摩臺期電子盤與歐臺期價格領先落後之研究

Abstract

本文探討歐臺期及摩臺期電子盤兩者價格的領先落後關係。歐臺期從2014年5月開始交易以來，交易量雖有相當顯著的成長，交易型態卻仍屬較被動，造市商及投資人在報價或交易歐臺期時通常是先參考了摩臺期的價格，因此猜測摩臺期的價格較領先。本文使用2015/11/6~2016/4/30六個月共108個工作日點的日內五分鐘資料，先利用單跟檢定確定了兩個期貨的報酬序列皆為定態序列後，使用AIC標準選定最適落後期為6期，最後用VAR及Granger 因果關係檢定探討兩者之間的領先落後關係。Granger 因果關係檢定的結果顯示歐臺期及摩臺期彼此互相影響。VAR的結果顯示摩臺期落後項對歐臺期的影響可達6期，也就是30分鐘；而歐臺期落後項雖對摩臺期也有影響，但時間較短，為2期(10分鐘)。研究的結果與一開始的假設一致，即摩臺期應領先於歐臺期。

This paper examines the lead-lag relationship between Daily Futures on Taiex Futures (FTX) and after-hour MSCI Taiwan Index Futures (STW). Though FTX trading has grown significantly from May 2014, participants are not as active as they are during daytime and most of the time they price FTX using STW as reference price. Hence this study hypothesizes that STW leads FTX. Five-minute intraday data from 2015/11/6 to 2016/4/30 is used with testing methodologies including ADF unit root test, AIC lag selection, VAR model, and Granger Causality test. Result of Granger Causality test shows that they both granger cause each other and the result of VAR model shows that STW could lead FTX by 30 minutes while the effect of FTX could only last around 10 minutes. Results are consistent with the hypothesis, which indicates that STW leads FTX.