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題名：投資人注意力與價格發現-以ETF 為例
作者：蔡己生
作者(外文)：TSAI CHI SHENG
校院名稱：國立高雄科技大學
系所名稱：財務金融學院博士班
指導教授：汪逸真
學位類別：博士
出版日期：2022
主題關鍵詞：投資人注意力；價格發現；個股期貨；報酬率；investor attention；price discovery；individual stock futures；rate of return
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本研究分別以台灣50、寶滬深、FB上証與FH滬深四檔指數的日資料報酬率為樣本，檢視投資人注意力是否會影響期貨與現貨的價格發現能力之探討。另外，投資人注意力變數則採用Google trend (Search Volume Index, SVI)。
根據實證結果，ADF單根檢定得知現貨價格及期貨價格皆為非定態的序列，但調整後搜尋量指數(Adjusted Search Volume Index, ASVI)為一定態序列。再經由ADF單根檢定得知現貨報酬率(SPR)、期貨報酬率(FPR)為定態序列，因此改以SPR、FPR及ASVI為本研究之探討變數。再來，由VAR模型發現，台灣50傳遞訊息能力相較FB上証、FH滬深及寶滬深快速且伴隨著ASVI越大，對於FB上証、台灣50 在價格發現上較明顯的。第三，由因果關係檢定結果得知，台灣50相較於FB上証、寶滬深及FH滬深來說，FPR對SPR的預測無統計關聯，而SPR對FPR的預測亦無統計關聯。其他三者FPR對SPR的預測有統計關聯。最後，以預測誤差變異數分解得知，台灣50相較於FB上証、寶滬深及FH滬深來說，FPR對SPR反應較為緩慢且解釋能力不足。
This study uses the daily data rate of return of the index of TW501, PHS1and FBS1 and FHHS1 respectively to examine whether investor attention will affect the price discovery ability of futures and spot. In addition, the investor's attention or retail attention variable uses the Google Trend Search Volume Index (SVI).
According to the empirical results, the ADF single root test knows that the spot price and the futures price are both non-stationary sequences, but the ASVI is a certain sequence. Then through the ADF single root test, it is known that the spot rate of return (SPR) and the futures rate of return (FPR) are stationary sequences, so SPR, FPR, and ASVI are used as the variables for this study. Next, the VAR model found that TW501’s ability to transmit messages is faster than that of FBS1, FHHS1, and PHS1. With the increase in ASVI, the price discovery of FBS1 and TW501 is more obvious. Third, from the results of the causality test, TW501 compared with FBS1, PHS1 and FHHS1, FPR has no statistical correlation with SPR prediction, and SPR has no statistical correlation with FPR prediction. The other three FPR have statistical correlation with the prediction of SPR. Finally, based on the decomposition of the forecast error variation, it is known that TW501 has a slower response to SPR than SPR FBS1 and FHHS1 and PHS1.
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