摘要
本研究利用日內高頻的交易資料，研究台灣50市價與其成分股淨值的價格發現能力，使用Hasbrouck(1995)資訊比例的模型分析兩個價格之間價格連動性、因果關係與價格發現。將投資人區分為散戶以及法人，分別探討在有放空限制與無放空限制之下對於投資人流動性的影響。放空限制事件期分別為2008年底金融海嘯期間禁止上市上櫃股票融券賣出以及除息日前停止過戶日的前七天，禁止融券放空五天。 結果發現，金融海嘯期間放空限制成分股淨值呈現相對領先於台灣50市價，而在停止過戶日前的融券放空限制則為台灣50市價價格發現能力領先於成分股淨值。此外散戶以及法人投資人在放空限制與非放空限制兩個事件期之下，散戶的流動性有明顯的差異性，法人的流動性並無明顯差異。另外發現，價差與價格發現能力為顯著的負面影響，不論是在金融海嘯放空限制期間或是除息日前的放空限制。
並列摘要
This paper investigates the relationship between price discovery and liquidity on the Taiwan 50 ETF (TTT) and underlying stocks based on Hasbrouck (1995)`s information share model. The sample period extends from January 2, 2007 to December 31, 2010.This period is dividend into four sub-periods: the first two sub-periods are the short sale restrictions in 2008 financial tsunami and the non-constraint period. The others are short sale restrictions before ex-dividend date and not be constrained period. This paper employs the bid-ask spread as liquidity variable, the larger spread means liquidity decrease. The empirical result indicates that market value of TTT is weaker price discovery than the net asset value (NAV) of underlying stocks in short sales constraints of 2008 financial tsunami. The market value of TTT is stronger price discovery than the NAV of underlying stocks. As increase in the spread accompanies with a decrease in the information share, implying that there is a negative relationship between spread and information share. On the other hands, liquidity and information share are positive relationship.