永久／暫時模型及資訊分享模型之價格發現研究－以期交稅調降後台指期貨及摩台指期貨為例

Price Discovery Models: Permanent/Transitory and Information Share-Applications to TAIFEX and SGX-DT

10.29698/FJMR.200701.0004

賴藝文(Yih-Wenn Laih)；簡進嘉(Chin-Chia Jane)

永久／暫時模型 ； 資訊分享模型 ； 價格發現 ； 台指期貨 ； 摩台指期貨 ； price discovery ； permanent/transitory model ； information share model ； TAIFEX ； SGX-DT

輔仁管理評論

14卷1期（2007 / 01 / 01）

61 - 84

繁體中文

本研究根據Gonzalo and Granger (1995)的永久／暫時模型和Hasbrouck (1995)的資訊分享模型，就期交稅調降後，台指期貨與摩台指期貨進行價格發現的動態關聯性評估。依照台指期貨與摩台指期貨間成交量變化將研究期間（2001年至2003年）區分為2001年、2002年及2003年三個子期間，並以日資料分析台指期貨與摩台指期貨間價格發現功能與資訊分享的過程。Johansen的共整合模型顯示，在三個樣本期間中，台指期貨與摩台指期貨的價格間存在一共同長期趨勢，兩者呈現共整合形式。同時根據永久／暫時模型和資訊分享模型實證結果發現，在第一樣本期間（2001年），摩台指期貨在價格發現的過程中貢獻最多，在第二樣本期間（2002年），兩者不分軒輊，在第三樣本期間 （2003年），台指期貨在價格發現的過程中明顯超越摩台指期貨，成為台指期貨的代表。此外，研究發現台指期貨交易量與其價格發現及資訊分享能力均呈正比。

This paper investigates the price discovery between two futures indexes that traded on SGX-DT and TAIFEX for Taiwan Stock Market. Two well-known common factor models, the permanent-transitory model proposed by Gonzalo and Granger (1995) and the information share model proposed by Hasbrouck (1995) are used to measure the contribution of both indexes to price discovery process. Empirical tests employ the TEJ daily data from January 1, 2001 through December 31, 2003. The results of both the permanent-transitory model and information share model show that the contributions of TAIFEX to the price discovery process increasely from 2001 to 2003, while the SGX-DT contributes itself to the price discovery process from 2001 to 2003 decreasingly.

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