價格發現過程-以台指期貨和小型台指期貨為例

Price Discovery Process-the Case of Taiwan Stock Index Futures and Mini Index Futures

林官賢(Guan-Hsien Lin)

指導教授 ： 徐政義

國立中央大學/管理學院/財務金融學系/碩士(2008年)

摘要

交易成本假說認為交易成本越低的市場，有助於吸引資訊交易者進場投資，進而提升該市場的價格發現能力。本文以台指期貨和小型台指期貨為研究樣本，探討此一假說在台灣期貨市場的適用性。研究結果顯示，交易成本較低的台指期貨在價格發現的過程中，扮演主要的角色，此一結果顯示交易成本假說亦適用於台灣的期貨市場。另外，實證結果也發現,推動台指期貨和小型台指期貨價格的交易人，分別為機構投資人(尤其是期貨自營商) 與散戶，顯示機構投資人具有較佳的價格發現能力。換言之，台灣期貨市場的資訊交易者，與歐美市場一樣，皆為機構投資人。

關鍵字

價格發現 ； 資訊比例模型 ； 共同因子模型 ； 加權價格貢獻

並列摘要

This article examines the trading cost hypothesis by using Taiwan stock index futures and mini index futures. Empirical results show that Taiwan stock index futures, which has a lower trading cost than mini index futures, plays a dominant role in the price discovery process. The results suggest that trading cost hypothesis is supportive in Taiwan futures market. Moreover, the empirical results also find that, the institutional investors move the price of Taiwan stock index futures more than the individual investors do. In other words, the informed traders in Taiwan futures market are institutional investors, which is consistent with the findings in the European and American financial markets.

並列關鍵字

Information shares ； Common factor weight ； Weighted price contribution ； Price discovery

參考文獻

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