| 摘要: | Chatrath and Christie-David (2004) 發現，在期貨轉倉較活絡的期間，近月契約交易量減少，次近月契約交易量放大。而根據Hamao, Masulis and Ng (1990)、Stephan and Whaley (1990)、Chiang and Fong (2001)、謝文良 (2002)等研究發現成交量與價格發現能力間存在正向關係；然而Chan (1992)、Shyy and Lee (1995) 、Martens (1998) 的研究卻不支持此正向關係。因此，本文欲透過實證來驗證兩者之關係。
本研究以台灣期貨交易所發行之臺股期貨、小型臺指期貨、電子期貨與金融期貨為標的，資料期間自2001年4月9日至2006年12月31日，共1425個交易日，每種期貨涵蓋138個契約，69次轉倉。使用日資料與日內資料，配合Hasbrouck (1995) 提出的時間序列市場微結構模型-資訊比例模型(Information Share Model)，估計兩者的資訊比例值，進一步衡量流動性與價格發現能力之關係。
實證結果發現：轉倉期間次近月契約成交量增加，資訊比例值提高，表示流動性與價格發現成正比。此外，轉倉前三天近月契約仍存在較強的資訊領先傾向，轉倉最後一天及到期日當天，次近月契約才展現價格發現機能，甚至優於近月而居主導地位，顯示其不可忽視的參考價值。
This paper examines the relationship between price discovery and liquidity under futures switching period. Chatrath and Christie-David (2004) documented empirical evidence that during the switching period the decrease in trading volume for the nearby contract and an increase in trading volume for the next-to-nearby contract can be observed. Hamao, Masulis and Ng (1990), Stephan and Whaley (1990), Chiang and Fong (2001), and Hsieh (2002) all found a positive relationship between price discovery and liquidity. In contrast, as suggested by Chan (1992), Shyy and Lee (1995), and Martens (1998), there is no positive relationship between price discovery and liquidity. Accordingly, there have been considerable debates among previous studies on the relation between price discovery and liquidity. This paper attempts to fill the gap by analyzing the effect of switching period on price discovery and liquidity.
The TX, MTX, TE, and TF futures contracts traded on the TAIFEX are used in this paper. The sample period covers almost six years from April 9, 2001 to December 31, 2006, a total of 1425 trading days. This paper uses daily and intraday data to examine the relationship between price discovery and liquidity. The nearby and next-to-nearby futures contracts are employed in this paper and there are 69 switching periods during the sample period. Thus, for each index futures 138 futures contracts involves in this paper.
The information share model proposed by Hasbrouck (1995) is used to examine the price discovery between the nearby and next-to-nearby futures contracts during the switching period. The empirical results indicate that as increase in the trading volume accompanies with an increase in the information share, implying that there is a positive relationship between price discovery and liquidity. Additionally, the relative rate of price discovery is larger in nearby futures contract than in next-to-nearby futures contract at the first three days of the switching period. Finally, the relative rate of price discovery is higher in next-to-nearby futures contract than in nearby futures contract at the last trading day of the switching period and expiration. Overall, the empirical results indicate that the nearby futures contract still dominates the corresponding next-to-nearby futures contract at the beginning of the switching period. However, the next-to-nearby futures contract plays an important role in price discovery at the last trading day of the switching period and expiration. |
