台股指數期貨定價誤差與市場流動性及波動性的關係

期貨與現貨之間存在無套利關係，期貨實際價格偏離理論價格的現象與交易成本有關，而流動性更是市場上重要的摩擦因素，本論文因此認為流動性與定價誤差之間存在著關聯性。流動性的增加可促進期貨的定價效率，使得定價誤差縮小；另一方面，定價誤差過大可能會引起套利活動，進而影響流動性，因此本研究也將更進一步針對定價誤差與流動性的因果關係作探討。此外，定價誤差的發生亦會受到資訊衝擊的影響，當資訊遭到衝擊，市場波動性增加，期貨與現貨也會因為價格反應速度不同而導致定價無效率，因此本文的另一個研究重點即在於探討定價誤差與波動性之間的關聯性。研究結果發現，流動性與定價誤差呈現顯著負相關，且兩者的關係為相互影響且持續性的。在Granger因果關係檢測中，使用ILLIQ流動性指標的結果顯示流動性與定價誤差互有因果關係，因此兩者可以用來相互預測，而使用Martin流動性指標來分析時，結果顯示流動性的大小確實會影響定價誤差，但定價誤差的大小對於流動性的影響並不顯著。最後，本研究進行迴歸分析及相關性分析，結果發現定價誤差與波動性及交易量具有顯著之正向關係，且其影響為持續性的，表示資訊衝擊確實會造成期貨與現貨價格的偏離。而利用Granger因果關係檢測得知波動性與定價誤差互有因果關係，且可以互相預測，但交易量與定價誤差不會相互影響亦沒有長期的關係。

關鍵字

定價誤差；流動性；波動性；向量自我迴歸； Granger因果關係；衝擊反應函數

並列摘要

The spots and futures prices are bound by the no-arbitrage relationship. The actual price of futures deviates from the theory price because the existence of transaction costs. Market liquidity is one of the most important transaction costs. In this thesis, I considered liquidity relevant to the mispricing of futures contract. The increasing of liquidity enhances the price efficiency and decreases the absolute mispricing; on the other hand, serious mispricing may result in arbitrage trades, and then influence the liquidity. The study uses the Granger causality test to find out the relationship between mispricing and liquidity. Additionally, mispricing is affected by information. As the information impacts market, volatility will increase, then pricing efficiency is deterred. The thesis also concerns the relationship between mispricing and volatility. The empirical findings include the following: (1) absolute mispricing and liquidity are negative correlated. (2) there is two-way Granger causality between absolute mispricing and ILLIQ liquidity measurement. (3) Martin liquidity measurement can Granger-cause absolute mispricing. Regression and correlation analysis are used to test the relationship between the absolute mispricing and volatility (trading volume). The empirical findings include the following: (1) There is a lasting and positive effect between absolute mispricing and volatility (trading volume). (2) There is two-way Granger causality between absolute mispricing and volatility, but it is not significant between absolute mispricing and trading volume.

並列關鍵字

Mispricing ； Market liquidity ； Volatility ； VAR ； Granger causality ； Impulse response functions

參考文獻

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11.Chordia, Tarun, Richard W. Roll, and Avanidhar Subrahmanyam, 2000,”Commonality in liquidity”,Journal of Financial Economics 56, 3-28.

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1.Amihud, Yakov, 2002, “Illiquidity and stock returns: Cross-section and time-series effects,” Journal of Financial Markets 5, 31-56.

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國際替代計量

台股指數期貨定價誤差與市場流動性及波動性的關係

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