以調降期交稅的效果分析台指期貨與摩台指期貨價格發現功能

Abstract

本研究以台指現貨、台指期貨及摩台指期貨為實證研究標的，探討三者之價格發現功能，並觀察2008年10月6日期交稅的調降，是否對三個市場間的價格領先-落後關係產生變化。 本研究利用ADF單根檢定、Johansen共整合模型、誤差修正模型及Granger因果關係檢定觀察價格發現功能，得到結論如下：Johansen共整合模型顯示，台指現貨、台指期貨及摩台指期貨無論在期交稅調降前或調降後，兩兩市場間皆存在一共同長期趨勢。同時根據誤差修正模型及Granger因果關係檢定得知，期交稅的調降，有效提高投資人參與台灣期貨市場的意願，因而台指期貨在價格發現上領先摩台指期貨，對台指現貨的影響力也較期交稅調降前為強。

This paper investigates the price discovery between spot and futures markets for Taiwan Stock Index that traded on TAIFEX and SGX-DT. The cointegration test and Error correction model are used to examine the lead-lag relationships between these three markets. In addition, TAIFEX reduced transaction tax on October 6, 2008. We empirically test the differences between TAIFEX and SGX-DT for the sample period, both before and after the tax reduction. The results show that among the price discovery role of TAIFEX futures improved significantly after the tax reduction on TAIFEX.