台灣期貨對現貨市場的資訊傳遞效果分析

The Effect of Futures Introduction on Market Volatility and Information Transmission

10.6545/JFS.2002.10(2).1

周雨田(Ray Y. Chou)；李志宏(Jie-Haun Lee)；巫春洲(Chun-Chou Wu)

GARCH模型 ； 資訊傳遞假說 ； 波動性 ； 期貨市場 ； GARCH Model ； Information Transmission Hypothesis ； Volatility ； Futures market

財務金融學刊

10卷2期（2002 / 08 / 31）

1 - 22

繁體中文

台灣期貨市場發展大致可以分為兩個階段：第一階段是開放國外期貨交易，第二階段為建立國內市場。本研究利用1995年1月至2000年12月台灣證券交易所加權股價指數日資料，針對不同的交易期間，利用一般化自我迴歸條件異質變異數模型（Generalized Autoregressive Conditional Heteroscedasticity），簡稱GARCH模型為主要分析工具。本文研究新加坡摩根台股指數期貨（SIMEX）以及台灣證券交易所加權股價指數期貨契約（現，在期貨契約未正式推出之前，千擾衝擊（innovation shocks）造成的市場波動持續較久。反之，當期貨契約推出之後，衝擊干擾因子會更快速地反應在經濟體系當中，而使體系更快地調整，進而回復到安定的狀況，亦即波動性行程變得相對更穩定。代表台股指數期貨契約的交易，有助於現貨市場資訊傳遞的功能。換言之，SIMEX及TAIFEX期貨契約的交易，確實有效地改善了台灣股票現貨市場資的傳遞效率。另外，為強化本文實證結果的推論，文中亦針對店市場的交易資料，速行對照組的分析，其結果與前述集中市場交易資料所闡述的結論一致，亦即開放期貨契約的交易，對於其標的現貨市場的資訊傳遞以及市場波動性，皆具有正面的貢獻）。

This paper provides some evidence in support of the information transmission hypothesis that the onset of SIMEX's MSCI Taiwan index futures and TAIFEX's Taiwan index futures has helped stabilize the volatility process of Taiwan's spot market. We use daily data of Taiwan's stock index from January 1995 to December 2000 to estimate a GARCH model before and after futures trading. Before futures trading, the effects of volatility shocks tended to be more persistent. After futures trading, the volatility process became more stabilized such that shocks are more quickly reflected in the system and the system reverts to its normal state relatively quicker. This is consistent with the hypothesis that the flow of information has accelerated with the opening of futures trading. In other words, Taiwan's stock market has improved its efficiency in processing market information due to trading of futures contracts in SIMEX and in TAIFEX. To check the robustness of our result , other data set was employed-the over the-counter market index . The study showed that using the over-the -counter data set revealed the consistent phenomena with using the Taiwan stock index. Namely, the introduction of futures trading on market volatility and information transmission has positive effects in the underlying asset's market efficiency.

