本文主要在探討SPAN保證金計收制度及期貨交易稅改變後對台灣加權股價指數期貨、台灣加權股價指數與台灣50指數股票型基金間價格發現之影響。研究期間為2005年1月3日至2012年12月31日，共1990筆交易日。因期貨比現貨要早開盤與晚收盤15分鐘，為使資料配對，資料從9:01取至13:24。以每分鐘收盤價計算報酬率，共264筆日內資料，研究期間內有527348筆。
主要使用之計量模型為單根檢定、共整合檢定、向量誤差修正模型與資訊比例模型。Johansen最大概似共整合模型顯示，樣本期間中期貨與現貨價格間存在一共同長期之趨勢，期現貨呈現共整合關係。同時根據Hasbrouck (1995)資訊比例模型來說，台指期在價格發現之過程中是貢獻最多的。實證結果顯示：(1)2006年降低期貨交易稅會造成台指期之交易量增加，價格發現的能力也會增加；而2008年期交稅的調降對期貨價格發現能力並不會造成太大的影響，可能原因為當年調降的稅率只有千分之0.04，調降幅度不大；(2)實施SPAN保證金計收制度後會使得交易人的資金成本下降，交易意願提升，進而促進期貨交易量以及期貨市場的價格效率增加。總體而言，實施制度後會增加期貨與現貨市場的流動性，改善市場之價格效率性，同時也會增加價格的波動性。
The purpose of this paper is to investigate the impact of implementing SPAN system and reducing trading taxes of futures on price discovery between spot and futures markets in Taiwan. The research data is obtained from TEJ and the research period starts from January 3, 2005 to December 31, 2012, which are totally 1,990 trading days. To match spot and futures data during each trading day, every one minutes closing price is selected from 9:01 a.m. to 13:24 p.m. We calculate one minute returns for futures and spot prices, and there are 264 one-minute returns for each trading day and 527,348 returns for whole research period.The unit root test, cointegration test, vector error correction model and information share approach are applied in this paper. Cointegration test indicates that there exists a long-run equilibrium relationship between futures and spot prices, and Information share shows that futures market contributes to the price discovery more than spot market does.
The empirical findings are as follows. Firstly, the tax reduction of trading futures in 2006 causes an increase in trading volume of futures, and thus increases the price discovery of futures market. However, the tax reduction of trading futures in 2008 does not have significant impact on price discovery of futures market. The insignificant impact might be explained by small magnitude of tax reduction in 2008 as compared with that in 2006. Secondly, implementing SPAN system decreases the cost of capital for traders, which improves transaction willingness and increases futures trading volume. Thus, implementing SPAN system will promote the price discovery of the futures market.
