間接不動產之現貨與期貨市場間的資訊傳遞──以台灣5檔營建上市股為例

Information Transmission between Spot and Futures Markets in Indirect Real Estate Markets: A Case Study of 5 Construction Stocks in Taiwan

本研究探討投資人注意力對於營建類股現貨市場與其個股期貨間價格發現與波動外溢效果之影響。本文選取擁有個股期貨的營建類股，包括中工、冠德、興富發、皇翔與華固共5家公司為研究對象，並以Google趨勢搜尋量指數(search volume index, SVI)作為投資人注意力指標。利用向量自我迴歸模型(vector autoregression, VAR)與Granger因果關係檢定檢測價格發現，並採用雙變量動態條件相關GARCH不對稱模型(bi-variate dynamic conditional correlation GARCH asymmetric model)分析波動外溢效果。實證結果顯示，當投資人注意力高時，會增加營建類股個股現貨市場價格發現功能；此外，投資人注意力高時，也會提高營建類股現貨與期貨市場互相波動外溢至對方市場。

This study investigates the impact of investor attention on price discovery and the volatility spillover effect between single-stock futures and the underlying spot market. We examine five construction stocks: BES Engineering Corp., Kindom Construction Corp., Hingwealth Construction Corp., Huang Hsiang Construction Corp. and Huaku Development Co. Ltd. in Taiwan as the underlying stocks, and adopt the Google Trend Search Volume Index (SVI) as the investor attention index. The VAR model and Granger causality test are employed to identify the price discovery of the financial instruments. The bi-variate dynamic conditional correlation GARCH asymmetric model is applied to analyze the volatility spillover effect between the two financial assets. The empirical results demonstrate that the spot market exhibits a better price discovery effect when the degree of retail investor information attention increases. In addition, a high level of retail investor attention also enhances the volatility spillover effects bilaterally in both the spot and futures markets.