市場不完美性與指數套利關係之研究

Abstract

現實的資本市場不可能如同持有成本模式所假設的完美而無摩擦，實際資本市場是存在著市場的不完美性。已有多位研究者，例如，Bailey (1989)、Brailsford and Cusack (1997)、Gay andJung (1999)、Fung and Draper (1999)與Wang and Hsu (2006)，均發現市場不完美性的確對於股價指數期貨定價與套利有相當程度的影響。本文以SGX-DT摩根台股指數期貨為研究對象，採用每五分鐘的日內資料，運用事後套利分析、事前套利分析以及套利利潤變動量迴歸分析等方法，以檢測股市多、空頭時期與指數套利的關係以及檢視融券賣空限制對於指數套利的影響。本文實證發現，市場不完美性較大的空頭時期（例如，亞洲金融風暴期間），由於「買期貨，賣現貨」反向套利活動困難度較多頭期高。因此，一旦出現反向套利機會，空頭時期的確有顯著較大幅度的偏低定價。此外，「平盤以下禁止融券放空」與「提高融券保證金成數」等融券賣空限制的規定，似乎也會增加期貨偏低定價套利活動的困難度，延緩實際期貨價格調整至理論均衡期貨價格的速度。因而，一旦出現反向套利機會，也會產生較大幅度的偏低定價。

Capital markets are not perfect or frictionless. In fact, there exist imperfections in the real markets. Several researchers (e.g., Bailey, 1989, Brailsford and Cusack, 1997, Gay and Jung, 1999, Fung and Draper, 1999, and Wang and Hsu, 2006) have found that market imperfections do affect pricing and arbitrage of stock index futures. This paper employs ex-post test of arbitrage, ex-ante test of arbitrage, and regression analysis of the change in profitability to examine whether the arbitrage profit is greater during the bear-market period with higher degree of imperfection than during the bull-market period. We also examine whether the arbitrage profit is greater after short sales restrictions. The empirical evidence is based on the Singapore Exchange Derivatives Trading Limited (SGX-DT) MSCI Taiwan stock index futures contract. 5-minute intraday transactions data is used. The study finds that the long-hedge arbitrage (that is, short stock, long futures) is more difficult during the bear-market period. Hence the arbitrage profitability is larger during the bear-market period. Moreover, short sales restrictions increase the difficulty associated with long-hedge arbitrage. Consequently, the adjustment to equilibrium prices is slower so that arbitrage profitability increases after the short sales restrictions.