多頭市場與空頭市場價格發現過程與資訊傳遞現象研究-以台灣股票市場為例

Price Discovery and Information Transmission between Bull Market and Bear Market-Evidence from Taiwan Stock Market

劉國安(Kuo-An Liu)

指導教授 ： 吳建臺

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2011年)

摘要

本文以臺股指數期貨、小型臺指期貨、臺指現貨，電子期貨、電子現貨，金融期貨、金融現貨為研究標的，探討市場間的價格發現功能，並驗證市場上在多頭走勢與空頭走勢對標的物的價格發現是否有明顯的不同。本研究期間為2006年1月至2008年6月，研究樣本將分為兩個子期間，樣本期間2006年1月至2007年10月為多頭走勢，2007年11月至2008年6月為空頭走勢，總共有615個交易日，多頭市場共有為452個交易日，空頭市場共有163個交易日，採用每個交易日的期貨與現貨日內資料作為觀察值。本研究採用Hasbrouck所提出的資訊份額模型為主要研究方法，來探討台灣股價指數現貨與股價指數期貨市場價格發現過程中的傳遞關係。實證結果顯示，在臺指期貨資訊比例為93.86%，臺指現貨的資訊比例為9.94%，電子期貨資訊比例為63.14%，電子現貨則為36.86%，金融期貨資訊比例為61.11%，金融現貨資訊比例則為38.89%，故本文發現期貨市場是領先現貨市場。而在區分市場條件之下，在多頭市場中，臺股指數期貨依然居於領先小型臺股指數期貨與臺股指數現貨(57.73%>35.72%>9.95%)，而在空頭市場中，臺股指數期貨依舊領先小型臺股指數期貨與臺股指數現貨(51.90%>43.09%>9.91%)。而電子指數方面，在多頭市場中的資訊比例差異為24.14%(62.07>37.93%)，而在空頭市場中資訊比例差異為32.18%(66.09%>33.91%)。金融期貨在多頭市場中領先金融現貨資訊比例為22.08%(61.04%>38.96%)，而在空頭市場中，金融期貨領先金融現貨資訊比例為22.62%(61.31%>38.69%)。我們觀察出空頭市場的資訊比例的差異幅度大於多頭市場資訊比例，其原因可能是現貨市場對於放空限制較為嚴格，造成空頭市場價格發現能力較高，使投資者更喜歡在期貨市場做價格的反應。

關鍵字

價格發現 ； 多頭市場 ； 空頭市場 ； 資訊份額模型

並列摘要

In this paper, stock index futures, small TAIEX, stock index, electronic futures, electronic spot, financial futures, financial spot to study the subject of inter-market price discovery and validation in the bull market trend and the trend of short Price discovery is the subject matter is obviously different. The period from January 2006 to June 2008, the study sample will be divided into two sub-period, the sample period January 2006 to October 2007 as the bull run, from November 2007 to June 2008 as the bear trend A total of 615 trading days, a total of 452 trading days bull market, bear market, a total of 163 trading days, with each trading day of futures and spot data as observations. In this study, Hasbrouck information share model proposed by for the main research method to explore the Taiwan stock index stock index spot and futures market price discovery process of the transfer relations. The empirical results show that the ratio of information in the TAIEX 93.86%, TAIEX spot ratio of 9.94%, electronic futures information for the 63.14 percent ratio, electronic spot, compared with 36.86%, financial futures, the proportion of 61.11% of information, financial stock information ratio is 38.89%, it is found that the futures market leading the spot market. Under market conditions in the distinction, in a bull market, stock index futures remained a leading small TAIEX and Stock (57.73%> 35.72%> 9.95%), and in the bear market, stock index futures are still leading a small stock index futures and spot (51.90%> 43.09%> 9.91%). The electronic index, the information in a bull market The difference, 24.14% (62.07> 37.93%), while the proportion in the bear market information for the 32.18% difference (66.09%> 33.91%). Financial futures in the leading financial stock bull market compared to 22.08% of information (61.04%> 38.96%), and in the bear market, financial futures and stock information leading financial ratio of 22.62% (61.31%> 38.69%). We observed the bear market of information between the proportion of larger than the proportion of bull market information, the reason may be the spot market for short sales restrictions are more stringent, resulting in a higher price discovery bear market, investors prefer to do in the futures market price reaction.

並列關鍵字

Price Discovery ； Bull Market ； Bear Market ； Information Share Model

參考文獻

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