股價波動性、融券賣空限制與定價績效－SGX-DT摩根台股與TAIFEX台股指數期貨之實證

Abstract

SGX-DT自1997年1月9日推出摩根台股指數期貨以及本土TAIFEX台股指數期貨自1998年7月21日上市以來，均曾持續出現期貨價格低於現貨價格之逆價差的現象。有那些因素可以解釋台股指數期貨持續這價差的行為本文研究重點之一就在探討股價波動性以及一些市場的不完美性因素（包括期貨交易量與融券賣空限制）是否在決定台股指數期貨價格上扮演著重要的角色。本文另一研究重點則是比較持有成本模式、Ramaswamy and Sundaresan(1985)模式與Hemler and Longstaff(1991)模式的定價績效，以實證何種模式較適合台股指數期貨的定價。本文實證結果發現，同時攷量隨機利率及承機波動性的Hemler and Longstaff模式連用在TAIFEX期貨與SGX－DT期貨的定價，均優於與他兩種模式。至於有關定價績效影響因素實證結果則發現，台股現貨的波動性對於TAIFEX期貨與SGX－DT期貨的定價的確有顯著的影響。而期貨交易量與此兩種期貨的絕對定價誤差都有顯著的負向關係，與預期相同的。不過，融券賣空限制對於此兩種期貨之絕對定價誤差卻有負向影響，則與預期正好相反。最後，我們從Hemler and Longstaff均衡模式的觀點進行分析，再次驗證了股價波動性的確對於此兩種期貨的定價都有顯著影響。因此，對於台股指數期貨投資人而言，除了可使用傳統的持有成本模式進行定價之外，亦可選擇Hemler and Longstaff模式。

This paper highlights whether stock price volatility and some market imperfections, including trading volume and restrictions on the short selling of stocks, play an important role in determining the Taiwan stock index futures price. Moreover, we compare the price performance of three alternative pricing models of stock index futures: the cost of carry model, the Ramaswamy and Sundaresan (1985) model, and the Hemler and Longstaff (1991) model. The empirical result indicates that the performance of the Hemler and Longstaff model that incorporates stochastic interest rates and stochastic volatility is the best, followed by the Ramaswamy and Sundaresan model and then the cost of carry model. The empirical results of the impact of stock price volatility and some market imperfections on stock index futures price show that: (1) Stock price volatility plays an important role in determining the TAIFEX and the SGX-DT futures prices. (2) The relationship between the absolute pricing error and trading volume is significantly negative. (3)There is a negative effect of short sales restrictions on the absolute pricing error. This finding is contrary to the predicted effect. Moreover, the regression results of Hemler and Longstaff model also show that stock price volatility has an obvious impact on the prices of the TAIFEX and the SGX-DT futures.