Mini Index Futures: Information Impacts,Relative Pricing,and Arbitrage Opportunities in the Least Frictional Markets

小型指數期貨：低摩擦市場中的資訊衝擊、相對定價與套利機會

林允永(Yun -Yung Lin) ； 謝文良(G. Wen-liang Hsieh)

《財務金融學刊》 15卷1期 (2007/04) Pp. 103-134

https://doi.org/10.6545/JFS.2007.15(1).4

摘要

本文分析大、小型台灣加權股價指數期貨的錯價與套利機會，實證持現兩者相對定價具有極小幅度的事後（ex-post）定價誤差和相當不確定的事前（ex-ante）套利利潤。日內定價誤差呈現W型態，意味資訊密集發生於兩市場開盤時段，造成較多套利機會。迴歸分析進一步發現，大、小型指數期貨的錯價幅度和套利機會深受資訊相關變數的影響，包括期貨波動性、成交量、未平倉量等變數，皆與兩合約價格的偏離顯著相關。本文史發現當原本資訊反應較落遲的小型台指期貨的價格發現改善時，兩市場間的定價效率亦有所增進，這代表兩市場對於資訊反應的同步性是影響錯價福度與套利機會的重要原因之一。簡而言之，資訊衝擊愈大，則套利機會愈多；但若兩市場對於資訊反應的同步性提高，則錯價幅度縮小、出界時間縮短、且套利機會減少。

關鍵字

指數期貨 ； 小型期貨 ； 定價效率 ； 套利 ； 台灣市場

並列摘要

This paper examines the pricing relationship between the mini index futures and the regular-sized counterpart traded on TAIFEX. The mini-regular arbitraging is free from many trading impediments, providing an opportunity to investigate the arbitrage activities in an almost frictionless environment. The mini-regular pricing is highly efficient as evident by the small ex-post mispricing and unpromising ex-ante arbitrage profits. The W-shaped intraday pattern of price deviation suggests that arbitrage opportunities tend to concentrate in periods (futures opening and spot opening) of intensive information impacts. Regression results show that information relevant variables including futures volatility, volume, and open interest are significantly linked to the mini-regular price deviations. Furthermore, we find that the TX-MTX pricing efficiency is improved as the originally lagged mini contract enhances its price discovery so that the two markets respond to information impacts in a synchronous manner.

並列關鍵字

Indexfutures ； Mini contract ； Pricing Efficiency ； Arbitrage ； Taiwan

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