| Summary: | 博士 === 國立臺灣科技大學 === 企業管理系 === 94 === The TAIEX-related markets have traditionally comprised the TAIEX futures and the TAIEX spot market for their component stocks. This picture has, however, been altered by the advent of the Exchange Traded Fund (ETF): the Polaris Top 50 Tracker Fund (TTT). Has the launch of an ETF provided an index-alternative vehicle with a price discovery property in the short-run, and how can the relative rate of price discovery in this new index-mimicking security shed light on the essential factors regarding the efficiency of price discovery? The issue of comparing the informational efficiency among financial markets is not only important in helping practitioners formulate profitable trading strategies, but it is also useful for both regulators and researchers in designing a securities market.
To investigate the above issues, this study use intraday price changes as an information proxy to analyze the information transfer across the TAIEX-related markets. Specifically, before the listing of the TTT, the sample period runs from January 1, 2003 to June 29, 2003, and consists of the observations for TAIEX futures and the TAIEX. After the listing of the TTT, the sample period spans from November 1, 2003 to April 30, 2004, and consists of the observations for TTT, TAIEX futures and the TAIEX. Based on the VAR model, Granger causality tests, impulse response analysis and forecast error variance decomposition are applied to identify the short-run price discovery efficiency and information transmission dynamics among the markets.
During the sample period, the overall evidence indicates that all three markets contribute to the information transmission process, suggesting an informational role of the ETF in the short-run price discovery. However, the futures market remains the informational leading market, followed by the spot market and only then the TTT. Contrary to findings in U.S. equity index markets, the TTT is less efficient in terms of discovering the information. The reason for this is that, in Taiwan, the newly- established ETF market is traded less heavily, thereby inducing an inferior price discovery function.
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