本文為研究類別交易人之交易活動對於台指期、台灣50ETF與大盤指數間價格發現能力之影響。並將類別交易人分類為外資、投信、自營商以及個別交易人進行研究探討。先前許多文獻認為，機構投資人在市場中掌握的訊息較多，較有能力察覺市場上的新資訊，進而提升該市場之價格發現能力。因此本文將探討類別交易人在期貨與現貨中之交易活動的改變，是否會影響兩市場之價格發現能力。本文研究期間為2009年1月5日至2012年12月28日，共999個交易日，以每分鐘價格計算期貨與現貨之報酬率。本文主要使用Hasbrouck (1995)的資訊比例模型，評估各市場對於價格發現之貢獻程度，探討台指期、台灣50ETF以及大盤指數間的價格發現能力。實證結果指出：在台指期、台灣50ETF以及大盤指數間，台指期在價格發現的過程中貢獻程度明顯高於台灣50ETF及大盤指數，此與Chen and Gau (2009)研究表明期貨市場價格發現能力優於現貨市場一致。而在類別交易人因素當中，由於外資在新資訊的取得上具有優勢並且擁有較佳的擇時能力，因此外資之交易比重及金額越高，將有助於提高該市場之價格發現能力。
This study investigates the influence of trading activity on price discovery between spot and futures markets in Taiwan. We classified stock traders into four categories, foreign investment institution, domestic institutional investors, dealers and individual investors. A large number of documents highlight that institutional investors have better price discovery ability due to their capabilities of catching up with the market updates. We compared the behavior changes of the trader types in futures and spot markets and undertook a comparison of their price discovery abilities. We collected minute rate of return and intraday 264 closing price data from January 5, 2009 to December 12, 2012, in total of 999 transaction days. We then adopted information share ratio of Hasbrouck (1995) for subtle analysis. This study highlights two key observations. First, we found the better price discovery ability in TAIEX among TX, Taiwan 50 ETF and TSE. This observation consists with Chen and Gau (2009), a better price discovery ability taking place in futures market. Second, we also found that the capability of market data updates and opportune time selection do equip foreign investor to own a better price discovery ability. As a result, the more ratio of trading foreign investor carries, the higher price discovery ability demonstrates in that market.
