開盤前價格發現-台灣現貨、期貨、選擇權之比較分析

Abstract

本文主要探究現貨市場開盤前的價格發現過程，由於衍生性商品的發明，價格發現並非僅受單一市場影響，因此一併觀察連結相同標的之期貨與選擇權市場彼此的連動關係。研究樣本期間為2007年1月3日至2008年6月30日，共366個交易日，日內樣本頻率自每日現貨市場開放下單起至開盤後15分鐘內每分鐘資料，共49410筆觀察值。本研究在開盤前的資料樣本採用模擬撮合的方式，以開盤前的委託單試算出參考成交價，為了同時比較三個市場，本文將模擬撮合出之個股價格依當日開盤指數與在外發行股數計算出開盤前指數，撮合出之選擇權價格則依PCP關係式逆推隱含現貨價格。本研究並將日內觀察資料期間共45分鐘依照開盤順序的不同，區分成三個時段，而後將三個市場的樣本分別代入誤差修正模型與Hasbrouck市場訊息模型進行分析。 研究結果分成以下三點：第一，衍生性商品市場呈現低交易成本，高槓桿以及可直接反映整體市場資訊的優勢，結果符合交易成本假說以及過去的學術研究經驗，期貨、選擇權價格發現效率在大部分的時間高於現貨。第二，現貨開盤前的期貨與選擇權市場在價格發現過程中具有優勢，推測原因為機構投資人或訊息交易者選擇在現貨開盤前的期貨、選擇權市場預先進行避險或投機的操作。第三，各市場在開盤前的下單量皆非依時間呈均勻分布，由分析投資人的下單習慣與模擬撮合結果證實期貨、選擇權的開盤對於開盤前現貨的價格發現過程有一定的影響力。

The purpose of this paper is to observe the price discovery process in the preopening period among Spot, Futures, and Option markets. The sample period is between 3rd.Jan.2007 to 30th.Jun.2008, with totally 266 trading days. The intraday data frequency is every minute from 8:30 to 9:15 in the morning, with totally 49410 observations for the three markets. The data in the preopening period are obtained by simulated matching which are calculated through the orders in the preopening. To compare the prices from three different markets, we not only transform the simulated stock prices into index but also inference the implied spot price from the simulated option prices by Put-Call Parity. We divide the intraday data period into three subperiods according to different open timing of the markets. We then analyze the data from the three markets using VECM and Hasbrouck information share model in each subperiod. The findings of the paper could be summarized in the following points. First, the characteristics such as low transaction cost, high leverage result in the advantage for derivatives in price discovery. These findings are coherent with the trading cost hypothesis and the past researches. Next, in the second subperiod, i.e., the preopening period of spot market but opening period of derivatives market, the derivatives prices still lead the spot prices. This is probably because informed traders would like to disclose their private information as early as possible. Third, through the analysis of order behavior of investors and the result of simulated matching, we could conclude that the price discovery process of spot market in the preopening period is affected by the opening of derivatives market.