臺股指數期貨與摩根臺股指數期之市場效率性檢定及漲跌幅限制的影響

Market Efficiency Tests and Price Limit Impacts on TAIFEX and STX

本研究主要在於檢測目前國內台股指數期貨漲跌幅制度下，對於市場效率性的影響。有別於過去的研究，本研究進一步探討不同漲跌幅設限之摩根台指期貨市場，與台股指數期貨是否具有顯著性的不同，並觀察各重大事件衝擊下，兩市場效率性的差異，實證模型採用傳統變異數比率與無母數變異數比率進行檢測。實證結果顯示台股指數期貨價格乃服從隨機漫步之假設，但摩根台指期貨則無，且在各事件衝擊方面，台股指數期貨普遍具有資訊的效率性，但新加坡市場則呈現拒絕隨機漫步的現象。據此，本研究建議市場設置較嚴刻之漲跌幅制度，將有助於提高資訊的傳遞及降低交易人之資訊不對稱性，同時也隱含價格限制較寬鬆的新加坡市場，投資人反應不足或過度反應的現象，也許普遍存在於期貨的價格。

This paper aims to examine the impact of price limits on market efficiency in Taiwan Futures Exchange (TAIFEX). In contrast to previous researches, the work further investigates whether the market efficiency of TAIFEX significantly differs from the STX of Singapore Exchange under different price limits, and compares the discrepancy between two markets by observing the various major events. The empirical models adopt traditional variance ratio test and non-parametric variance ratio test to examine the information transmission in view of market efficiency. The results show that TAIFEX support the random walk hypothesis but not in STX. In addition, TAIFEX still present the efficient behaviors in the shocks of various major events. Therefore, we suggest that if market performs severe price limits, it will aid to advance the information transmission and decreasing the information asymmetry. Furthermore, the Singapore Exchange, which holds loose price limits than Taiwan Futures Exchange, implies that the either investor’s underreaction or investor’s overreaction may commonly exist in the futures price.