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題名 市場效率和投資人情緒：以期貨和現貨市場間的價格動態調整為例
Market Efficiency and Investor Sentiment: Evidence from the Pricing Dynamics between Futures and Spot Markets
作者 林楚彬
Lin, Chu Bin
貢獻者 周冠男
Chou, Robin K.
林楚彬
Lin, Chu Bin
關鍵詞 Information shares
Investor sentiment
Lead–lag relation
Price discovery
日期 2015
上傳時間 3-Feb-2016 11:17:36 (UTC+8)
摘要 This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid–ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. As a consequence, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets’ leading informational role and contributions to price discovery. My findings provide support for the theory of limits to arbitrage.
參考文獻 Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42, 533-553.
Ates, A., Wang, G.H.K., 2005. Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. Equity index futures markets. Journal of Futures Markets 25, 679-715.
Back, K., 1993. Asymmetric information and options. Review of Financial Studies 6, 435-472.
Baker, M., Wurgler, J., Yuan, Y., 2012. Global, local, and contagious investor sentiment. Journal of Financial Economics 104, 272-287.
Baker, M. P., Wurgler, J.A., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307-343.
Bekiros, S.D., Diks, C.G.H., 2008. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. Energy Economics 30, 2673-2685.
Berger, D., Turtle, H.J., 2011. Emerging market crises and us equity market returns. Global Finance Journal 22, 32-41.
Black, F., 1975. Fact and fantasy in the use of options. Financial Analysts Journal 31, 36-72.
Bollerslev, T., Melvin, M., 1994. Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis. Journal of International Economics 36, 355-372.
Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal 82-90.
Chan, K., 1992. A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies 5, 123-152.
Cherian, J.A., Jarrow, R.A., 1998. Options markets, self-fulfilling prophecies, and implied volatilities. Review of Derivatives Research 2, 5-37.
Cohen, K., Maier, S., Schwartz, R., Whitcomb, D., 1986. The Microstructure of Security Markets Prentice-Hall, Englewood Cliffs, NJ.
De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379-395.
Easley, D., O`Hara, M., Srinivas, P.S., 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53, 431-465.
Engle, R.F., Granger, C.W.F., 1987. Co-integration and error correction: Representation, estimation, and testing. Econometrica 55, 251-276.
Eun, C.S., Sabherwal, S., 2003. Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks. Journal of Finance 58, 549-576.
Finnerty, J.E., Park, H.Y., 1987. Stock index futures: Does the tail wag the dog? Financial Analysts Journal 43, 57-61.
Fleming, J., Ostdiek, B., Whaley, R.E., 1996. Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets 16, 353-387.
French, K.R., Roll, R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5-26.
Frino, A., Walter, T., West, A., 2000. The lead–lag relationship between equities and stock index futures markets around information releases. Journal of Futures Markets 20, 467-487.
Gemmill, G., Thomas, D.C., 2002. Noise trading, costly arbitrage, and asset prices: Evidence from closed-end funds. Journal of Finance 57, 2571-2594.
Glosten, L.R., 1987. Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance 42, 1293-1307.
Gonzalo, J., Granger, C., 1995. Estimation of common long-memory components in cointegrated systems. Journal of Business & Economic Statistics 13, 27-35.
Harris, L., 1989. A day-end transaction price anomaly. Journal of Financial and Quantitative Analysis 24, 29-45.
Hasbrouck, J., 1995. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50, 1175-1199.
Hasbrouck, J., 2003. Intraday price formation in us equity index markets. Journal of Finance 58, 2375-2400.
Hill, R.C., Griffiths, W.E., Lim, G.C., 2008. Principles of Econometrics. Wiley, Hoboken, NJ.
Jones, C.M., Seguin, P.J., 1997. Transaction costs and price volatility: Evidence from commission deregulation. American Economic Review 87, 728-737.
Käppi, J., 1997. Pricing of futures contracts on coupon bonds: Empirical evidence from Finland. European Financial Management 3, 321-332.
Karlsson, N., Loewenstein, G., Seppi, D., 2009. The ostrich effect: Selective attention to information. Journal of Risk and Uncertainty 38, 95-115.
Kawaller, I.G., Koch, P.D., Koch, T.W., 1987. The temporal price relationship between S&P 500 futures and the S&P 500 index. Journal of Finance 42, 1309-1329.
Kurov, A., 2008. Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review 43, 107-127.
Kurov, A., 2010. Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance 34, 139-149.
Lee, W.Y., Jiang, C.X., Indro, D.C., 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.
Mayhew, S., Sarin, A., Shastri, K., 1995. The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements. Journal of Finance 50, 1635-1653.
McInish, T.H., Wood, R.A., 1992. An analysis of intraday patterns in bid/ask spreads for NYSE stocks. Journal of Finance 47, 753-764.
