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

An Investigate on Information Transmission of Nearby-Month Taiwan Stock Index Futures during Trading, Nontrading, and between Trading and Nontrading Period: Price Discovery and Content of Price Volatility

10.6545/JFS.2004.12(1).3

蔡垂君(Chui-Chun Tsai)；李存修(Tsun-Siou Lee)

價格發現 ； 價格波動率內涵 ； 交易期間 ； 非交易期間 ； Pricediscovery ； content of price volatility ； trading period ； nontrading period ； VECM-bi-EGARCH

財務金融學刊

12卷1期（2004 / 04 / 30）

53 - 80

繁體中文

本文運用VECM-bi-EGARCH（1.1）模式的台股期貨訊息傳遞進行實證，以期貨與現貨報酬之領先／落後關係說明台股期貨價格發現功能；以報酬波動率之持續性、不對稱性及外溢性說明期貨價格波動率之內涵。然而，有鑑於台股期貨依交易期間、非交易期間，以及跨越交易與非交易期間所擷取之報酬波動司已具有不一致性，本文分別私交易時間內之每五分鐘及日內報酬、非交易期間之隔夜報酬，以及跨越交易與非交易期間之開盤與收盤報酬進行實證。實證結果可獲得以下二項結論：（1）台股期貨在各式報酬型態中，以非交易期間隔夜報酬之價格領先效果最具顯著性，具較強之價格發現功能。（2）台股期貨每五分鐘、日內及隔夜報酬波動率均有持續性影響力；台股期貨各式報酬均受到期貨市場上壞消息及非預期大幅度偏離消息之影響而具不對稱性波動；整體而言，台股期貨報酬波動率具稍強之外溢性，當期貨市場上具有壞消息時，期貨每五分鐘報酬波動率會對現貨每五分鐘報酬波動率產生外溢，但當台股期貨與現貨市場具有未預期大幅度偏離消息時，彼此波動率則為互溢。而各種不同型態報酬中，以交易期間每五分鐘報酬之波動率內涵最具顯著性，這顯示唯有透過更細微的時間切割，才能觀測到期貨報酬波動率所受之影響。

This paper applies VECM-bi-EGARCH (1,1) model to investigate the information transmission of nearby-month Taiwan Stock Index Futures. We use the return lead/lag relationship between futures and spots to explain price discovery of futures; and use the return persistent process dominate of volatility over horizon time. asymmetric volatility and volatility spillover to explain the content of futures price However, the volatility of return is heterogeneous when return is garthered by trading, nontrading, and between tradrng and nontrading period Thus we examine and garther the return data from three period These include 5 mintue and intraday data garthered during trading period; overnight data garthered b} nontradmg period. open-to-open and close-to-close data garthered between trading and nontrading period. Two major findings obtain regarding the price discovery and content of price volatility' (1) Taiwan stock index futures could creat more price discovery function versus spots on overnight data. The price lead effects would be statistic siganilieant. (2) Taiwan stock index futures presents more persistent volatility over horizon time when five minute data. intraday and overnight data arc tested. Negative and unexpected shocks make Taiwan stock index futures present asymmetric volatility when all patterns of return are tested. Compare with Taiwan stock index futures and spots, Taiwan stock index futures would be with more volatility spillover Negative shocks on futures markets result in higher volatility in pots market when 5 minute data IS tested; unexpected shocks on the futures market induce higher volatility in the spots market. and Vice versa when all patterns of return are tested. The content of futures price volatility would be statistic siganificant when 5 minutes data is test. Therefore, by delicacy observation. we cloud aware the price discovery and content of futures price volatility more clarly.

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