| 摘要: | 台灣期貨交易所自1997年成立以來，指數型商品成交量、未平倉量日漸增加，參與者也日趨多元，2008年甚至已超過以法人為主要交易對象的新加坡交易所（SGX）MSCI台指期貨，可見主管機關對期貨市場深化的努力已受到國外投資機構的認同。而台灣證券交易所自2003年成功推出台灣第一支交易所交易基金（ETF）--台灣卓越50基金之後，於2004年推出另一檔以中型企業為標的的部分集合指數基金—台灣中型100，以呈現台灣證券市場具成長潛力的中型企業績效，並供投資人參與。
過去文獻多數在探討同一標的指數現貨、期貨、ETF間，或台灣加權指數現貨、期貨與台灣50 ETF間的關係，且多數著重於價格發現研究。由於台灣中型100 ETF交易量尚較清淡，故本研究嘗試加入台灣中型100現貨指數，以2003/05/02-2008/04/30之日資料，探討「台灣加權指數現貨與台指期貨」及「台灣加權指數現貨與台灣中型100指數」及「台指期貨與台灣中型100指數」價格之因果關係及領先與落後關係，利用共整合檢定、向量誤差修正模型（VECM）和Granger因果關係了解其價格之因果關係及長、短期領先--落後關係。此外，透過衝擊反應函數與變異數分解，發現其資訊傳遞的方式。
研究發現，（1）Granger因果關係檢定方面，台灣加權指數對資訊的反應優於台灣中型100指數及台指期貨，而台灣中型100指數與台指期貨互為領先，在期貨交易量與流動性已大幅提升之際，仍無法明確發揮其效率市場對於標的現貨的價格發現功能。（2）向量誤差修正模型上，此三種指數皆會受其自身前1-2期影響，證明了時間序列資料波動叢聚性、不對稱性現象的存在。在短期的價格領先—落後情況來看，台灣加權指數約領先台指期貨2期，台灣加權指數與台灣中型100指數、台指期貨與台灣中型100指數間，皆無絕對領先情況。就價格發現能力而言，期貨指數在此並未充分展現出槓桿假說、交易成本假說、交易限制假說、市場資訊假說、、、等之優勢，很容易就會因套利空間存在以及流動性充足，而將價格拉回到合理的價位。（3）預測誤差變異數分解與衝擊反應分析方面，台灣加權指數對其他變數的誤差變異數皆有近九成的解釋能力，表示加權指數的衝擊是誤差修正系統中預測變異數的主要來源，而中型100指數變動的衝擊對系統中的變數影響較大，這與台灣中型100指數成分股之股本不似大型股龐大且又不失流通性，因而短時間內對於資訊的反應會比大型股靈活有關。
Since the establishment of the Taiwan Futures Exchange in 1997, the volume and the open interest of the index futures have increased dramatically, and the participants of the market have also diversified. In 2008, Taiwan Futures Exchange has surpassed Singapore Exchange(SGX) which main players are international financial institutions, and the effort of the authority in internationalization has earned the recognition of foreign investment institutions. After Taiwan Futures Exchange has successfully established the first ETF, the TWSC Taiwan 50 index, in 2003, another ETF, the TWSC Taiwan Mid-Cap 100 index was also established to demonstrate the achievement of the mid-cap corporations in Taiwan, aiming to provide the investor an valuable reference.
Most study in the pass were emphasized in the relationship between the index, future index and the ETF, or the relationship between Taiwan Stock Exchange Capitalization Weighted Index(TAIEX), index futures and TWSC Taiwan 50 index ETF, which most were emphasized on the price discovery of these product. Due to the reason that the volume of the TWSC Taiwan Mid-Cap 100 index futures was still insignificant, the cash price of the TWSC Taiwan Mid-Cap 100 index was incorporated in this study, date ranging from 2nd May 2003 to 30th April 2008. In this study, we should discuss the price movement relationship of “TAIEX and Taiwan Index Futures”, “TAIEX and TWSC Taiwan Mid-Cap 100 index” and “Taiwan Index Futures and TWSC Taiwan Mid-Cap 100 index”. By using various methods such as Cointegration Test, Vector Error Correction Model(VECM) and Granger Causality, the relationship between each price movements are examinated. Furthermore, by analyzing impulse response function and variance decomposition, the way in which information is conducted is understood.
It is found in this study, (1)Granger Causality Test, TAIEX has a better response to information than TWSC Taiwan Mid-Cap 100 index. The effectiveness responses of TWSC Taiwan Mid-Cap 100 index and Taiwan Index Futures to the information are less conclusive. As the volume and the liquidity of Taiwan Index Futures increases, it is still uncertain that these indices are performing as effective as the discovery of prices in the market. (2)In the model of Vector Error Correction Model, these three indices were affected by previous 1-2 period of time, indicating data in time series are clustered and asymmetrical. In a shorter time frame, TAIEX is leading Taiwan index futures by 2 periods. No significant result are found comparing TAIEX and TWSC Taiwan Mid-Cap 100 index, and of Taiwan index futures and TWSC Taiwan Mid_Cap 100 index. As for price discovery, the Taiwan index futures did not fully demonstrate the advantages of leverage hypothesis,
transaction cost hypothesis, trading limitation hypothesis, market information hypothesis, etc. Price are quickly stabilized in a reasonable manner due to arbitrage and liquidity of the market. (3)On predicting impulse response function and variance decomposition, TAIEX is able to explain 90% of the variables, indicating the effect of TAIEX is the primary source in predicting error correction system. The movement of TWSC Taiwan Mid-Cap 100 index have a larger impact on the variables in the system. The underlying companies of TWSC Taiwan Mid-Cap 100 index has smaller capital as well as the liquidity needed, therefore, their prices are able to response to the information much quicker than those with lager capitals in a shorter period of time. |
