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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101910

    Title: 不同類型訊息對台指期與現貨價格發現的影響
    Other Titles: The impacts of different types of information announcement on price discovery in Taiwan stock and futures markets
    Authors: 楊舒惠;Yang, Shu-Hui
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang;洪瑞成;Hung, Jui-Cheng
    Keywords: 價格發現;Hasbrouck資訊比例模型;price discovery;Hasbrouck Information Share
    Date: 2014
    Issue Date: 2015-05-04 09:42:50 (UTC+8)
    Abstract: 本研究以台灣市場為研究對象,透過資訊比例模型來探討2005年至2012年市場上消息發布對於台灣50ETFs與臺指期貨之間價格發現能力的強弱。本研究採用Hasbrouck(1995)所提出的資訊比例模型來評估各市場對於價格發現之貢獻程度。並將消息分為開紅盤日、週末效應、公司財報揭露及異常訊息發布四種,最後加入控制變數,如成交量及波動,來探究現貨與期貨之間價格發現的能力。

    This paper studies competition in price discovery between the Taiwan 50 ETF (TTT) and TX for the different types of information announcement on Hasbrouck’s (1995) information shares model. The sample period extends from January 2, 2005 to December 31, 2012. Using matched synchronous intraday trading data, Johansen’s maximum likelihood estimator is employed to disclose the cointegration relationship among the TX and TTT.

    Results indicate that two price series are a cointegrated system with one long-run stochastic trend. Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the TTT, but not in the TX. The results show that the TX provide more price discovery than do the TTT overall. However the contribution of the TTT to discovery increases in the time surrounding information announcement. Because informed traders with private firm-specific information are more likely to trade in individual stocks, and possibly increase informational contribution of the spot market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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