期貨價格發現能力影響因素之實證研究 ───以臺指期貨和小型臺指期貨為例

Abstract

本研究基於Wang, Chang, and Lee（2013）之研究，採用Hasbrouck（1995）資訊比例模型，以臺指期貨和小型臺指期貨為例，借助複迴歸模型分析，討論期貨價格發現能力的影響因素。實證結果顯示，小型臺指期貨在價格發現過程中領先於臺指期貨，買賣價差與價格發現能力負相關，成交量和報酬率波動率與價格發現能力正相關。

This research applies Hasbrouck's information share model (1995) and the multiple regression model to discuss the influencing factors of price discovery abilities of futures, based on Wang, Chang, and Lee (2013). Using the data from Taiwan Stock Index Futures and Mini Index Futures, the results show that Mini Index Futures performs better than Taiwan Stock Index Futures in the process of price discovery. Moreover, trading volume and return volatility are both positively correlated with price discovery abilities, while bid-ask spread is correlated negatively with price discovery abilities.