台灣期貨市場價格發現-以大台指和小台指為例

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

賴孟辰(Meng-chen Lai)

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(2011年)

摘要

兩個交易標的相同的期貨契約，可能因為交易人組成、契約規格、交易成本等等因素導致兩者的價格對新資訊反應呈現不同步的狀況，領先反應的期貨契約可以先一步將新資訊反映在價格上。本研究比較台灣期貨交易所交易之台灣股價指數期貨和台灣股價指數小型期貨對資訊反應的效率性和價格發現能力。利用價格誤差模型和相對資訊效率，發現兩者在貼近隨機漫步的程度相當；利用資訊比例模型，發現台股期貨的價格發現能力優於小型台股期貨；進一步區分交易人類型，發現使用資訊比例模型時，本國交易人在台股期貨的價格發現能力優於外國交易人，進一步分析發現本國交易人和外國交易人在台股期貨的交易量相差過遠，影響資訊比例模型的解釋能力。

關鍵字

價格發現 ； 價格誤差 ； 相對資訊效率 ； 資訊比例模型

並列摘要

Two futures contracts which have the same underlying asset do not have the simultaneous price reactions toward new information due to the differences in trader composition, contract specification, trading cost, and so on. The leading contract can reflect the new information in its price earlier. This article compares the information reaction efficiency and price discovery ability of the TX with MTX, the two important futures contracts traded in Taiwan Futures Exchange. Empirical results from pricing error model and relative information efficiency method suggest that two contracts have similar degree of random walk approximation. However, TX is shown to have better price discovery ability than MTX has. The article also finds that the local traders have better price discovery ability than foreign traders. The frequency and the trading volume of local traders are both much greater than foreign traders’, and this will decrease the explanation power of information share model.

並列關鍵字

relative information efficiency ； information share ； pricing error ； price discovery

參考文獻

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