股價指數期貨定價之研究－新加坡摩根台指期貨之實證

Stock Index Futures Pricing-The Case of SIMEX Morgan Taiwan Stock Index

黃玉娟(Yu-Chuan Huang) ； 徐守德(David Shyu)

《Asia Pacific Management Review》 4卷3期 (1999/09) Pp. 255-269

https://doi.org/10.6126/APMR.1999.4.3.04

摘要

本研究探討新加坡摩根台股指數期貨契約的定價行為與市場效率。在考慮不同的交易成本、投資者借貸利率不同、以及台灣上市公司特有的股利結構之後，本研究分別以近月份及遠月份契約之日資料進行分析。研究結果顯示新加坡摩根台股指數期貨市場，在其引進的初期，市場之定價效率並不高而普遍存在套利機會，且錯誤定價的情況多為偏低定價的情形。此外，錯誤定價幅度與距到期日期間有顯著正相關，顯示距到期日期間越長，錯誤定價情況也越嚴重。

關鍵字

台股指數期貨 ； 定價效率 ； 錯誤定價

並列摘要

This paper investigates the pricing behavior and market efficiency for Taiwan Stock Index Futures that traded on SIMEX. The pricing model in this study incorporates different transaction costs, differential borrowing and lending rates, and seasonal dividend payouts. The empirical tests utilize daily closing values of the SIMEX Morgan Taiwan Stock Index and the two nearest maturity futures contracts to examine the efficiency of futures pricing relative to the cash index. Results indicate that since the inception of trading in 1997, the SIMEX Morgan Taiwan Stock Index Futures contracts has generally sold at a discount relative to its theoretical value, moreover, the regression results show that the mispricing is positively and significantly related to time-to-maturity for both near and far contracts.

並列關鍵字

Taiwan Stock Index Futures ； Pricing Efficiency ； Mispricing

參考文獻

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