台灣指數現貨、台灣50ETF、台指期貨與小台指期貨之價格發現功能探討

Abstract

本論文以Hasbrouck (1995) 所提出的資訊分享模型 (Information Share) 為主要的研究方法，期間為2010年1月4日至2012年12月28日間的每五分鐘收盤價格之日內資料，先以單根檢定（Unit Root Test）、共整合檢定以及向量誤差修正模型(Vector Error Correction Model, VECM)去進行實證最後再使用資訊分享模型(Information Share)，來探討台灣加權指數現貨、期貨、小型期貨以及台灣50ETF之間的價格發現貢獻程度關係，最後再利用迴歸分析探討影響各個市場價格發現之因素。實證結果顯示，台指現貨、台灣50ETF、台指期貨與小台指期貨間存在共整合關係。藉由誤差修正模型得知，在長期均衡關係下，台灣50ETF價格主導能力較強，現貨價格主導能力較弱；而短期調整方面，台指現貨、台灣50ETF、台指期貨與小台指期貨間較不存在相互影響。資訊分享模型 (Information Share Model)結果顯示台股期貨最具資訊領先的能力，台股小型期貨次之，台灣50ETF與現貨是資訊領先程度較差的。採用迴歸分析探討影響價格發現能力的因子，發現外資交易比重在各個市場是最能影響價格發現能力。

Hasbrouck (1995) proposed Information Share Model as the main research method, during the period from January 4, 2010 to December 28, 2012 between five minutes of the closing price of the data, the Unit Root Test, cointegration test and vector error correction model (VECM) to the final use of information share model to explore the Taiwan weighted index spot, futures, mini futures and Taiwan 50ETF price discovery between the degree of contribution relationship, and finally the use of regression analysis to explore the impact of various market price factors, the empirical results show that Taiwan weighted index spot, futures, mini futures and Taiwan 50ETF exist a cointegration relationship. From the vector error correction model, it is found that under the long-term equilibrium relationship, Taiwan 50ETF price discovery is stronger and the spot price discovery is weaker. Information Share Model shows that futures have a better price discovery ability. Regression analysis results find that the proportion of foreign transactions factors that affect the ability of price discovery.