本研究以台灣市場為研究對象,透過修正後資訊共享比例探討2007年7月2日至2012年12月28日市場上交易人的交易活動對於台灣50ETF與臺指期貨之間價格發現能力的影響。本研究採用Lien and Shrestha(2009)修正Hasbrouck(1995)所提出的資訊比例(即修正後訊息共享比例),以評估投資人交易活動與市場之間的價格發現能力。 將交易活動以Garcia et al.(1986)所提出的代理變數,作為投機活動的區分,探究訊息與非訊息投資人、可預期和非預期的投資活動以及市場波動度對於現貨與期貨之間價格發現的能力。 研究指出,向量誤差修正模型與修正後訊息共享比例皆顯示台指期貨在價格發現中具有較強的主導地位。並藉由迴歸分析交易活動中影響價格發現之因素,發現:市場波動度高的投機活動下,期貨市場的價格發現能力較佳;且非預期的投機活動在期貨市場相對具有價格發現的能力。若以類別交易人做為區別,則可發現台灣市場上外資比起投信、自營商與散戶更具有價格發現的能力。 This study focuses on price discovery of futures trading activities in Taiwan stock and futures markets. We use(volume/open interest) as the proxy variable for speculative trading and investigates their dynamic relationships by MIS. Volume and open interest are not only the conduits through which information is impounded into price changes, but show how traders(informed and uninformed)adjust their trading strategies. Hence informed traders can make speculative profits by futures trading. Trading activities are partitioned expected and unexpected components, and document that while price discovery varies positively with unexpected futures-trading activity, it is negatively related to forecastable futures-trading activity. We also analyze whether greater price discovery(volume and open interest)is associated with greater volatility in futures market. Our results indicate that high volatility exert the stronger impacts on price discovery. When comparing the performances of foreign investors, proprietary traders and retail traders, this study finds the impacts of foreign investors are best on price discovery.