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研究生:陳奕帆
研究生(外文):Yi-Fan Chen
論文名稱:期貨價格發現能力影響因素之實證研究───以臺指期貨和小型臺指期貨為例
論文名稱(外文):An Empirical Study of the Influencing Factors of Price Discovery Abilities of Futures: Evidence from Taiwan Stock Index Futures and Mini Index Futures
指導教授:郭震坤郭震坤引用關係
口試委員:李志偉李顯峰
口試日期:2014-05-21
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:60
中文關鍵詞:價格發現能力資訊比例買賣價差成交量報酬率波動率
外文關鍵詞:price discovery abilitiesinformation sharebid-ask spreadtrading volumereturn volatility
相關次數:
  • 被引用被引用:0
  • 點閱點閱:157
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:3
本研究基於Wang, Chang, and Lee(2013)之研究,採用Hasbrouck(1995)資訊比例模型,以臺指期貨和小型臺指期貨為例,借助複迴歸模型分析,討論期貨價格發現能力的影響因素。實證結果顯示,小型臺指期貨在價格發現過程中領先於臺指期貨,買賣價差與價格發現能力負相關,成交量和報酬率波動率與價格發現能力正相關。

This research applies Hasbrouck''s information share model (1995) and the multiple regression model to discuss the influencing factors of price discovery abilities of futures, based on Wang, Chang, and Lee (2013). Using the data from Taiwan Stock Index Futures and Mini Index Futures, the results show that Mini Index Futures performs better than Taiwan Stock Index Futures in the process of price discovery. Moreover, trading volume and return volatility are both positively correlated with price discovery abilities, while bid-ask spread is correlated negatively with price discovery abilities.

摘要.......................................................I
Abstract .................................................II
圖目錄.....................................................V
表目錄....................................................VI
第一章 緒論................................................1
第一節 研究背景與動機..................................1
第二節 研究目的........................................6
第三節 研究架構........................................7
第二章 文獻探討............................................8
第一節 期貨的價格發現功能..............................8
第二節 臺指期貨和小型臺指期貨的價格發現能力.....................11
第三節 價格發現能力的影響因素...................................16
第三章 研究方法.....................................................19
第一節 Hasbrouck資訊比例模型....................................19
第二節 研究期間與樣本選擇.......................................28
第三節 數據處理與實證變數之定義.................................29
第四節 研究假說.................................................33
第四章 實證分析.....................................................34
第一節 敘述統計與相關分析.......................................34
第二節 價格發現能力之實證結果與分析.............................41
第三節 價格發現能力影響因素之實證結果與分析.....................47
第五章 結論........................................................55
第一節 研究結論.................................................55
第二節 研究的局限性.............................................57
參考文獻............................................................58


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