Research in Price Discovery of Taiwan's CBBC Market

• Main Authors: Ting-Hsuan Chou, 周廷軒
• Other Authors: HUNG,JUI-CHENG
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/72886593678834217358

碩士 === 中國文化大學 === 財務金融學系 === 104 === This thesis mainly explores the impact of CBBC market transactions on the price discovery by studying CBBC transaction data at the frequency of 30 minutes and selecting the data of the individual share between 2011 and 2012 as samples. The main research methods applied in this thesis include Unit Root Test, Cointegration Test and Vector Error Correction Model. In the end, it adopts the Information Sharing Ratio (information sharing ratio after correction) put forward by Hasbrouck (1995) and revised by Lien and Shrestha (2009) to evaluate the capabilities of price discovery in CBBC market transactions and spot market. The research findings show that Callable Bull and Bear Contract have different capabilities of the price discovery from spot market where the Callable Bull has better capabilities of the price discovery than spot market and Bear Contract has worse capabilities of the price discovery than spot market. The reason lies in that CBBC is new derivative product emerging in the financial market in recent years whose transaction frequency is impossible to be as high as other derivative products. In addition, with the issuing of Bear Contract and shortage of security sources in Taiwan market, the CBBC issued is too few which results in the inefficiency in the transmission of information in the market.