台灣股票市場導入指數股票型基金後價格發現之研究

Abstract

本研究針對指數股票型基金(ETF)的導入期進行價格發現的先期評估。研究期間為2003年6月30日至2003年9月30日，以日內資料分析台灣期貨市場、現貨市場與指數股票型基金的價格發現功能與資訊分享的過程。Johansen的共整合模型顯示，樣本期間中台股指數期貨、台股指數現貨與ETF的價格間存在一共同長期趨勢，三者呈現共整合形式。同時根據Gonzalo and Granger (1995)的永久－暫時模型和Hasbrouck(1995)的資訊分享模型，台股指數期貨在價格發現的過程中貢獻最多，其次為ETF，最後為台股指數現貨。由於台灣的ETF市場正處於萌芽期，此結果與其他成熟市場相比，ETF領先台股指數現貨的價格發現能力並不明顯，期待在其成交量持續放大下，台灣首支指數股票型基金－TTT（寶來台灣卓越50基金，Polaris Taiwan Top 50 Tracker Fund)有增進價格發現能力的空間。

This paper investigates the price discovery and the contribution of each index-related security to the evolution of an implicit ”optimal forecast” index price in introducing Exchange Trade Fund (ETF) into Taiwan Stock Market: the index futures, spot index, and ETF. Using matched synchronized intra-day trading data, we find that the index future, spot index and ETF are cointegrated markets with one common stochastic trend. Two well-known common factor models, the permanent-transitory model proposed by Gonzalo and Granger (1995) and the information share model proposed by Hasbrouck (1995) are used to measure the contribution of these markets to price discovery process. This study uses TEJ intra-day data from June 30, 2003 through September 30, 2003. In both models, we find that the index future contributes the most to the price discovery process. ETF has more contribution to the price discovery process than the spot index has, but the contributions of spot index and ETF are not significance.