本土台股期貨與台股加權指數領先與落後關係之探討

Abstract

本文研究1998年9月至1999年12月本土台灣加權股價期貨與加權指數二市場之間領先與落後之關係。早在民國86年之際在新加坡的交易所甫推出摩根台股期貨以及芝加哥交易所的道瓊台股期貨。摩根台股期貨與道瓊台股期貨僅選擇台灣集中市場部份股數為其交易標的物，且契約以美元計價又非在台灣本土進行交易，歷年來已有學者研究該期貨與加權指數的連動性。而本文則以台灣之台股期貨為研究標的物，以驗証期貨與現貨的連結性。期貨與現貨二價格序列可能具有非同步交易的問題，故採用Kalman Filter以移除非同步交易，再將調整後之序列進行單根檢定、共整合分析與誤差修正模型之研究。實證結果除了1998年10、11、12月與1999年11月，二市場不具有顯著的共整合關係外，其它期間之台指期貨與現貨皆具有高度共整合關係。如同一交易市場，由此可知縱然市場連結性因市場因素而短暫性消失。但終究市場的力量仍會收斂二市場，恢復共整合關係。而在此長期之共整合基礎下，利用誤差修正模型之實証結果為這兩個市場短期間縱然存在互相回饋的動態現象，但期貨領先加權指數的能力仍舊大於現貨領先期貨的程度，所以從實證中可發現期貨對加權指數具有價格發現的機能。

The paper studies the lead-lag relationship between Taiwan stock index future and cash market from Sept. 1998 to Dec. 1999. Singapore Exchange Derivatives Trading Ltd issued Morgan Stanley Capital International Taiwan Stock Index futures contract in 1997. At the same time, the Chicago Mercantile Exchange (CME) the right to trade futures and options on the Dow Jones Taiwan Stock Index. Both Dow Jones and Morgan Stanley Taiwan Stock Index futures only select partly stocks traded on the Taiwan Stock Exchange. Those contracts are based on the US dollars, and also not traded in Taiwan. In the past, a lot of researches study on the interrelationships between Taiwan stock index future and cash market. We study the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) issued by Taiwan Futures Exchange, in order to find the interrelationships between future and cash market. Since the price time series may have the problem of nonsynchronous trading between future and cash market, we use Kalman Filter to remove the problem of non synchronous trading, and then put adjusted time series to the unit root test, cointegration test and error correction model. The empirical results show, most of time there are significantly conintegration between future and cash market, expect the time for Oct. Nov. Dec. 1998 and Nov. 1999. Just like a normal market, the interrelationship between markets will temporally disappear as a result of some factors in the markets. But the invisible hand in the market will make them asymptotically optimality to recover the conintegration between future and cash market. Based on the conintergration in the long run, the empirical results of error correction model shows, there is a dynamic adjusted relationship between future and cash market in the short run. But the stock index future will have more chance to lead the stock index. Thus, the empirical tests find that the stock index future will have price discovery mechanism for stock index.