根據Mitton and Vorkink (2007)提出的偏態偏好理論,投資人追求彩票型收益、偏好投資正偏態資產,往往會導致預期報酬降低,過往許多文獻也表明資產偏態和價格呈顯著的負向關係。Jiang et al. (2019)在商品期貨的研究中更發現基差偏態可以幫助改善報酬的可預測性。因此本研究以基差偏態對期貨的價格預測能力進行探討。本文以臺灣期貨交易所推出之電子期貨及金融期貨為研究樣本,分析基差偏態對兩種不同期貨標的的價格預測能力。此外,以正負基差將市場區分為正、逆向市場,以探討市場性質不同時,是否仍對期貨價格具預測能力。同時,進一步採用較長樣本區間作為穩健性檢定觀察基差偏態對期貨價格的影響。 實證結果顯示,基差偏態對電子期貨及金融期貨之報酬率皆有顯著之負向關係,此結果與Jiang et al. (2019)的論點具一致性。其中,基差偏態在逆向市場時的預測能力較正向市場時更顯著,在拉長樣本區間後,會失去對期貨價格的預測能力。基差及成交量則在任何情況下皆對期貨價格呈顯著相關性,證明其對期貨報酬具高度影響力。
According to the skewed preference theory proposed by Mitton and Vorkink (2007), investors' pursuit of lottery returns and preference for investing positively skewed assets will often lead to a reduction in expected returns. Many previous literatures have also shown that asset skewness and price have a significant negative relationship. In the study of commodity futures, Jiang et al. (2019) also found that basis bias can help improve the predictability of returns. Therefore, this paper discusses the price prediction ability of futures based on the bias of basis difference . This paper takes the electronic futures and financial futures of Taiwan futures exchange as the research samples to analyze the price prediction ability of the basis bias for the two different futures. In addition, the positive and negative basis difference is used to divide the market into positive and negative markets, so as to explore whether the futures prices can still be predicted when the market nature is different. At the same time, a longer sample interval is used as a robust test to observe the effect of basis skewness on futures prices. The empirical results show that the basis bias has a significant negative relationship with the return rate of both electronic futures and financial futures, which is consistent with the argument of Jiang et al. (2019). Among them, the prediction ability of basis skewness in the reverse market is more significant than that in the forward market. After the sample interval is extended, the prediction ability of the futures price will be lost. On the other hand, the basis and trading volume have a significant correlation with the futures price in any case, which proves that they have a high influence on the futures return.