台灣50指數期貨與台灣卓越50基金交易對台灣現貨市場之穩定性分析

Abstract

本研究主要探討衍生性金融商品交易是否會對標的市場產生不穩定的影響，我們以台灣上市股票為標的，將樣本區分為台灣50指數成分股及非台灣50指數成分股，其樣本期間涵蓋2001年1月至2004年12月。藉由將樣本分為三個子期間，並使用共變數迴歸模型和夏普指標分析台灣50指數期貨與台灣50卓越基金交易之後對現貨價格波動性與績效表現的影響。實證結果發現在引進台灣50指數期貨與台灣50卓越基金後，現貨價格波動性及績效上皆有顯著性的提升，並使台灣50指數成分股相較於非台灣50成分股有更高的波動性。根據交易量來推測，其影響主要由台灣50卓越基金所引起。

The objective of this paper is to examine whether derivatives trading leads to destabilization effects of the underlying markets. We employ Taiwan-listed stocks and partition the sample into Taiwan 50 index constituents and non-Taiwan 50 stocks. The sample period covers from January 2001 to December 2004. Subsequently, we divide the observed period into three subperiods and use a covariance regression model and the Sharpe Measure to analyze the effect of Taiwan 50 index futures and Taiwan top 50 tracker fund trading on spot price volatility and performance. The empirical results show that Taiwan 50 index futures and Taiwan top 50 tracker fund trading not only pushes the volatility to further increase, but also simultaneously advances the performance. At the same time, Taiwan 50 index constituents have a higher volatility than non-Taiwan 50 stocks. According to the trading volume, we can conjecture that Taiwan top 50 tracker fund is the chief factor.