[[alternative]]The Price Discovery Ability between Taiwan Stock Index Markets Using Volatility

[[abstract]]台指選擇權及台指期貨皆是以台灣證券市場指數為交易標的的商品，然而由於真實市場存在不同完美市場假設的交易特質，根據不同市場價格所計算的波動度卻往往不同，市場的不完美為造成波動度值差異的主要原因之一，由於不同市場交易成本及結構的差異，造成訊息交易者傾向選擇較低成本的市場進行訊息交易，故造成不同市場訊息傳遞速度的不一致，本文的主要目的即是要探討三個不同市場在波動度表現，何者在訊息傳遞的速度最具有效率，據此尋找最快速的並準確預測下一期的市場價格的市場波動度的指標，以提供投資參考。[[abstract]]Though Taiwan Stock Index futures (TX) and Taiwan Stock Index Option (TXO) trade the same underlying asset, their market characteristics which are different from the assumptions of perfect market results the different volatilities calculated from these two markets trading data. Since the informed traders tend to trade their asset in the market which with the lower cost, it induces the inconsistency transmission for market information between different markets. The purposes of this paper is to explore the price discovery abilities using the proxy of volatility for three different markets including Taiwan stock market, TX, and TXO for providing the information of predicting the next period of volatility