本論文主要研究臺灣牛熊證市場價格發現之實證研究。選擇以三十分鐘頻率牛熊證交易資料進行研究，選定樣本期間為2011年至2012年之三十分鐘頻率牛熊證交易資料，相對應之標的個股的三十分鐘頻率交易資料。本論文研究方法主要使用單根檢定、共整合檢定與向量誤差修正模型，最後採用Lien and Shrestha (2009)修正Hasbrouck (1995)所提出的資訊共享比例(即修正後訊息共享比例)，以評估牛熊證市場交易行為與現貨市場之間的價格發現能力。
實證結果顯示，本論文發現牛證、熊證對於現貨市場之價格發現能力分別不同，牛證價格發現能力優於現貨市場，則熊證價格發現能力劣於現貨市場，原因在於，牛熊證為近年來金融市場中新衍生性商品，交易頻率無法與其他衍生性商品一樣高，加上熊證在市場上的發行，因臺灣交易市場券源不足的問題，導致發行檔數過少在交易市場中無法有效率的傳遞資訊。
This thesis mainly explores the impact of CBBC market transactions on the price discovery by studying CBBC transaction data at the frequency of 30 minutes and selecting the data of the individual share between 2011 and 2012 as samples. The main research methods applied in this thesis include Unit Root Test, Cointegration Test and Vector Error Correction Model. In the end, it adopts the Information Sharing Ratio (information sharing ratio after correction) put forward by Hasbrouck (1995) and revised by Lien and Shrestha (2009) to evaluate the capabilities of price discovery in CBBC market transactions and spot market.
The research findings show that Callable Bull and Bear Contract have different capabilities of the price discovery from spot market where the Callable Bull has better capabilities of the price discovery than spot market and Bear Contract has worse capabilities of the price discovery than spot market. The reason lies in that CBBC is new derivative product emerging in the financial market in recent years whose transaction frequency is impossible to be as high as other derivative products. In addition, with the issuing of Bear Contract and shortage of security sources in Taiwan market, the CBBC issued is too few which results in the inefficiency in the transmission of information in the market.
