雙重上市指數期貨市場之價差套利以及定價、指數套利與避險比較之研究

Abstract

本文主要針對新加坡交易所與日本Osaka證券交易所雙重上市之Nikkei 225指數期貨，以及新加坡與台灣期貨交易所雙重上市之MSCI台指期貨，進行下列議題之探討。首先，針對雙重上市指數期貨，估計完美市場假設下持有成本模式之錯價，依此以比較雙重上市指數期貨之間的定價績效與市場完美性。另外，在考量交易成本下，本文也比較雙重上市指數期貨之間的指數套利利潤。其次，市場完美性與避險效益亦具有正向關係，本文將運用時變的最小變異數避險比率以比較雙重上市指數期貨市場之間的避險效益。最後，本文則是檢視雙重上市指數期貨之跨市場價差交易利潤，並比較跨市場價差交易與指數套利之套利利潤。實證結果指出在雙重上市指數期貨市場中，持有成本模式對於新加坡交易所上市的Nikkei 225指數期貨以及MSCI台指期貨都有顯著較佳的定價績效，並且此兩個期貨市場亦有較小指數套利利潤。此外，新加坡交易所上市的Nikkei 225指數期貨以及MSCI台指期貨也都有較佳避險效益。最後，不同幣別乘數之跨市場價差交易似乎較同幣別乘數之跨市場價差交易有顯著較大的定價誤差。再者，跨市場價差交易之絕對價格誤差率具持續性。

This study addresses several issues related to dual listing of stock index futures using the Nikkei 225 index futures traded on the Singapore Exchange and the Osaka Securities Exchange, and the MSCI Taiwan index futures traded on the Singapore Exchange and the Taiwan Futures Exchange. This study first estimates mispricings of the cost of carry model under the assumptions of perfect markets for dual listed index futures. Based on mispricings, this study compares pricing performance and market perfections between dual listed index futures markets. In considering transaction costs, this study also compares index arbitrage profits between dual listed index futures markets. Second, owing to the positive relationship between market perfections and hedge effectiveness, this study also compares hedge effectiveness between dual listed index futures using the time-varying minimum variance hedge ratio. Finally, this study examines spread arbitrage profits between dual listed index futures markets, and also compares arbitrage profits between index arbitrage and inter-market arbitrage trading. Empirical results indicate that the pricing performance of the cost of carry model under the assumption of perfect markets is better for the Nikkei 225 index futures traded on the Singapore Exchange than for the Nikkei 225 index futures traded on the Osaka Securities Exchange. Additionally, compared to the MSCI Taiwan index futures traded on the Taiwan Futures Exchange, the cost of carry model provides better performance for the MSCI Taiwan index futures traded on the Singapore Exchange. Furthermore, the Nikkei 225 index futures and the MSCI Taiwan index futures markets on the Singapore Exchange have better hedging effectiveness. The empirical results of inter-market arbitrage trading show that there are significantly larger pricing errors of inter-market arbitrage trading for the multipliers with different currencies than the multipliers with the same currency. Furthermore, the absolute errors of inter-market arbitrage trading are persistent.