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系統識別號 U0002-1907200709533500
中文論文名稱 流動性與價格發現之探討-以轉倉期間為例
英文論文名稱 Liquidity and Price Discovery-An Empirical Study of Switching Period
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 謝依芬
研究生英文姓名 Yi-Fen Hsieh
電子信箱 694490490@s94.tku.edu.tw
學號 694490490
學位類別 碩士
語文別 中文
口試日期 2007-05-27
論文頁數 55頁
口試委員 指導教授-謝文良
委員-謝文良
委員-林允永
委員-李進生
委員-鍾惠民
中文關鍵字 轉倉  流動性  價格發現  資訊比例模型 
英文關鍵字 switching  liquidity  price discovery  information share model 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 目錄
第壹章 緒論.............................................1
第一節 研究動機與目的...................................1
第二節 研究方法.........................................2
第三節 研究架構.........................................2
第四節 研究流程.........................................4
第貳章 理論基礎與文獻回顧...............................5
第一節 價格發現之相關理論...............................5
第二節 流動性與價格發現之相關實證文獻回顧...............7
第三節 價格發現模型之文獻回顧..........................12
第四節 文獻評論........................................15
第參章 研究方法........................................16
第一節 研究對象與資料來源..............................17
第二節 單根檢定........................................17
第三節 共整合及共整合檢定..............................19
第四節 資訊比例模型....................................21
第肆章 實證結果........................................26
第一節 轉倉區間之界定..................................26
第二節 單根檢定與共整合檢定............................33
第三節 價格發現分析....................................38
第伍章 結論與建議......................................48
第一節 結論............................................48
第二節 建議............................................50
參考文獻................................................51


圖次
圖1-1 :研究流程...........................................4
圖4-1.1 :臺股期貨次近月與近月契約相對成交量及資訊比例....41
圖4-1.2 :小型臺指期貨次近月與近月契約相對成交量及資訊比例43
圖4-1.3 :電子期貨次近月與近月契約相對成交量及資訊比例....45
圖4-1.4 :金融期貨次近月與近月契約相對成交量及資訊比例....47


表次
表4-1 :臺股期貨、小型臺指期貨、電子期貨及金融期貨契約到期28
表4-2.1 :臺股期貨每日平均成交量、未平倉量及未平倉比率....29
表4-2.2 :小型臺指期貨每日平均成交量、未平倉量及未平倉比率30
表4-2.3 :電子期貨每日平均成交量、未平倉量及未平倉比率....31
表4-2.4 :金融期貨每日平均成交量、未平倉量及未平倉比率....32
表4-3.1 :近月與次近月契約之單根檢定......................35
表4-3.2A :近月與次近月契約之共整合檢定...................36
表4-3.2B :近月與次近月契約之共整合檢定...................37
表4-4.1 :臺股期貨的資訊比例 .............................40
表4-4.2 :小型臺指期貨的資訊比例..........................42
表4-4.3 :電子期貨的資訊比例..............................44
表4-4.4 :金融期貨的資訊比例..............................46


參考文獻 參考文獻

一、中文文獻

1.李顯儀、吳幸姬,2004,台灣股票市場中資訊的反應與傳遞效果之研究,輔仁管理評論,第十一卷,頁71~94。

2.徐清俊、王國強,2005,期貨市場價格波動與交易量、到期日之關聯性分析,長榮大學學報,第九卷,頁59~78。

3.謝文良,2002,價格發現、資訊傳遞、與市場整合-台股期貨市場之研究,財務金融學刊,第十卷,頁1~31。

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