The Relationship Between Investor Attention and Market Efficiency：Evidence from Single Stock Futures

[[abstract]]本研究首次以投資人注意力來探討其對資訊傳遞的價格發現是否具有影響力。本文運用向量誤差修正模型檢定期貨與現貨之價格發現，以台灣個股期貨與標的現貨股票為研究標的，探討個股期貨與其現貨間價格發現的領先-落後關係，是否仍符合期貨市場價格領先的效率性，再加入Google搜尋量指數（SVI）當作投資人注意力的代理變數，進一步探究搜尋量，與價格發現的市場效率性之間的關聯性。實證結果發現台灣個股期貨不具價格發現的領先性，加入SVI後，投資人注意力會影響期貨市場的效率性，亦即當搜尋量越高時，代表投資人注意力越高，進而影響雜訊交易者的投資行為，產生個股期貨領先其現貨的結果，表示投資人注意力影響市場的效率性。[[abstract]]Thisresearchisaimedtoinvestigatetheeffectofinvestorattentiononpricediscoveryofinformationdeliveryinthestockfuturesmarket.ItemploystheVectorErrorCorrectionModeltoexaminethepricediscoveryoffuturesandspot.Thestudydiscusseswhetherthepricelead-lagrelationshipbetweensingle-stockfuturesandspotintermsofpricediscoveryconformstothepriceleadingefficiencyoffuturesmarket.Inaddition,thestudyadoptsGoogleSearchVolumeIndex(SVI)asaproxyvariableforinvestorattentionsoastofurtherexploretherelationshipbetweentheSVIandmarketefficiencyofpricediscovery.TheresultsoftheempiricalstudyshowthatTaiwansingle-stockfuturesdonottaketheleadinpricediscovery.However,aftertheadditionofSVI,investorattentionwillaffecttheefficiencyofsingle-stockfutures;thatis,thelargerthesearchvolumeis,themoreinvestor’sattentionbecome.Itfurtherinfluencestheinvestmentbehaviorofnoisetraders,leadingtothefactthatsingle-stockfuturespricewillbeaheadofitsspotprice,andindicatingtheimpactofinvestorattentiononmarketefficiency