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.
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