市場間交易資訊流動之探討－以台灣及新加坡期貨市場為例

The International Transmission of Information between SIMEX and TAIFEX

張紹基(Shao-Chi Chang) ； 王振宇(Chen-Yu Wang)

《Asia Pacific Management Review》 5卷4期 (2000/12) Pp. 423-433

https://doi.org/10.6126/APMR.2000.5.4.03

摘要

金融市場間互動性的探討與資訊傳遞的機制，一直是許多學者研究的焦點。以往的文獻指出市場間交易資訊流動方向受到了交易成本、交易系統及是否為交易標的物所在國的影響。就地理位置接近、交易標的物類似的台灣「台股指數期貨」與新加坡「摩根台股指數期貨」而言，兩市場間的互動關係，對資訊流動過程，提供另一驗證機會。台灣是台股指數期貨的資訊產生地，但交易成本較新加坡高，加上兩個市場的交易系統不同，在這些市場特性下，資訊的傳遞方向究竟為何，是本篇研究的重點。研究中收集1998/11/17～1999/1/18期間內的台股指數期貨與摩根台股指數期貨每五分鐘收盤價資料，來探討台股指數與摩根台股指數彼此間的領先、落後關係。實證結果發現，台股指數期貨與摩根台股指數期貨，彼此存在高度的相關性。就兩市場的共同交易時間而言，台股指數期貨的波動與摩根台般指數期貨的波動，兩者存在相互領先、落後的關係，在資訊傳遞上，並無所謂「資訊優勢」的市場存在。而在非共同交易時間內，兩市場的隔夜報酬彼此間即存在高度的相關性，而對摩根台股指數期貨隔夜報酬所揭露的訊息，台股指數期貨大部份能在開盤的五分鐘內反應完畢。

關鍵字

資訊傳遞 ； 台股指數期貨 ； 摩根台股指數期貨

並列摘要

The mechanism of information flow between international financial markets has received much attention recently. Previous studies suggested that the direction of informational flow is influenced by transaction cost, trading mechanism and the location of the underlying assets. This study is to investigate the direction of information transmission between Taiwan and Singapore future markets, where future contracts with extremely similar underlying assets are traded. The empirical results show that there exists a bi-directional causal relationship between two future markets during the common trading hours. There is no single market that dominates the production of market information. The lead-lag relationship, however, does not provide any arbitrage opportunity after considering transaction costs. The overnight returns of those two markets are found to be highly correlated. The evidence also shows that the influence of overnight return at Singapore markets on returns at Taiwan market is fully reflected within five-minute period.

並列關鍵字

information flow ； SIMEX ； TAIFEX

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