有限套利、流動性與價格發現──以台灣與香港跨境掛牌指數股票型基金為例

Limits to Arbitrage、Liquidity and Price Discovery: Evidence from Taiwan and Hong Kong Cross-listed ETFs

本研究探討有限套利環境下流動性差異對跨境掛牌指數股票型基金（ETF）價格發現與市場資訊傳遞整合的影響，以四檔台灣與香港互掛ETF為研究對象。實證結果發現在有限套利與兩階段連結標的資產的環境，流動性佳的子基金由於連結至價格發現能力弱的母基金，對於標的資產價格發現貢獻微小；流動性差則導致套利機制失靈跨境ETF間不存在長期關係。根據Lien and Shrestha （2014）提出的一般化資訊分享（Generalized Information Share, GIS）模型，以及Gonzalo and Granger （199 ）永久－－暫時（Permanent-Transitory, PT） 模型與其檢定統計量分析顯示，ETF在收盤時追蹤標的指數的價格發現能力較強。最後，金融市場提前開盤確實可以較快速掌握資訊，有利於在其市場掛牌商品之資訊捕捉能力。

This paper investigates the effect of liquidity on price discovery and market integration under limit arbitrage environment using four Taiwan and Hong Kong crosslisted ETFs. We find that the high liquidity feeder fund invested to the master fund with poor price discovery under arbitrage impediment and two-stage linkage, resulting in little contribution for the underlying asset. While poor liquidity dampens arbitrage activity. According to the generalized information share model of Lien and Shrestha (2014) and the permanent-transitory model of Gonzalo and Granger (199 ), the price discovery of ETF is most effective toward market close. Finally, the earlier the market opens, the greater it facilitates information shares.