An Alternative Test of the Performance of Futures Markets-A Note

期貨市場績效的另一種檢定－補註

朱浩民(Hau-Min Chu)

《中國財務學刊》 1卷2期 (1994/01) Pp. 53-63

https://doi.org/10.6545/JoFS.1994.1(2).4

摘要

傳統的效率性（EMH）檢定在衡量期貨市場的表現時有其不足之處。本文採用Stein（1987;1991）文中新的效率測度來衡量五個國家九種金融期貨的表現。實證結果顯示不同國家的不同期貨市場表見各異其趣，其中日本與香港市場表現最差，接著是澳洲市場、英國市場與美國市場。在探討期貨價格與後來實現現貨價格間的偏差來源時，不能被期貨契約規避之預測誤差被認為是主要的原因。然而風險性補償在日經225及恒生股價指數期貨市場上亦扮演了重要的角色。

並列摘要

There are deficiencies with the traditional EMH tests in the evaluation of t he performance of futures markets. This paper applies a new efficiency measure in Stein (1987;1991) to evaluate the performance of nine financial futures in five countries. The result shows that different futures market behaves differently in different countries. Among them, .Japanese and Hong Kong markets have t he poorest performance, followed by Australian market, U.K. markets and U.S. mark et s. In tracing the sources of the deviation between futures price and subsequently realized cash price, forecast error that can not be hedged away by the futures contract is found to be the major cause. However, risk premium also plays an important role in the Nikkei 225 and Hang Seng stock index futures markets.