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題名：台股指數期貨之定價及其與現貨間動態關連之研究
作者：黃玉娟 引用關係
校院名稱：國立中山大學
系所名稱：財務管理學系
指導教授：徐守德
學位類別：博士
出版日期：1999
主題關鍵詞：台股指數期貨；錯誤定價；套利；價格發現；共整合；雙變量EGARCH誤差修正模型；Taiwan Stock Index Futures；Mispricing；Arbitrage；Price Discovery；Cointegration；Bivariate EGARCH Error Correction Model
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自從股價指數期貨契約於1982年在美國推出以來，其與現貨之間的相對價格行為一直是學術界與實務界所關切並熱衷探討的主題。因此，本研究的主要目的在於探討SIMEX摩根史坦利(Morgan Stanley Capital International; MSCI)台股指數現貨與期貨之價格行為，包括股價指數期貨之定價與套利交易、現貨與期貨市場之價格動態關聯與其在價格發現上之貢獻，以及現貨與期貨市場在報酬與波動性之動態關聯與外溢效果等。
在台股指數期貨之定價方面，本文首先在完美市場的假設下，分別以部分均衡(partial equilibrium model)與一般均衡模型(general equilibrium model)之架構來說明遠期價格與期貨價格之決定以及遠期與期貨價格均等之條件。其次，本研究進一步考慮交易成本、投資者借貸利率不等、以及台灣上市公司特有的股利結構等因素來修正台股指數期貨之定價模式。接著，本研究以新加坡國際金融交易所推出的台灣摩根史坦利(Morgan Stanley Capital International,MSCI)指數期貨作為研究標的，以日內每五分鐘之成交資料進行實證。在定價效率與套利交易方面之實證結果顯示，新加坡摩根台股指數期貨市場，在其引進的初期，市場之定價效率並不高而普遍存在套利機會，且錯誤定價的情況多為偏低定價的情形。此外，交易成本的增加雖然使得錯誤定價的情況略減，然而還是存在很多套利空間。不過隨著時間的經過，錯誤定價的情形有減緩的趨勢，且套利機會與套利利潤也隨時間而縮小，顯示新加坡摩根台股指數期貨市場之定價效率有逐漸上升的趨勢，而市場也隨時間經過而慢慢趨於成熟。
在現貨與期貨市場的價格動態關聯方面，根據共整合(cointegration)之檢定結果發現摩根台股指數之現貨與期貨市場之間存在共整合關係，顯示台股指數現貨與期貨間已具有穩定的長期均衡關係，其次，因果關係檢定之研究結果則發現台股指數之現貨與期貨市場間存在雙向的因果關係。
最後，本文提出雙變量EGARCH 誤差修正模型來探討摩根台股指數之現貨與期貨市場的日內報酬和波動性之動態交互關係。實證結果顯示，新加坡摩根台股指數的現貨與期貨之間，除了報酬具有雙向之因果關係外，其波動性亦具有顯著的雙向互動關聯；其次，現貨與期貨報酬之波動性具高度持續性，且為過去衝擊的不對稱函數；此外，短期的失衡（指誤差修正項）除了影響到這兩個市場的報酬外，亦會增加這兩個市場的波動與不確定性，因此忽略這些因素均會造成模型誤設之結果而導致不正確的推論。
This study investigates the relative pricing behavior of the Taiwan Stock Index and index Futures that traded on SIMEX. The issues examined include the pricing and arbitrage trading of the stock index futures, the dynamic interaction and the price discovery of the cash and futures market, and the return and volatility interaction and spillover effect.
The first objective of this study examined the market efficiency and the profitability of index arbitrage for Taiwan Stock Index Futures. The pricing model in this study incorporates different transaction costs, differential borrowing and lending rates, and seasonal dividend payouts. It also incorporates the ex-ante and ex-post tests of market efficiency and arbitrage profitability. The empirical tests utilize intraday 5 minutes transaction data of the SIMEX Morgan Taiwan Stock Index and Index 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 have generally sold at a discount relative to its theoretical value, moreover, the ex-ante trading rules would have generated attractive profits after transaction costs and possible delays in execution are considered. However, as time passes, the arbitrage opportunities and profitability have declined and arbitrage risk have increased, indicate that market has gradually matured with time.
The second objective of this investigation is to study the stochastic dynamic relationship and the price discovery role between Taiwan stock index and stock index futures. The cointegration analysis reveals that there exists a long-run equilibrium relationship between these two nonstationary price series. The error correction model (ECM) representation of the two series suggests that there is a two-way feedback relationship in the overall sample period. However, in the first sub-sample period, the spot lead-to futures relationship appears to be more stronger relative to the futures lead-to spot relationship; while in the second and third sub-sample period, the futures lead-to spot relationship is more stronger. This indicates that with the maturity of futures market, it has gradually been the center of price discovery.
The third objective of this investigation is to study the dynamic relationship between return and volatility in the Taiwan stock index and stock index futures. As stock index and index futures return are cointegrated, The bivariate EGARCH error correction model is used in this study. The empirical results show that, there is a strong inter-market dependence not only in the returns of the cash and futures market, but also in the volatility of the two markets. The volatility in both markets is highly persistent and is found to be an asymmetric function of past innovation. Results indicate that the short run dis-equilibrium (measured by error correction term) is responsible not only for returns but also for volatility (measured by conditional variance) of the two markets. These results imply that more precise specification of return and volatility in the two markets may be obtained by including the above factors found in these two markets.
中文部份
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2. 李又剛、黃玉如，1994，「股價指數現貨與股價指數期貨兩者關聯性之探討」，企銀季刊，17：13-28。
3. 林文政、臧大年，1996，「台灣股指期貨定價與套利實務問題探討」，證券市場發展季刊, 第8卷第3期，1-31頁。
4. 胡為善、陳業琇，1996，「股價指數期貨交易對股票價格波動的影響」，第五,屆證券暨金融市場理論與實務研討會。
5. 許溪南、王健聰，1997，「不完全市場下之股價指數期貨定價模式與價格預期分析」，第六屆證券暨金融市場理論與實務研討會。
6. 黃玉娟、徐守德，1997，「台股指數現貨與期貨市場價格動態關連性之研究」，證券市場發展季刊，第9卷第3期，1-28頁。
7. 黃玉娟、徐守德，1999，「報酬與波動性動態關連之研究-摩根台股指數與指數期貨之探討」，國科會研究彙刊，第9卷第1期。(即將出刊)
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