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題名：台灣股價指數的股利估計及其對台指期貨價格行為的影響
作者：吳依正
作者(外文)：Yi-Chen Wu
校院名稱：雲林科技大學
系所名稱：管理研究所博士班
指導教授：黃金生
許溪南
學位類別：博士
出版日期：2007
主題關鍵詞：向量自我迴歸模型；跨市場波動外溢效果；台股指數期貨；間斷型股利支付；領先-落後關係；不完美市場；定價誤差；定價效率；pricing errors；index futures；pricing efficiency；Market imperfection；VAR；Cross-Market Volatility spillover.；Lead-lag relationship；discrete dividend payouts
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台灣股票上市公司的股利政策近年來有極大的轉變，以往股利的發放以股票股利居多，而今卻以現金股利所占的比重居多，此巨大的轉變在期貨市場造成逆價差的迷思，投資人如果以為有套利機會可乘，勢必蒙受莫大的投資損失。因此，正確股利率的估計對模型的合理定價極為重要。遺憾的是過去研究台灣股價指數期貨定價與套利實務的相關文獻，在股利收入的估計上相當粗略，並不符合間斷型股利的精髓。本研究採用精確的股利估計模型探討股利發放、每日不同的交易成本等因素放入評價模式中對台指期貨定價的影響。結果顯示台灣股票除息的型態有明顯的季節性，且股利發放集中的月份有逐年遞移的趨勢，期貨市場隨著時間的增加，定價行為有趨於成熟的趨勢。本研究的結果亦間接證實投資人對於股利估計越來越精確，定價誤差幅度也有越來越小的趨勢。
Hsu and Wang (2004)的不完美市場之股價指數期貨定價模式認為由於市場的不完美性以及套利的不完全，使得價格預期可以影響股價指數期貨的價格。由於該模式可以合理的解釋股價指數期貨的價格行為，如逆價差現象。然而，有鑑於價格預期的困難，本研究首先依據前述的精確股利估計代入該模式，反推隱含價格預期成長率，並採用VAR（vector autoregression）模型、Granger因果關係檢定和一般衝擊反應函數（generalized impulse response function ），探討該模式所隱含的價格預期與標的股價指數之間的動態連動關係。實證結果顯示台灣的市場隨著時間增長越趨於成熟時，台指期貨的隱含預期成長率與加權股價指數報酬率之間的動態相互關連性也將變得較弱。因此，市場不完全度越大，其台指股價指數期貨的隱含預期成長率與加權股價指數報酬率之間領先－落後的關係越明顯。這個研究不僅提供股價指數期貨與標的現貨股價指數之間的動態定價關連性差異的證據外，同時亦深刻的瞭解到不完全市場期貨價格的隱含預期已經儼然成形。
最後，本研究將探討這兩個市場在波動性的動態關連性與訊息的外溢效果。實證方法將採用VAR-EGARCH模型檢驗台灣股價指數期貨隱含成長率與股價指數的報酬率之間在波動性方面的動態交互關係。實證結果發現兩者的波動性除了具有顯著的雙向互動關聯性，也產生跨市場波動外溢的不對稱效果。同時，兩者的波動性存在著同期相關與皆深受自身前一期標準化衝擊所影響，存有波動持續性的現象。
The dividend policy for the exchange-listing companies in Taiwan has been changed drastically in recently years, from stock dividends-oriented in the past to cash-oriented in recently years. This policy change has made great impacts on futures pricing in the Taiwanese futures market, such as frequently appearance of negative bases. If futures traders do not detect the trend of the Taiwanese dividend-payout policy and view the appearance of negative bases as arbitrage opportunities, they will suffer from loses. Therefore, an accurate estimation of dividend payouts for the TSE (Taiwan Stock Exchange) index is very important. Regretfully, none of past literature provides an accurate estimation of dividend payouts for the TSE index. Even literature on the pricing of Taiwanese stock index futures only provides rough and inaccurate estimates. The purpose of this paper is to provide an accurate estimation of dividend payouts for the TSE index, and then to reinvestigate the impacts of these dividend payouts on the pricing of TAIEX index futures. The evidence reveals that the dividend payouts for the TSE index show a seasonal pattern and the concentration of dividend payouts has slightly shifted year by year. We also find that the Taiwanese futures market has become more matured and efficient as the trading experience increases. Moreover, the extent of pricing errors for the TAIEX index futures is negatively correlated with the dividend- payouts, showing that dividend-payout is one of important factors in determining pricing errors for the TAIEX index futures.
Hsu and Wang (2004) develop a pricing model of stock index futures in imperfect markets, providing a method for estimating the implied expected growth rate. By using the vector auto regression (VAR) model, Granger causality test, and generalized impulse response function (GIRF), this study investigates the lead-lag relationship between the expected growth rate implied by the prices of index futures and the rate of return of the underlying index spot. The empirical result shows that the more mature the Taiwanese market becomes, the less significant its lead-lag relationship should be. Moreover, the greater the market imperfection, the more obvious the relationship between the implied expected growth rate and the index spot return.
Finally, this study examines the volatility asymmetry and spillover between the expected growth rate implied by the prices of index futures and the rate of return of the underlying index spot. The VAR- EGARCH model is used in the study. The empirical result shows that there exist bi-directional interrelationship and the asymmetrical effect of cross-market volatility spillovers between the spot and index futures markets. Moreover, contemporaneous correlation exists in the volatility between the spot and index futures markets, and there is also continuous volatility in both markets.
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