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.

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

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。

4.賴藝文、簡進嘉，2005，永久/暫時模型及資訊分享模型之價格發現研究-以期交稅調降後台指期貨及摩台指期貨為例，輔仁管理評論，第十四卷，頁61~84。

二、英文文獻

1.Admati, A. R. and P. Pfleiderer, 1988, A theory of intraday patterns: volume and price variability, Review of Financial Studies 1, 3-40.

2.Aitken, M. and C. Comerton-Forde, 2003, How should liquidity be measured? Pacific-Basin Finance Journal 11, 45-59.

3.Ates, A. and G. H. K. Wang, 2005, Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity futures, Journal of Futures Markets, 679-715.

4.Baillie, R. T., G. G. Booth, Y. Tse, and T. Zabotina, 2002, Price discovery and common factor models, Journal of Financial Markets 5, 309-321.

5.Barrett, B. W. and R. W. Kolb, 1995, Analysis of spreads in agricultural futures, Journal of Futures Markets 15, 69-86.

6.Bessembinder, H., J. F. Coughenour, P. J. Seguin, and M. Smoller, 1996, Is there a term structure of futures volatilities? Reevaluating the Samuelson hypothesis, Journal of Derivatives 4, 45-58. 

7.Billings, R. S. and D. M. Chance, 1988, The pricing and performance of stock index futures spreads, Journal of Futures Markets 8, 303-318.

8.Booth, G. G., R. W. So, and Y. Tse, 1999, Price discovery in the German equity index derivatives markets, Journal of Futures Markets 19, 619-643.

9.Chatrath, A. and R. Christie-David, 2004, Futures expiration, contract switching, and price discovery, Journal of Derivatives 12, 58-72. 

10.Chan, K., 1992, A further analysis of the lead-lag relationship between the cash market and stock index futures market, Review of Financial Studies 5, 23-152.

11.Chiang, R. and W. M. Fong, 2001, Relative informational efficiency of cash, futures, and options markets: the case of an emerging market, Journal of Banking and Finance 25, 355-375.

12.Chordia, T. and B. Swaminathan, 2000, Trading volume and cross-
   autocorrelations in stock returns, Journal of Finance 55, 913-935.

13.Chou, R. K. and J. H. Lee, 2002, The relative efficiencies of price execution between Singapore Exchange and Taiwan Futures Exchange, Journal of Futures Markets 22, 173-196.

14.Covrig, V., D. K. Ding, and B. S. Low., 2004, The contribution of a satellite market to price discovery: evidence from The Singapore Exchange, Journal of Futures Markets 24, 981-1004.

15.Dimson, E., 1979, Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics 7, 197-226.

16.Dickey, D. A. and W. A. Fuller, 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072.

17.Enders, W., 2004, Applied Econometric Time Series, New York: John Willey and Sons, Inc.

18.Engle, R. F. and C. W. J. Granger, 1987, Co-integration and error correction representation, estimation and testing, Econometrics 55, 251-276.

19.Eun, C. S. and S. Sabherwal, 2003, Cross-broder listings and price discovery: evidence from U.S.-listed Canadian stocks, Journal of Finance 58, 549-576.

20.Fleming, J., B. Ostdiek, and R. E. Whaley, 1996, Trading costs and the relative rate of price discovery in stock, futures, and options markets, Journal of Futures Markets 16, 353-387.

21.Franke, G. and D. Hess, 2000, Information diffusion in electronic and floor trading, Journal of Empirical Finance 7, 455-478.

22.Frino, A. and A. West, 2003, The impact of transaction costs on price discovery: evidence from cross-listed stock index futures contracts, Pacific-Basin Finance Journal 11, 139-151.

23.Frino, A. and M. D. Mckenzie, 2002, The pricing of stock index futures spreads at contract expiration, Journal of Futures Markets 22, 451-469.

24.Garbade, K. D. and W. L. Silber, 1979, Dominant and satellite markets: a study of dually traded securities, Review of Economics and Statistics 60, 455-460.

25.Garbade, K. D. and W. L. Silber, 1982, Price movements and price discovery in futures and cash markets, Review of Economics and Statistics 64, 289-297.

26.Garman, M. and M. Klass, 1980, On the estimation of security price volatilities from historical data, Journal of Business 53, 67–78.

27.Girma, P. B. and A. S. Paulson, 1988, Seasonality in petroleum futures spreads, Journal of Futures Markets 18, 581-598.

28.Gonzalo, J. and C. W. J. Granger, 1995, Estimation of common long-memory components in cointegrated systems, Journal of Bussiness and Economic Statistics 13, 27-36.

29.Harris, F. H. deB., T. H McInish., G. L. Shoesmith, and R. A. Wood, 1995, Co-integration, error correction, and price discovery on informationally linked security markets, Journal of Financial and Quantitative Analysis 30, 563–579.

30.Hasbrouck, J., 1995, One security, many markets: determining the contributions to price discovery, Journal of Finance 50, 1175-1199.

31.Hasbrouck, J., 2003, Intraday price formation in U.S. equity index markets, Journal of Finance 58, 2375-2400.

32.Hsieh, W. L. G.., 2004, Regulatory changes and information competition: the case of Taiwan index futures, Journal of Futures Markets 24, 399-412.

33.Hamao, Y., R. W. Masulis, and V. Ng, 1990, Correlations in price changes and volatility across international stock markets, Review of Financial Studies 3, 281-307. 

34.Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231-254.

35.Johansen, S. and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics 52, 169-210.

36.Johansen, S. and K. Juselius, 1991, Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrics 59, 1511-1580.

37.Kuo, W. H., H. Hsu, and C. Y. Chiang, 2004, Trading volume and cross-autocorrelations of stock returns in emerging markets: evidence from the Taiwan stock market, Review of Pacific Basin Financial Markets and Policies 7, 509-524.

38.Karpoff, J. M., 1987, The relation between price changes and trading volume: a survey, Journal of Financial and Quantitative Analysis 22, 109-126.

39.Kurov, A. and D. J. Lasser, 2004, Price dynamics in the regular and E-Mini futures markets, Journal of Financial and Quantitative Analysis 39, 365-384.

40.Lehman, B. N., 2002, Some desiderate for the measurement of price discovery across markets, Journal of Financial Markets 5, 259-276.

41.Martens, M., 1998, Price discovery in high and low volatility periods: open outcry versus electronic trading, Journal of International Financial Markets, Institutions and Money 8, 243-260.

42.Pool, V. K., 2005, Is heavy trading good or bad for price discovery? a direct test using model-free implied volatility, paper presented at the Financial Management Association (FMA) European conference, June 8-11, in Siena, Italy

43.Roll, R., 1977, An analytic valuation formula for unprotected American call options on stocks with know dividends, Journal of Financial Economics 5, 251-258.

44.Schreiber, P. S. and R. A. Schwartz, 1986, Price discovery in securities markets, Journal of Portfolio Management 12, 43-48.

45.Shyy, G. and J. H. Lee, 1995, Price transmission and information asymmetry in bund futures markets: LIFFE vs. DTB, Journal of Futures Markets 15, 87-99.

46.Stephan, J. A. and R. E. Whaley, 1990, Intraday price changes and trading volume relations in the stock and stock option markets, Journal of Finance 45, 191-220.

47.Tse, Y. and G. Erenburg, 2003, Competition for order flow, market quality and price discovery in the Nasdaq 100 index tracking stock, Journal of Financial Reseach 26, 301-318.

48.Yadav, P. K. and F. P. Pope, 1994, Stock index futures mispricing: Profit opportunities or risk Premia? Journal of Banking & Finance 18, 921-953.