Ng, N., 1987. Detecting spot prices forecasts in futures prices using causality tests. Review of Futures Markets 6, 250-267.
Ng, V.K., Pirrong, S.C., 1996. Price dynamics in refined petroleum spot and futures markets. Journal of Empirical Finance 2, 359-388.
Roll, R., 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.
Röthig, A., Chiarella, C., 2011. Small traders in currency futures markets. Journal of Futures Markets 31, 898-914.
Schmeling, M., 2009. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance 16, 394-408.
Sharpe, W., Alexander, G., 1990. Investment. Prentice Hall, Englewood Cliffs, NJ.
Shleifer, A., Vishny, R.W., 1997. The limits of arbitrage. Journal of Finance 52, 35-55.
Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The short of it: Investor sentiment and anomalies. Journal of Financial Economics 104, 288-302.
Stoll, H.R., Whaley, R.E., 1990. The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis 25, 441-468.
Wang, G.H.K., Michalski, R.J., Jordan, J.V., Moriarty, E.V., 1994. An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market. Journal of Futures Markets 14, 837-859.
Wang, G.H.K., Yau, J., 2000. Trading volume, bid–ask spread, and price volatility in futures markets. Journal of Futures Markets 20, 943-970.
Yu, J., Yuan, Y., 2011. Investor sentiment and the mean–variance relation. Journal of Financial Economics 100, 367-381.
Yuan, Y., 2012. Market-wide attention, trading, and stock returns. SSRN working paper, 1105532.
描述 博士
國立政治大學
財務管理研究所
98357502
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0983575021
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin K.en_US
dc.contributor.author (Authors) 林楚彬zh_TW
dc.contributor.author (Authors) Lin, Chu Binen_US
dc.creator (作者) 林楚彬zh_TW
dc.creator (作者) Lin, Chu Binen_US
dc.date (日期) 2015en_US
dc.date.accessioned 3-Feb-2016 11:17:36 (UTC+8)-
dc.date.available 3-Feb-2016 11:17:36 (UTC+8)-
dc.date.issued (上傳時間) 3-Feb-2016 11:17:36 (UTC+8)-
dc.identifier (Other Identifiers) G0983575021en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81116-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 98357502zh_TW
dc.description.abstract (摘要) This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid–ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. As a consequence, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets’ leading informational role and contributions to price discovery. My findings provide support for the theory of limits to arbitrage.en_US
dc.description.tableofcontents CHAPTER I. INTRODUCTION 1
CHAPTER II. LITERATURE REVIEW AND HYPOTHESIS 6
CHAPTER III. DATA AND MEASUREMENT OF VARIABLES 11
1. DATA 11
2. MEASUREMENT OF VARIABLES 12
CHAPTER IV. EMPIRICAL METHODS 14
1. STRUCTURAL MODELS FOR VOLATILITY AND
BID–ASK SPREADS 14
2. LEAD–LAG RELATION BETWEEN THE FUTURES
AND SPOT MARKETS 15
3. INFORMATION SHARES AND FACTOR WEIGHTS 16
CHAPTER V. EMPIRICAL RESULTS 20
1. INVESTOR SENTIMENT, PRICE VOLATILITY,
BID–ASK SPREADS, AND THE LEAD–LAG RELATION 20
2. INVESTOR SENTIMENT AND THE PRICE DISCOVERY
PROCESS 24
CHAPTER VI. INVESTOR SENTIMENT AND THE FUTURES
TRADING ACTIVITY 27
CHAPTER VII. CONCLUSION 29
REFERENCES 31		zh_TW
dc.format.extent 1205112 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0983575021en_US
dc.subject (關鍵詞) Information sharesen_US
dc.subject (關鍵詞) Investor sentimenten_US
dc.subject (關鍵詞) Lead–lag relationen_US
dc.subject (關鍵詞) Price discoveryen_US
dc.title (題名) 市場效率和投資人情緒：以期貨和現貨市場間的價格動態調整為例zh_TW
dc.title (題名) Market Efficiency and Investor Sentiment: Evidence from the Pricing Dynamics between Futures and Spot Marketsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42, 533-553.
Ates, A., Wang, G.H.K., 2005. Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. Equity index futures markets. Journal of Futures Markets 25, 679-715.
Back, K., 1993. Asymmetric information and options. Review of Financial Studies 6, 435-472.
Baker, M., Wurgler, J., Yuan, Y., 2012. Global, local, and contagious investor sentiment. Journal of Financial Economics 104, 272-287.
Baker, M. P., Wurgler, J.A., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307-343.
Bekiros, S.D., Diks, C.G.H., 2008. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. Energy Economics 30, 2673-2685.
Berger, D., Turtle, H.J., 2011. Emerging market crises and us equity market returns. Global Finance Journal 22, 32-41.
Black, F., 1975. Fact and fantasy in the use of options. Financial Analysts Journal 31, 36-72.
