臺灣發展新期貨商品之可行性研究 ~房地產指數、蝴蝶蘭與ABS樹脂

Research on the Feasibility of Developing New Futures Products in Taiwan ~ Real Estate Price Index, Phalaenopsis and ABS Resin

黃楷倫(Kai-Lun Huang)

指導教授 ： 游張松

國立臺灣大學/管理學院/商學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10255

摘要

本研究之目的在於探討台灣發展房地產指數、蝴蝶蘭與ABS樹脂為期貨商品的可行性。本文首先將過去文獻所提出影響期貨契約的成功因素歸納為「現貨商品的特徵」與「契約本身的特徵」兩大類別，其中在現貨商品的特徵上，主要有現貨市場的規模、現貨價格的波動性、現貨市場資訊透明度、充足的現貨商品供給量、商品適合儲藏、商品可以被精確分類衡量且同質性高、商品必須是基礎商品，而非加工的產品等；而在契約本身的特徵上，主要影響的關鍵因素是可以提供有效的避險效果、市場上無類似的替代契約、符合市場參與者需求的契約規格設計、交易所與標的現貨市場位於相同地區等。
本研究在三、四、五章採用相同的分析架構，分別探討台灣發展房地產指數期貨、蝴蝶蘭期貨與ABS樹脂期貨的可行性。首先了解台灣現貨市場的現況，其次分析國外推出類似期貨商品的成功與失敗原因，接著比較這三項產品與前述文獻中的現貨商品之特徵，並討論其能為市場參與人帶來的經濟效益，最後在第六章做出以下結論與建議：
1. 房地產指數期貨：在現貨市場方面，由於目前在全球不景氣的情況之下，房地產現貨市場萎縮，交易量大幅下降，將導致市場參與人缺乏避險需求，且台灣房地產現貨市場的資訊公開與透明程度仍有待提昇，若市場存在資訊不對稱的情況，則易降低市場參與人的進場意願；在標的物方面，目前台灣房地產指數在即時性上略顯不足，故在綜合比較之後，本研究認為台灣目前並不適合貿然推出房地產指數期貨。
2. 蝴蝶蘭期貨：台灣擁有良好的現貨市場基礎，且蝴蝶蘭本身的培育期長、風險高，市場參與人有避險的需求，本研究認為台灣擁有發展蝴蝶蘭期貨的基本條件，但由於蝴蝶蘭的基本特性目前看來較不適合做為期貨的標的物，且現貨市場的資訊公開與透明程度仍有待提昇，花農對於衍生性金融商品的操作較不熟悉，故在綜合比較之後，本研究認為台灣目前發展蝴蝶蘭期貨的可行性較低。
3. ABS樹脂期貨：台灣在全球ABS樹脂上下游供應鏈裡扮演重要的角色，在上游的ABS樹脂方面，台灣廠商產能占世界三分之一之多，在下游的製造商方面，台灣有數百家的模具商、機械商與零件商在中國製造各樣產品，中國政府家電下鄉的政策更讓ABS的需求量持續增加，穩建的現貨市場基礎讓台灣具備發展期貨的基本條件；此外，ABS樹脂本身也具有影響期貨商品成功之現貨商品之特徵，故本研究認為台灣具備發展ABS樹脂的有利條件，若後續能在契約設計與行銷推廣上多加努力，將有機會成為台灣期貨交易所成功的期貨商品。本研究最後提出ABS樹脂期貨的建議契約規格，標的物應選擇目前交易量最大的通用級產品，並採現金結算方式，報價單位採用新台幣計價，其最小變動單位建議設在每噸300~350元新台幣之間，契約大小可考慮5噸或10噸以配合現貨市場的交易習慣，此外，契約推出後必須依現貨市場的需求作適時的調整，使期貨與現貨市場能夠緊密的連結，ABS樹脂期貨才能成功地在市場持續發展。

關鍵字

期貨 ； 房地產 ； 蝴蝶蘭 ； ABS樹脂 ； 契約設計

並列摘要

The purpose of this research is to study the feasibility of developing the real estate index, Phalaenopsis, and ABS resin markets into futures products in Taiwan. In the research, we distinguish the factors of successful futures contracts into “Factors of spot market” and “Factors of contracts” from past studies. The spot market characteristics include: large scale, spot price volatility, information disclosure, large deliverable supply, ability to store spots, ability to easily classify and measure spots with high homogeneity, and the notion that spots are parameterized as the basic goods, and not the manufactured product. The main characteristics of contracts include: good risk-reduction ability, no other substitute contract in the market, the contract design is able to conform to the demand of the market participants, and the futures exchanges and the spot markets are in the same district.
Our research uses the same structure as in chapters 3, 4 & 5 to conduct the analysis. We begin with a review of the current spot market in Taiwan, followed by an analysis of the success and failure of similar futures products in other countries. Next, we compare the three products with the “Factors of spot market” in past studies and discuss their economic benefit. Lastly, we make the following conclusions and suggestions in chapters 6.
1. Real estate index futures: The latest home-price data show that the Taiwanese real estate market has been hit hard by the current economic downturn. This sharp decrease in housing trade volume will diminish the market participants’ need to look for ways to hedge. In addition, because the level of the Taiwanese real estate market information disclosure and transparency is low, this information asymmetry causes the markets to become inefficient and to thus decrease trade volume. Lastly and as for the futures target, the Taiwanese real estate indices are not sufficiently real-time. Based on the above reasons, we conclude that Taiwan should not hurry into launching a real estate index futures product at this time.
2. Phalaenopsis futures: Taiwan has a stable spot market. The incubation period of Phalaenopsis is long, and the risk is high, so the market participants have hedge demand. Although Taiwan is in a good position to develop Phalaenopsis futures, but the characteristic of Phalaenopsis make it not proper to be the futures target. The level of the Phalaenopsis market information disclosure and transparency is low. Farmers are also not familiar with derivative financial products. Based on the above reasons, we conclude that Taiwan should not launch a Phalaenopsis futures product at this time.
3. ABS resin futures: Taiwan plays a vital role in ABS resin supply chains with Taiwan being home to more than one-third of the world's upstream material production capacity. As for the downstream manufacturers, hundreds of Taiwanese mold manufacturers, machinery corporations, and component providers make products in China. As far as market demand is concerned, the “Chinese Government's Consumer Electronics Subsidy Program” increases the demand of ABS resin, which provides Taiwan a stable base for the spot market. At the same time, ABS resin is equipped with success factors of futures as mentioned above. Therefore, the result of our analysis shows that Taiwan is in a good position to develop ABS resin futures. To ensure successful development of the futures, we also suggest Taiwan Exchanges work on the contract design and marketing and propose the ABS resin futures contract specifications. In addition, Taiwan Exchanges should choose the “General Purpose Grade” product as the target, adopt cash settlement, use $NTD as the price quotation base, set 300~350 NTD/Ton as minimum price fluctuation (Tick), and set 5 or 10 tons as the contract size to fit the spot market trading usage. Lastly, adjustments for the contract specifications need to be made to fit the spot market so the ABS resin futures product can be successful in the market.

並列關鍵字

Futures ； Real estate ； Phalaenopsis ； ABS resin ； Contract design

參考文獻

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