現貨交易活動對期貨領先地位之影響

Abstract

文獻顯示期貨交易量增加時，期貨的價格領先地位會增加，本研究則探討現貨交易量改變是否可能導致期貨價格發現功能的改變。本研究的假說為：「標的現貨的交易活動會影響到期貨的領先地位，當標的現貨的交易活動越頻繁則期貨的領先地位會降低，反之則期貨領先地位增加」。本研究使用91年8月到92年3月共計8個月的期間中，台股指數、電子股指數、以及金融股指數的期貨與現貨的五分鐘日內資料，對本研究假說進行驗證。本研究以ECM與EGARCH模型來分析期貨與現貨的價格發現功能與波動性外溢效果，以探討標的現貨交易活動對期貨領先地位的影響。實證結果顯示，不論是使用ECM模型或是EGARCH模型，在台股指數、電子股指數及金融股指數方面，大都驗證了本研究假說下之預期實證結果。此結果支持了標的現貨的交易活動會影響到期貨領先地位的論點，當標的現貨的交易活動越頻繁則期貨的領先地位會降低，反之則期貨領先地位增加。

Past empirical results show that the increase of trading volume of futures contract will result in the increase of its leading position. This study investigates whether the change in the spot trades will have a reverse effect on the price discovery capability of futures. The study period is from 2002/8 to 2003/3, in which the relative changes in trading activities of three Taiwanese index spot and futures systems provide the necessary five-minute intraday price data to test the hypothesis. By employing ECM and EGARCH to explore the price discovery and the volatility spillover for three spot-futures systems, this article finds that, during the second study period, the leading capability of TAIEX index futures is decreased, while those of electronic index futures and financial index futures are increased. These results are coincident with the anticipations of the research hypothesis. The empirical finding supports the hypothesis that the trading activity of spot has impact on the price discovery capability of futures contracts.