Bollerslev, T., Melvin, M., 1994. Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis. Journal of International Economics 36, 355-372.
Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal 82-90.
Chan, K., 1992. A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies 5, 123-152.
Cherian, J.A., Jarrow, R.A., 1998. Options markets, self-fulfilling prophecies, and implied volatilities. Review of Derivatives Research 2, 5-37.
Cohen, K., Maier, S., Schwartz, R., Whitcomb, D., 1986. The Microstructure of Security Markets Prentice-Hall, Englewood Cliffs, NJ.
De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379-395.
Easley, D., O`Hara, M., Srinivas, P.S., 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53, 431-465.
Engle, R.F., Granger, C.W.F., 1987. Co-integration and error correction: Representation, estimation, and testing. Econometrica 55, 251-276.
Eun, C.S., Sabherwal, S., 2003. Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks. Journal of Finance 58, 549-576.
Finnerty, J.E., Park, H.Y., 1987. Stock index futures: Does the tail wag the dog? Financial Analysts Journal 43, 57-61.
Fleming, J., Ostdiek, B., Whaley, R.E., 1996. Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets 16, 353-387.
French, K.R., Roll, R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5-26.
Frino, A., Walter, T., West, A., 2000. The lead–lag relationship between equities and stock index futures markets around information releases. Journal of Futures Markets 20, 467-487.
Gemmill, G., Thomas, D.C., 2002. Noise trading, costly arbitrage, and asset prices: Evidence from closed-end funds. Journal of Finance 57, 2571-2594.
Glosten, L.R., 1987. Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance 42, 1293-1307.
Gonzalo, J., Granger, C., 1995. Estimation of common long-memory components in cointegrated systems. Journal of Business & Economic Statistics 13, 27-35.
Harris, L., 1989. A day-end transaction price anomaly. Journal of Financial and Quantitative Analysis 24, 29-45.
Hasbrouck, J., 1995. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50, 1175-1199.
Hasbrouck, J., 2003. Intraday price formation in us equity index markets. Journal of Finance 58, 2375-2400.
Hill, R.C., Griffiths, W.E., Lim, G.C., 2008. Principles of Econometrics. Wiley, Hoboken, NJ.
Jones, C.M., Seguin, P.J., 1997. Transaction costs and price volatility: Evidence from commission deregulation. American Economic Review 87, 728-737.
Käppi, J., 1997. Pricing of futures contracts on coupon bonds: Empirical evidence from Finland. European Financial Management 3, 321-332.
Karlsson, N., Loewenstein, G., Seppi, D., 2009. The ostrich effect: Selective attention to information. Journal of Risk and Uncertainty 38, 95-115.
Kawaller, I.G., Koch, P.D., Koch, T.W., 1987. The temporal price relationship between S&P 500 futures and the S&P 500 index. Journal of Finance 42, 1309-1329.
Kurov, A., 2008. Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review 43, 107-127.
Kurov, A., 2010. Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance 34, 139-149.
Lee, W.Y., Jiang, C.X., Indro, D.C., 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.
Mayhew, S., Sarin, A., Shastri, K., 1995. The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements. Journal of Finance 50, 1635-1653.
McInish, T.H., Wood, R.A., 1992. An analysis of intraday patterns in bid/ask spreads for NYSE stocks. Journal of Finance 47, 753-764.
Ng, N., 1987. Detecting spot prices forecasts in futures prices using causality tests. Review of Futures Markets 6, 250-267.
Ng, V.K., Pirrong, S.C., 1996. Price dynamics in refined petroleum spot and futures markets. Journal of Empirical Finance 2, 359-388.
Roll, R., 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.
Röthig, A., Chiarella, C., 2011. Small traders in currency futures markets. Journal of Futures Markets 31, 898-914.
Schmeling, M., 2009. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance 16, 394-408.
Sharpe, W., Alexander, G., 1990. Investment. Prentice Hall, Englewood Cliffs, NJ.
Shleifer, A., Vishny, R.W., 1997. The limits of arbitrage. Journal of Finance 52, 35-55.
Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The short of it: Investor sentiment and anomalies. Journal of Financial Economics 104, 288-302.
Stoll, H.R., Whaley, R.E., 1990. The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis 25, 441-468.
Wang, G.H.K., Michalski, R.J., Jordan, J.V., Moriarty, E.V., 1994. An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market. Journal of Futures Markets 14, 837-859.
Wang, G.H.K., Yau, J., 2000. Trading volume, bid–ask spread, and price volatility in futures markets. Journal of Futures Markets 20, 943-970.
Yu, J., Yuan, Y., 2011. Investor sentiment and the mean–variance relation. Journal of Financial Economics 100, 367-381.
Yuan, Y., 2012. Market-wide attention, trading, and stock returns. SSRN working paper, 1105532.		zh_TW