| Summary: | 博士 === 淡江大學 === 財務金融學系博士班 === 99 === It is vital to establish a fair and efficient trading mechanism and market for investors, especially small trades or individual investors. However, there are few studies in complete research by inspecting the trade informational and behavioral difference between futures and traders on TAIFEX found since July 1998. In order to a direct and explicit examination of the intraday information efficiency on Taiwan futures market, we apply a tick-by-tick data to investigate the intraday transaction cost and the testing of learning hypothesis for four main index futures and four types of investors market. Two measures of intraday information efficiency: bid-ask spreads and the cross-sectional beta estimate of unbiased regression per minute proposed by Biais et al., 1999 are used for analyzing in this study. The empirical results interpret three findings. First, the information transmission efficiency is not completely and there is asymmetry information universally among the different futures and traders from the evidence of bid-ask spread. Second, the imperfect information transmission efficiency exists generally among the different futures but does not exist in different traders of TXF futures by testing betas. Third, for survey of the effect on clearing mechanism change, we divide our data into two sub-samples by November 2008. The empirical results in two sub-samples are approximately similar to the whole sample. It is evident that the informational efficiency of price is more fluctuant after changing in clearing mechanism of index futures and options. Finally, for calculation of beta contribution, most of intraday information transmission efficiency for all futures and traders take place within opening one-hour except for FXF futures, XIF futures and investment trusts investors and the reversals are more obvious during near close periods for all futures and traders.
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