本研究探討新加坡摩根臺股指數期貨的市場效率與套利機會。在考慮不同的交易 成本、交易者借貸利率不同、以及臺灣上市公司特有的股利結構之後，本研究以日內每五分 鐘之成交資料， 針對訂單「無執行落後」，「執行落後 5 分鐘」，以及「執行落後 10 分 鐘」等三種情況進行分析。研究結果顯示新加坡摩根臺股指數期貨市場，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。不過 經過一段時間後，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， 顯示新加坡摩根臺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。

　　　　　This paper investigates the market efficiency and the profitability of index arbitrage for Taiwan Stock Index Futures that traded at SIMEX. 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 had been generally sold at a discount relative to its theoretical value. Moreover, the ex-ante trading rules had generated attractive profits after transaction costs and possible delays in execution were considered. However, as time passes, the arbitrage opportunities and profitability had declined and arbitrage risk had increased, this indicates that the market gradually matured with time.