1. Aggarwal, R.(1988).Stock Index Futures and Cash Market Volatility.Review of Futures Markets,7
2. Antoniou, A.,Holmes, P.(1995).Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH.Journal of Banking and Finance,19
3. Bollerslev, T.(1986).Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics,31(3)
4. Bollerslev, T.,周雨田 Chou, Ray Yeu-Tien,Kroner, K. F.(1992).ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.Journal of Econometrics,52(1/ 2)
5. Brady Commission(1988).Report of the Presidential Task Force on Market Mechanisms.Washington, DC:US Government Printing Office.
6. Chang, Eric,周雨田 Chou, Ray Yeu-Tien,Nelling, E.(2000).Market Volatility and the Demand for Hedging in Stock Index Futures.Journal of Futures Markets,20(2)
7. Cox, C. C.(1976).Futures Trading and Market Information.Journal of Political Economy,84
8. Edwards, F. R.(1988).Does Futures Trading Increase Stock Market Volatility?.Financial Analysts Journal,44
9. Edwards, F. R.(1988).Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures.The Journal of Futures Markets,8(4)
10. Figlewski, S.(1981).Futures Trading and Volatility in the GNMA Market.The Journal of Finance,36(2)
11. Karpoff, J. M.(1987).The Relation Between Price Changes and Trading Volume: A Survey.Journal of Financial and Quantitative Analysis,22(1)
12. Ljung, G. M.,Box, G. E. P.(1978).On a Measure of Lack of Fit in Time Series Models.Biometrika,65(2)
13. Maddala, G. S.,Yoo, J.(1991).Risk Premia and Price Volatility in Futures Markets.Journal of Futures Markets,April
14. Merton, R. C.(1995).Financial Innovation and the Management and Regulation of Financial Institutions.Journal of Banking and Finance,19
15. Moriarty, E. J.,Tosini, P. A.(1985).Futures Trading and the Price Volatility of GNMA Certificates-Further Evidence.Journal of Futures Markets,5
16. Odean, T.(1998).Volume, Volatility, Price, and Profit When All Traders Are Above Average.Journal of Finance,53(6)
17. O''Hara, Maureen(1995).Market Microstructure Theory.Blackwell Publishers Inc..
18. Parkinson, M.(1980).The extreme value method for estimating the variance of the rate of return.Journal of Business,53
19. Poterba, J.,Summers, L.(1986).The persistence of volatility and stock market fluctuations.American Economic Review,76
20. Robinson, G.(1994).The Effects of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange.Review of Futures Markets,13
21. Ross, S. A.(1989).Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy.Journal of Finance,44
22. Simpson, W. G.,Ireland, T. C.(1982).The Effect of Futures Trading on the Price Volatility of GNMA Securities.Journal of Futures Markets,2
23. Tsai, L. J.,Yeh, Y. H.(1996).5th Conference on the Theories and Practices of Securities and Financial Market.
24. Wiggins, J. B.(1991).Empirical tests of the bias and efficiency of the extreme-value variance estimator for common stocks.Journal of Business,64
25. 周雨田 Chou, Ray Yeu-Tien(1988).Volatility persistence and stock valuations: Some empirical evidence using GARCH.Journal of Applied Econometrics,52(1/ 2)
26. 蔡麗茹 Tsai, Li-Ju、郭福欽 Kuo, Fu-Ching(1997)。臺灣股票報酬率波動之不對稱性、假日效果之研究－不對稱性P-GARCH模型實證應用 The Asymmetry and Periodicity of Taiwan stock return volatility: Applications of Asymmetric Periodic-GARCH Model。台灣經濟學會年會論文集 Taiwan Economic Association Annual Conference Proceedings，1997

1. Wang, Yu-Min,Lu, Su-Lien(2005).Impact of the Introduction of Futures Trading on the Volatility in Taiwan Stock Market.Asia Pacific Management Review(亞太管理評論),10(4),233-241.
2. 蔡垂君、李存修(2004)。近月台股期貨在交易、非交易、以及跨越交易與非交易期間之訊息傳遞實證—價格發現與價格波動率內涵。財務金融學刊，12(1)，53-86。
3. 陳達新、周恆志、巫春洲(2007)。Gram-Charlier GARCH選擇權演算法的評價與避險績效。管理與系統，14(1)，95-119。
4. 范家銘、周恆志、巫春洲、王錦瑩(2008)。變幅EGARCH模型預測能力之實證研究。財務金融學刊，16(3)，173-207。
5. 黃劭彥、陳隆麒、陳雪如、王睦舜(2005)。台、美、韓三地半導體指數向量自我迴歸與EGARCH之研究。文大商管學報，10(2)，49-83。
6. 李明德(2015)。公司治理、全球金融風暴和公司舉債：董事會規模對舉債有影響嗎？。輔仁管理評論，15(2)，25-47。
7. 林卓民、王凱立、王美智(2010)。總體經濟因素與資訊傳遞效果於美國與台灣債券市場動態過程之研究。管理與系統，17(4)，611-636。
8. 王健聰(2006)。台股指數期貨避險—存續期間效果、到期效果與穩定性之研究。經濟研究，42(2)，209-244。
9. 魏慧珊、歐仁和、黃志偉、張傳章(2016)。臺灣財務領域研究之回顧與展望。管理學報，33(1)，105-137。
10. 葉仕國、張森林、林丙輝(2017)。台灣衍生性金融商品市場實證與運用研究文獻回顧與展望。臺大管理論叢，27(2)，211-258。
11. 詹錦宏、施介人(2005)。台股指數現貨、期貨與選擇權價格發現之研究。臺灣金融財務季刊，6(1)，31-51。
12. (2005)。台股指數現貨、期貨與選擇權價格發現之研究。臺灣金融財務季刊，6(1)，31-51。
13. (2005)。台灣母公司股票報酬與其ADR報酬間資訊傳遞之研究。東吳經濟商學學報，48，1-32。