[[alternative]]Comparisons of Price Discovery Functions among Taiwan 50 index, Futures and ETF Market

[[abstract]] 本文以共整合理論與誤差修正模型，來探討台灣50指數、台灣50指數期貨與ETF間，是否存在長期穩定之均衡關係，進而探討價格發現的過程，研究期間為2003年7月1日至2004年11月30日的每日收盤價資料。實證結果顯示：(1)三種變數間存在共整合關係，意味著已達長期穩定之均衡關係。(2)在價格發現能力以台灣50指數最佳，ETF市場次之，台灣50指數期貨最差。(3)台灣50指數與台灣50指數期貨之間存在雙向的回饋關係，但是台灣50指數與ETF間只存在單向因果關係。(4)就衝擊反應函數觀察，台灣50指數受新訊息影響所產生的衝擊大於ETF與台灣50指數期貨所導致的衝擊。而預測誤差變異數分解進一步發現，台灣50指數對預測誤差變異數的解釋能力稍強，亦即台灣50指數為價格變動的領先指標。[[abstract]] This paper uses cointegration test and error-correction model to test the long run equilibrium among the Taiwan 50 index, index futures and ETF, and price discovery process as well. We use daily closing index prices data during 2003/07/01~2004/11/30. The conclusion can be summarized as follows: (1)Taiwan 50 index, index futures and ETF exist a cointegration relationship and long run equilibrium; (2)Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the index futures and ETF market, but not in the Taiwan 50 index. The results also indicate that the Taiwan 50 index has better function in price discovery process; (3)By Granger causality model, Taiwan 50 index and ETF are only one-directional relationship; (4)For impulse response function, Taiwan 50 index has more innovation effects than the index futures and ETF