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題名：投資人注意力與市場效率之關聯性-以台灣個股期貨為例
作者：康瓊文
作者(外文)：Chiung-Wen Kang
校院名稱：國立高雄第一科技大學
系所名稱：財務金融學院博士班
指導教授：王銘駿
學位類別：博士
出版日期：2017
主題關鍵詞：價格發現；投資人注意力；Google搜尋量指數；向量誤差修正模型；市場效率；Price discovery；Investor attention；Google Search Volume Index；Vector Error Correction Model；Market efficiency
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本研究首次以投資人注意力來探討其對資訊傳遞的價格發現是否具有影響力。本文運用向量誤差修正模型檢定期貨與現貨之價格發現，以台灣個股期貨與標的現貨股票為研究標的，探討個股期貨與其現貨間價格發現的領先-落後關係，是否仍符合期貨市場價格領先的效率性，再加入Google搜尋量指數（SVI）當作投資人注意力的代理變數，進一步探究搜尋量，與價格發現的市場效率性之間的關聯性。實證結果發現台灣個股期貨不具價格發現的領先性，加入SVI後，投資人注意力會影響期貨市場的效率性，亦即當搜尋量越高時，代表投資人注意力越高，進而影響雜訊交易者的投資行為，產生個股期貨領先其現貨的結果，表示投資人注意力影響市場的效率性。
This research is aimed to investigate the effect of investor attention on price discovery of information delivery in the stock futures market. It employs the Vector Error Correction Model to examine the price discovery of futures and spot. The study discusses whether the price lead-lag relationship between single-stock futures and spot in terms of price discovery conforms to the price leading efficiency of futures market. In addition, the study adopts Google Search Volume Index (SVI) as a proxy variable for investor attention so as to further explore the relationship between the SVI and market efficiency of price discovery.
The results of the empirical study show that Taiwan single-stock futures do not take the lead in price discovery. However, after the addition of SVI, investor attention will affect the efficiency of single-stock futures; that is, the larger the search volume is, the more investor’s attention become. It further influences the investment behavior of noise traders, leading to the fact that single-stock futures price will be ahead of its spot price, and indicating the impact of investor attention on market efficiency.
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