行政院國家科學委員會專題研究計畫 成果報告
金融商品在不同交易場所價格發現的比較：以台指期貨與
現貨及新台幣匯率為例(2/2)
研究成果報告(完整版)
計 畫 類 別 ： 個別型 計 畫 編 號 ： NSC 95-2416-H-004-014- 執 行 期 間 ： 95 年 08 月 01 日至 96 年 07 月 31 日 執 行 單 位 ： 國立政治大學財務管理學系 計 畫 主 持 人 ： 張元晨 計畫參與人員： 碩士級-專任助理：林靜怡 報 告 附 件 ： 出席國際會議研究心得報告及發表論文 處 理 方 式 ： 本計畫可公開查詢中 華 民 國 96 年 10 月 31 日
行政院國家科學委員會補助專題研究計畫成果報告
※※※※※※※※※※※※※※※※※※※※※※※※※
※ ※
金融商品在不同交易場所價格發現的比較：以新台幣匯率為例 ※
※
※
※
※※※※※※※※※※※※※※※※※※※※※※※※※
計畫類別：;個別型計畫 整合型計畫
計畫編號：
95-2416-H-004-014執行期間：
95 年 08 月 01 日 至 96 年 12 月 31 日計畫主持人：張元晨
本成果報告包括以下應繳交之附件：
□赴國外出差或研習心得報告一份
□赴大陸地區出差或研習心得報告一份
□出席國際學術會議心得報告及發表之論文各一份
□國際合作研究計畫國外研究報告書一份
執行單位：國立政治大學財管系
行政院國家科學委員會專題研究計畫成果報告
國科會專題研究計畫成果報告撰寫格式說明
Preparation of NSC Project Reports
計畫編號：
95-2416-H-004-014-執行期限：
95 年 08 月 01 日 至 96 年 12 月 31 日
主持人：張元晨 國立政治大學財管系
一、中文摘要 摘要： 本文分析新台幣兌美元市場價格發現的情 形，我們發現台幣兌美元價格發現主要發生 在流動性較佳的台北外匯經紀公司，而元太 外匯經紀公司的價格主要受到台北外匯經 紀公司的影響，同時我們發現央行干預匯市 時台北外匯經紀公司價格發現功能更明 顯，因此本研究發現決定台幣兌美元價格發 現的主要因素為市場的交易量及央行干預 匯市的私有資訊。 關鍵字：價格發現，台幣兌美元。 一、英文摘要
Abstract ： This paper explore the price discovery process of the NTD/USD market. We find that Taipei Forex Inc. play a more important role than Cosmos Forex Inc. in processing information of the NTD/USD market. Moreover, we find that this phenomenon is more prominent when NTD/USD market was intervened by the Central bank of China. We conclude that the price discovery process of NTD/USD rates is affected by liquidity and central bank
Key words: Price discovery, NTD/USD rates 二、研究動機
This paper examines the price discovery process in the NTD/USD market. There are two brokerage houses for NTD/USD rates in Taiwan, i.e. Taipei Forex, Inc. and Cosmos Forex, Inc. NTD/USD rates are quoted simultaneously in both market. It is the purpose of this paper to explore whether prices quoted in Taipei Forex Inc. is useful in forecasting prices quoted in Cosmos Frorex Inc.. or vice versa. We also try to examine the reasons behind the price discovery process of NTD/USD market.
三、文獻探討
Price discovery is the process by which heterogeneous private information or different interpretation of public information is incorporated into equilibrium asset prices through trading in the markets. As such, an asset’s unobservable effective value or full-information value is reflected in the transaction prices in the markets. Because the observable prices could be distinct from the full-information value, it is of our interest to examine how the prices in different
markets contribute to the price discovery process. The literature suggests that different markets have different information processing ability, although they are governed by the same set of information. If the same financial assets are traded in more than one market, each market may have its unique role in the price discovery process. All the related markets are likely to contribute differently to the price discovery process because of their distinct liquidity, transaction costs, leverage effects, restrictions, and trade-off pattern between risk and returns. Theoretically, market participants are more likely to access and assimilate information in markets where exhibit better liquidity, lower trading costs, greater leverage, less restrictions, and more desirable risk and returns trade-off pattern.
