資訊傳遞與股債市領先落後關係之分析

Abstract

由於市場的不效率，經濟及財務領域中常出現領先落後效果(Lead-Lag Effect)，根據Kwan (1996), Gebhardt et al. (2005), Downing et al. (2009), Hong et al. (2012), Choi & Kim (2018)領先落後關係亦出現於股市與債市之間，股價率先對於市場資訊進行反映，債券價格則滯後反應。惟傳統交易摩擦理論無法完全解釋股市與債市之間的領先落後關係，本論文則以行為財務角度學的角度探討投資人不注意與資訊傳遞速度對此領先落後關係的影響。

本文參照Li (2022)檢驗美國股債市領先落後關係的方法，並歸納出3個影響資訊傳遞速度的因素，包括:(1)資訊離散程度、(2)資訊不對稱程度與資訊不確定性，以及(3)投資人情緒，觀察其對股債市領先落後關係的影響。研究結果顯示，資訊離散程度越小、資訊不對稱程度與資訊不確定性越高、投資人情緒越高昂時，資訊傳遞速度較慢，進而使股債市領先落後關係加劇；相反地，資訊離散程度越大、資訊不對稱程度與資訊不確定性越低、投資人情緒越低落時，資訊傳遞速度則較快，進一步舒緩股債市領先落後關係。

Due to the inefficiency of the market, the lead-lag effect often occurs in the economic and financial fields, according to Kwan (1996), Gebhardt et al. (2005), Downing et al. (2009), Hong et al. (2012), Choi & Kim (2018), the lead-lag effect also appears between the stock market and the bond market, the stock price first responds to market information, while the bond price lags behind. However, the traditional trading friction theory cannot fully explain the lead-behind relationship between the stock market and the bond market. This paper discusses the influence of investors' inattention and information transmission on this lead-lag relationship from the perspective of behavioral finance.

This article refers to Li (2022)method of examining the lead-lag effect between the U.S. stock and bond markets, and summarizes three factors that affect the speed of information transmission: (1) information discreteness, (2) information asymmetry、uncertainty, and (3) investor sentiment, observe its impact on the lead-lag effect between the U.S. stock and bond markets. The result shows that the smaller the degree of information discreteness、the higher the degree of information asymmetry and uncertainty、the higher the investor sentiment, the slower the speed of information transmission, which in turn intensifies the lead-lag effect between stock and bond markets.