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題名:股價指數期貨定價之研究--新加坡摩根臺指期貨之實證
書刊名:亞太管理評論
作者:黃玉娟 引用關係徐守德 引用關係
作者(外文):Huang, Yu-chuanShyu, David
出版日期:1999
卷期:4:3
頁次:頁255-269
主題關鍵詞:臺股指數期貨定價效率錯誤定價Taiwan stock index futuresPricing efficiencyMispricing
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(7) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:6
  • 共同引用共同引用:12
  • 點閱點閱:72
     本研究探討新加坡摩根臺股指數期貨契約的定價行為與市場效率。在考慮不同的 交易成本、投資者借貸利率不同、以及臺灣上市公司特有的股利結構之後,本研究分別以近 月份及遠月份契約之日資料進行分析。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。此外,錯誤定價幅度與距到期日期間有顯著正相關,顯示距到期日期間越長,錯誤定 價情況也越嚴重。
     This paper investigates the pricing behavior and market efficiency for Taiwan Stock Index Futures that traded on SIMEX. The pricing model in this study incorporates different transaction costs, differential borrowing and lending rates, and seasonal dividend payouts. The empirical tests utilize daily closing values of the SIMEX Morgan Taiwan Stock Index and the two nearest maturity 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 has generally sold at a discount relative to its theoretical value, moreover, the regression results show that the mispricing is positively and significantly related to time-to-maturity for both near and far contracts.
期刊論文
1.Brenner, M.、Subrahmanyam, M. G.、Uno, J.(1989)。The behavior of prices in the Nikkei spot and futures market。Journal of Financial Economics,23,363-383。  new window
2.Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal,40,43-47。  new window
3.Brennan, M. J.、Schwartz, E. S.(1990)。Arbitrage in stock index futures。Journal of Business,63,7-31。  new window
4.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex-Post and Ex-Ante Profitability of Index Arbitrage。Journal of Futures Markets,11,291-311。  new window
5.Modest, D. M.、Sundaresan, M.(1983)。The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence。Journal of Futures Markets,3,15-41。  new window
6.Modest, D. M.(1984)。On the Pricing of Stock Index Futures。Journal of Portfolio Management,10,51-57。  new window
7.Merrick, J. J. Jr.(1987)。Volume Determination in Stock and Stock Index Futures Market: An Analysis of Arbitrage and Volatility Effects。Journal of Futures Market,7,483-496。  new window
8.Stoll, H. R.、Whaley, R. E.(1987)。Expiration Day Effect of Index Options and Futures。Financial Analyst Journal,43,16-28。  new window
9.Yadav, P. K.、Pope, P. F.(1990)。Stock Index Futures Pricing: International Evidence。Journal of Futures Markets,10,573-603。  new window
10.MacKinlay, A. C.、Ramaswamy, K.(1988)。Program Trading and the Behavior of Stock Index Futures Prices。Review of Financial Studies,1,137-158。  new window
11.Cakici, N.、Chatterjee, S.(1991)。Pricing Stock Index Futures with Stochastic Interest Rates。Journal of Futures Markets,11,441-452。  new window
12.Chang、Loo(1987)。Marking-to-Market, Stochastic Interest Rates and Discounts on Stock Index Futures。Journal of Futures Markets,7,15-20。  new window
13.Chung, Y. P.(1991)。A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability。Journal of Finance,46,1791-1809。  new window
14.Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。Journal of Futures Markets,3,1-14。  new window
15.Cornell, B.、French, K. R.(1983)。Taxes and the Pricing of Stock Index Futures。Journal of Finance,38,675-694。  new window
16.林文政、臧大年(19960700)。臺灣股指期貨定價與套利實務問題探討。證券市場發展,8(3)=31,1-31。new window  延伸查詢new window
17.Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures-Some Evidence。The Journal of Futures Markets,10(4),367-375。  new window
18.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。  new window
學位論文
1.賴美君(1998)。投資組合保險之有效性研究--以電子股組合與台股指數期貨為例(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.Hamilton, J. D.(1994)。Time Series Analysis。Princeton, New Jersey:Princeton University Press。  new window
 
 
 
 
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