四、研究方法與結果
To analyze the information role of the three markets in the price discovery process, we conduct the Granger causality test and information share analysis (Hasbrouck, 1995). The Granger causality test is a technique for determining whether prices quoted in Taipei Forex Inc. is useful in forecasting prices quoted in Cosmos Frorex Inc.. The information share analysis estimates the information share of a market according to
that market’s contribution to the total variance of the common random-walk component. The information flow analysis is able to show the portion of price discovery from different markets and identifies the venue giving the most informative trades. We find that Taipei Forex, Inc. play a more important role in the price discovery process in the NTD/USD market.
四、參考文獻
Barclay, M. J., and J. B. Warner, 1993.
Stealth trading and volatility: which trades move prices? Journal of Financial Economics, 34, 281-305.
Bekaert, G., and G. Wu, 2000. Asymmetric volatility and risk in equity markets,
Review of Financial Studies, 13, 1-42.
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.
Booth, G. G., J.C. Lin, T. Martikainen, and Y. Tse, 2002. Trading and pricing in upstairs and downstairs stock markets, Review of Financial Studies, 15, 1111-1135.
Cao, C, E. Ghysels, and F. Hatheway, 2000. Price discovery without trading: Evidence from the Nasdaq preopening, Journal of Finance, 55, 1339-1365.
Chakravarty, S., H. Gulen, and S. Mayhew, 2004. Informed trading in stock and option markets, Journal of Finance, 58, 1235-1257.
Chan, Kam. C., Y Chang, and P. Lung, 2005. Informed trading under different market conditions and moneyness: Evidence from TXO options, Working paper, University of Dayton.
Chan, Kam C., L. Cheng, and P. P. Lung, 2004. Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options, Journal of Futures Markets, 24, 1165-1194.
Gonzalo, J., and C. Granger, 1995. Estimation of common long-memory components in cointegrated system, Journal of Business and Economic Statistics, 13, 27-35.
Hasbrouck, J., 1995. One security, many markets: determining the contributions to price discovery, Journal of Finance, 50, 1175-1199.
Hasbrouck, J., 2003. Intraday price
formation in U.S. equity index markets, Journal of Finance, 53, 2375-2399.
Holthausen, R. W., R. Leftwich, and D. Mayers, 1987. The effects of large block transactions on security prices: A
cross-sectional analysis, Journal of Financial Economics, 19, 327-368
Stoll, H. R., and R. E. Whaley, 1990. The dynamics of stock index and stock index
futures returns, Journal of Financial and Quantitative Analysis, 25, 441-468.
Whaley, R., 1982. Valuation of American call options on
dividend-paying stocks: empirical tests, Journal of Financial Economics, 10, 29-58.
行政院國家科學委員會補助國內專家學者出席國際學術會議報告
95 年 12 月 20 日 附件三 報告人姓名 張元晨 服務機構及職稱 政大財管系 會議時間 地點 95 年 10 月 11 日到 15 日 Utah,Salt Lake City USA本會核定
補助文號 NSC 94-2416-H-004-051 會議
名稱
(中文) 2006 美國財務學年會 (英文) 2006 FMA Annual Meeting 發表
論文 題目
(中文) 新興市場的價格發現，以台灣股價現貨、期貨及選擇權市場為例 (英文) Price discovery in an emerging market: a comparison of spot,
futures, and option markets
報告內容應包括下列各項： 一、參加會議經過 本次年會所在地為美國西部，飛機旅途遙遠，但此行本人發表一篇論文，仍有許多學術 研究方面的收穫。 二、與會心得 此會議為美國財務管理學界的年會，與會學者均來自全美各校，經由研討會的交流，除 了與研究主題類似的學者深入交談之外，也因此得以結識日後學術研究合作對象。除此 之外，本人也參加幾場有關財務教學方面的研討，對國外學者的教學方式也有所觀摩。 三、考察參觀活動(無是項活動者省略) 無。 四、建議 無。 五、攜回資料名稱及內容
FMA Annual meeting programs. 六、其他
