价格发现与择时策略—台湾50 ETF实证研究

Price Discovery and Market Timing—An Examination on Taiwan Top 50 ETF

摘要: 指数股票型基金(ETFs)的问世，使投资人在现货股票市场可透过买卖ETFs执行对指数的多空交易策略，快速反应新信息，尤其是整体市场信息。本文运用台湾50 ETF上市以来八年的净值与市价数据，观察信息于台湾股票及其衍生市场内传递的过程，以了解投资人是透过高权值股票抑或ETF去反应信息，此即在探讨ETF净值与市价二种价格之间的领先落后关系，从而确认是否可据此形成有利的择时策略并套取稳健报酬。实证结果显示，二种价格序列存在一个长期均衡趋势、形成一个共整合系统，而可以向量误差修正模型来描绘他们的关系；分期来看，交易前期以净值居绝对的价格发现主导地位，显示投资人仍习惯优先以权值现货股票交易去反应信息，而交易后期当台湾50 ETF成交量倍增时，其市价的价格发现功能大为提升，与净值互居领导地位，显示台湾市场较支持“市场流通性假说”；最后依据二类市场或价格的动态关系归纳出的择时策略在交易前期折价情况有较佳的报酬绩效，后期因台湾50 ETF价格发现功能大为增进的情况下，报酬空间较小且风险较大。

Abstract: Exchange-Traded Funds (ETFs) make it possible to trade index in cash market to response new information, especially market-wide information, rapidly. This paper uniquely analyzes market prices and net asset values (NAVs) of Taiwan Top 50 ETF for eight years to observe the dissemination of information be- tween ETF and high-cap stock markets and thus to comprehend the preference of investors while responding to new events. The results indicate that there exists a cointegrated system between two price series and the vector error correction model could be applied to describe their dynamics. For the first half of the 8-year data period, the NAVs lead the market prices in an absolute manner showing that since the lower liquidity of Tai- wan 50 ETF, informed traders still prefer to react to information by trading high-cap stocks. For the second half data period while the trading volume of the ETF has more than doubled, this outcome changes. The price discovery function of Taiwan 50 ETF has greatly enhanced. The two prices lead each other. Such evidence supports “market liquidity hypothesis”. The market timing strategy based on the lead-lag results above has better performance in the former data period, yet in the latter period while Taiwan 50 ETF enhancing its price discovery function, the return of that strategy decreased, and the risk increased.