臺灣博碩士論文加值系統

本研究探討小型台指期貨價格發現之能力，並加入台股期貨及台股現貨作為比較。研究資料涵蓋2001年4月10日至2001年12月31日的每分鐘(minute-by-minute) 日內交易資料，共48,656筆觀察值。除了以共整合模型顯示三者價格的長期共同趨勢之外，以誤差修正模型判斷三個市場價格發現能力之強弱，並輔以變異數分解及衝擊反應分析瞭解市場之間短期價格互動的關係。
實證結果發現，台指現貨、台股期貨和小型台指期貨三個市場具有長期穩定均衡關係，以及一致的長期共同趨勢。在各種模型與分類方式中，台股期貨市場之價格發現能力在三個市場中都最為顯著，不但長期關係中呈現較為主導的地位，短期動態關係中對於其他市場的影響力也較明顯。而小型台指期貨的價格發現能力則明顯遜於台股期貨，與現貨指數之價格發現能力則在伯仲之間。
小型台指價格發現能力較弱之原因，可能為交易成本偏高、市場流動性低以及參與者成熟度不足，再加上台股期貨已發揮其價格發現之功能，故使小型台指期貨在資訊揭露上相對較弱。研究結果也符合交易成本影響價格發現原因之假說，交易成本愈低的市場對於新資訊的反應愈快。

This dissertation demonstrates the price discovery of the Mini Taiwan stock index futures (MTX). It evaluates that ability compared to Taiwan stock index futures (TX) and Taiwan stock index (TS). The research covers totally 48,870 minute-to-minute transactions, dating widely from 4/10/2001 to 12/31/2001. Besides showing their long term trends for price with Cointegration Model, this research also indicate their strength for price discovery with VECM Model, and portrays the short-term price relationship between markets.
The results show that the trends and relationships between TS、 TX and MTX are long-termed, stabled and balanced. In all the modals and classifications, the prices discovery for TX is the most outstanding of the three. It dominates in the long-term relationships as well as significantly influents other market in short-term dynamic relationships. The price discovery of MTX is obviously worse than TX, and generally ties to TS.
The inferiority might originate from its high transaction cost, low market fluency, and low participant maturity. The prevalence of TX might also discourage the information of MTX from being revealed to the public. The results are also in accordance with the hypotheses that transaction cost affects price discovery. The lower the transaction cost, the faster the market reaction to new information.

第一章　緒論................................. 2
第一節　研究動機與目的....................... 2
第二節　研究方法............................. 3
第三節　小型台股指數期貨契約介紹............. 5
第四節　研究架構............................. 11
第二章　理論與文獻探討....................... 13
第一節　效率市場與價格發現................... 13
第二節　不完美市場下之價格發現............... 14
第三節　相關文獻探討......................... 18
第三章　研究方法............................. 26
第一節　單根檢定............................. 26
第二節　Johansen最大概似共整合檢定法......... 30
第三節　誤差修正模型......................... 32
第四節　向量自我迴歸模型（VAR）.............. 33
第五節　衝擊反應分析與變異數分解............. 35
第四章　實證結果分析......................... 38
第一節　實證資料說明......................... 38
第二節　實證結果............................. 39
第五章　結論與建議 ............................64
第一節　結論..................................64
第二節　研究建議............................. 65
參考文獻 .....................................66

一、中文參考文獻
黃玉絹、徐守德(1998)，「台股指數現貨與期貨市場價格動態關連性之研　　　究」，證券市場發展季刊，第九卷，第三期，頁1-28
賴瑞芬(1999)，「台股指數期貨與現貨日內價格關係之研究」，台大金融財務研究所碩士論文
王凱蒂(2000)，「台股指數期貨價格發現之探討：日內週型態」，政大財務管理研究所碩士論文
顏榮邦(2001)，「小型台指期貨上市前後市況觀察」，台灣期貨市場，第三卷，第四期，頁42-43
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