臺灣博碩士論文加值系統

本文在訊息不對稱的原理下結合市場微結構進一步推導資產訂價，並且實證探討訊息傳遞的效果是否成立：一是中國的股票市場包含了A股跟B股，探討A股具有訊息傳遞到B股的效果；二是藉由國內的期貨市場與國際因素探討影響台灣的加權指數。對於具備私有訊息的交易者的交易行為往往或多或少會揭露出他們的訊息，進而形成公開訊息；不具私有訊息的交易者來說，唯一可以獲得並利用的資訊就是公開訊息，此時便是訊息傳遞效果的形成。以中國股票市場為例，外國人只能交易B股的限制下，藉由觀察A股的最高價跟最低價的範圍分析B股的合理價格，而此傳遞效果更是縮短了中國股票市場A股跟B股的價差。探討台灣市場，以國內因素而言，發現在台灣期貨市場中，外資跟國內法人的未平倉量對於台灣加權指數有顯著的影響；就國外因素而言，美國市場的標準普爾500指數對台灣加權指數亦是影響甚鉅。基於以上訊息傳遞效果的成立，亦是驗證我們提出在訊息不對稱的情況下，一般投資人(不具備私有訊息)可以藉由觀察公開資訊來弭補自身訊息量的不足，在此市場微結構下兩種交易人的行為便決定了資產的訂價。

We construct a model based on market microstructure and examine the information transmission effect of equity prices in A-share and B-share markets in China and global and domestic impact factors on the Taiwan capitalization weighted stock index (TAIEX). Our investigation on the measure of the information transmission effect presents a substantial segment of the cross-sectional variation in B-share discounts and finds that the information transmission plays a critical role in explaining how foreign share discounts become more contractive in China. On the other hand, We use the Standard and Poor’s (S&;P) 500 closing index and open interest from the Taiwan Futures Exchange (TAIFEX) to represent the global and domestic impact factors, respectively. Examining the trading behavior of foreign and domestic institutions by observing open interest in the futures market reveals the private information of these institutions. Finally, the results indicate that the influence of the information transmission effect is significant on asset pricing.

謝辭 I
中文摘要 II
Abstract III
List of Tables VI
List of Figures VII
Chapter 1 Introduction 1
Chapter 2 Model of Information Asymmetry and Transmission and empirical analysis by China 9
2.1 Equilibrium Price in the A-Share Market 11
2.2 Equilibrium Price in the B-Share Market 12
2.3 Analysis of the Information transmission Effect on the B-Share Discount and Empirical Results 13
2.3.1 Data and Statistics 15
2.3.2 Empirical Result of Panel Data 18
Chapter 3 Model of Information Asymmetry and Transmission and empirical analysis by Taiwan 24
3.1 Equilibrium Opening Price in the Stock Markets 26
3.2 Analysis of the Information Transmission Effect in the Taiwan Stock Market and Empirical Result 27
3.2.1 Data and Statistics 29
3.2.2 Empirical Results 32
Chapter 4 Conclusions 39
References 42
Appendix A 49
Appendix B 55


List of Tables
1 Descriptive statistics of trading variables in the A-share and B-share markets 17
2 Results of unit root test of trading variables in the A-share and B-share markets 18
3 Hausman Test - SHSE and SZSE 19
4 Analysis of Coefficients and t-statistic – SHSE 21
5 Analysis of Coefficients and t-statistic – SZSE 23
6 Descriptive statistics of trading variables in the U.S. and Taiwan 31
7 Results of unit root test of trading variables in the U.S. and Taiwan 33
8 Analysis of Coefficients and t-statistic in the U.S. and Taiwan (full period) 35
9 Analysis of Coefficients and t-statistic in the U.S. and Taiwan (during financial crisis) 36
10 Analysis of Coefficients and t-statistic in the U.S. and Taiwan (after financial crisis) 38
List of Figures
1 Averages of A-share price, B-share prices, and B-share discounts 3

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