現實資本市場是不完美的，套利是不完全的，本研究的目的有四：(1)推導不完全市場下外匯期貨之定價模式，(2)檢定持有成本定價理論之適用性，(3)分析影響外匯期貨預期成長率之因素，和(4)比較外匯期貨之持有成本模式與不完全市場下定價模式之預測績效。結果顯示本文模式對個外匯實際資料之配適度相當良好（□高達0.99以上），而且持有成本模式隱含著價格預期成長率為無風險利率的假設並不恰當。至於影響預期成長率之解釋變數以現貨實際成長率(g1t)影響最大。最後，本文模式之預測績效顯著優於持有成本模式，尤其是以隱含成長率之預測績效特別明顯。

　　　　　Capital markets in the real world are not perfect and arbitrage not be complete. The purposes of this paper are: (1) to derive a pricing model of currency futures in imperfect markets; (2) to test the adequacy of the cost of carry model in imperfect markets; (3) to analyze factors affecting expected growth rate of currency futures; and (4) to compare the performance of cost of carry model and our model for currency futures. Results show that our model fits well (□ is higher than 0.99) for five currency futures examined and the assumption under the cost of carry model that the expected growth rate equals the risk-free rate is not adequate. Moreover, actual spot growth rate (g1t) is the most important variable in affecting expected growth rate. Finally, it is displayed that our model performs much better than the cost of carry model based on the perfect-market assumption. We also find that the best method for estimating expected growth rates is the method of implied growth rate.