影響台股指數期貨定價誤差因素之研究

The Determinants of Mispricing of the Taiwan Index Futures Contracts.

鍾銘泰(Ming-Tai Chung)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00150

摘要

本文以日資料與每一分鐘日內資料探討台股期貨之定價效率以及影響定價誤差之因素，並加入市場制度變革探究是否對定價誤差幅度產生影響。
1. 台股期貨之定價效率，以日資料來說，台股期貨偏低定價的頻率、幅度皆大於偏高定價的情況，尤其從民國91年以後偏高定價已不多見。由此可知，台股期貨的定價效率隨著投資人對商品的日漸熟悉以及市場漸趨成熟，定價誤差的情況有減緩的趨勢。以日內資料來說，民國93年與94年台股期貨大多呈現偏低定價的現象，偏高定價在該期間內幾乎消弭不見。
2. 影響定價誤差之因素，以日資料來說，距契約到期日愈遠、現貨價格波動性愈大、成交量愈多、市場趨勢向下、調降跌幅限制與禁止平盤以下可以放空皆為造成台股期貨定價誤差擴大之原因。期貨市場競價撮合時間縮短與調降期交稅皆有助於改善定價效率。政府基金進場與台灣50指數平盤以下可以放空將無法減少定價誤差的發生，但政府基金進場卻可以使偏低定價的情況減少。以日內資料來說，距契約到期日愈遠、現貨價格的波動性愈大、台灣50指數平盤以下可以放空以及調升保證金皆會導致定價誤差更趨嚴重。相反地，調降保證金與借券制度的改變皆可明顯地降低定價誤差。

關鍵字

台股期貨 ； 定價誤差 ； 持有成本模型

並列摘要

This paper investigates the market efficiency of the Taiwan stock index futures traded in the TAIFEX. The pricing model are computed using different transaction costs by different arbitrage groups. The empirical tests utilize daily and intraday minute-by-minute transaction data of the Taiwan stock index and index futures contracts to examine the efficiency of futures pricing related to the cash index. As time passes, we find that the mispricing of the Taiwan stock index futures have reduced, it indicates that the Taiwan futures market gradually matured with time.
The multiple regression analysis is used to test the relationship between the magnitude of mispricing and various economic factors.
For daily transaction data, evidences suggest that reduction of time between transactions and futures transaction tax can decrease the magnitude of the mispricing. On the other hand, our result shows that time-to-maturity of the contract, cash market volatility, price limit, trade volume, market trend downwards, and short sell constraints increase the mispricing of the Taiwan stock index futures. But intervention by government and ETF 50 shares can’t improve the market efficiency.
For intraday minute-by-minute transaction data, evidences suggest that margin decrease and stock lending changes can decrease the magnitude of the mispricing. On the other hand, our result shows that time-to-maturity of the contract, cash market volatility, ETF 50 share short sell constraints, and the increase of margin can increase the mispricing of the Taiwan stock index futures.

並列關鍵字

Taiwan stock index futures ； Mispricing ； Cost of carry model

參考文獻

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