本研究使用 Hasbrouck(1995)資訊比例方法探討台灣交易所指數期貨和指數股票型基金 在價格發現過程中的資訊競爭。在升降單位降低與取消平盤以下不得放空後，ETFs 成 為指數期貨在價格競爭過程中的重要競爭者。因此，指數期貨和 ETFs 在每日的價格競 爭過程中可能呈現相互領先的關係。我們衡量此相互領先關係對於不同種類的消息宣告 如何反應，以闡明期貨與現貨市場相對的資訊效率。另外，本文使用 Chan and Maheu (2002)的 ARJI模型認定不可觀測的異常消息，並探討異常訊息對價格發現的相對貢獻。 This study uses information share approach of Hasbrouck (1995) to examine the information competition in price discovery process between index futures and tracker fund (ETFs) in Taiwan stock exchange. After the reduction in tick size and the exemption of uptick rule, ETFs becomes an important competitor in price discovery process as compared with futures contracts. Thus, there might be an inter-leading relationship on daily basis between index futures and the corresponding ETFs for the competition of price discovery. We measure how the inter-leading relationship responds to different types of news announcements to shed light on the relative informational efficiency across the futures market and the spot market. Additionally, we use ARJI model of Chan and Maheu (2002) to identify “unobservable” abnormal news, and then examine the impacts of abnormal news on relative contribution of price discovery.
