台湾股票指数期货的日内价格发现机制研究

Intra-day price discovery process of Taiwan stock index futures

通过使用 Hasbrouck,以及 Gonzalo 和 Granger 的价格发现模型,研究了新加坡衍生产品交易所和台湾期货交易所共同上市的台湾股票指数期货在两家交易所的信息传递效率,分析了上市相似指数期货合约的各个交易所间信息传递的机制.研究结果表明,两种台湾股票指数期货和它们的标的资产之间存在着一个共因子,而且新加坡交易所的摩根台指期货合约在价格发现的过程中起到了主导作用.究其根本,新加坡相对宽松的监管制度决定了它能够更有效地进行市场交易制度改革,从而占据价格发现的主体地位.对于存在竞争的交易所来讲,监管环境是决定其价格功能发挥的一个重要的因素.

This paper examined compared the information efficiencies between the Singapore Exchange and the Taiwan Futures Exchange for Taiwan Index Futures listed in both markets by using of the Hasbrouek and Gonzalo-Grangermethodologies. The results not only a common stochastic trend between index futures and their underlying indices, but also provided strong evidence that price discovery primarily originates from the Singapore futures market. Relative loose governance environment of Singapore Market guaranteed that it＇ s exchange regime can more effectively reformed and new information can be more quickly reflected in prices. Governance environment is an important factor to maintain an reputation as an information center for these similarly traded financial instruments.