. In addition, between regular and mini futures market, due to similar market design and trading environment, important advantages of regular futures market that leads to significant improvements in price discovery process may include lower transaction cost, higher liquidity, and more institution investor trading. Our results are consistent with theoretical argument that a dominant informational role for Taiwan stock index futures market.

並列關鍵字

Price discovery ； Market microstructure model ； Information share

參考文獻

3. 謝文良，2002，價格發現、資訊傳遞、與市場整合-台股期貨市場之研究，財務金融學刊，第十卷第三期，頁1~31。

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