台灣期貨市場價差現象之研究

Abstract

金融市場在一個國家的經濟面扮演一個舉足輕重的角色，其不但扮演資金供給的角色，並透過金融工具的構築，形成資金流通的場所，以提供資金需求者，與資金供應者的一個通路。一般在檢驗金融市場健全與否，主要有三大要點，即在檢驗其金融市場的效率性(efficient)，完整性(complete)與完美性(perfect)。經由此三大要素來判斷一個國家的金融市場。 而指數期貨的興起, 即在提供金融市場中, 投資者重要的沖銷避險工具。 由提高該市場的效率性與完整性角度觀之, 其不失為一良好的金融工具。 但是,在觀察台灣期貨市場理論價格與實際價格之間差距之後, 我們發現, 其間的差距其實並不小, 並且時常持續出現一段期間, 我們因此感到十分的好奇, 想要了解期間的價差現象, 是否隱含特定的資訊訊息於其中? 本研究使用台灣股價指數期貨做為主要衡量的對象。研究期間為1998年期貨上市日起至2000年三月期貨到期日止，進行廣泛的探索性研究。使用的統計工具為單根檢定、共整合檢定、單樣本的T檢定、 K-S檢定法、因素分析及多元迴歸分析法。 經由本研究的實證的結果顯示以下的結果： 壹. 完美市場假設對於台灣的期貨市場現象無法合理解釋。 貳. 在不同時期, 因心理因素的影響, 會影響價差的變動。 參. 價差在短期間可能會偏離常軌, 但是長期來看, 還是會回到應有的軌道上。 肆. 會影響價差變動的主要因素有金融市場的資金成本、不確定性、及國際股市的傳導效應。

The financial market plays a very important role in a nation’s economy. It not only helps the formation of capital, but also provides a screening mechanism between the supply and the demand for capital. A general rule in examining the health of a financial market is to test the three aspects of the market. They are the efficiency, the perfection, and the completeness. The availability of the Taiwan Stock Exchange (TSE) Indexes futures started in July 1998 is believed to have enhanced the completeness of Taiwan’s financial market. However, in observing the prices of TSE Index futures, we found a persistent gap between the theoretical (fair) and the market closing prices. This gap (bias) is large and varying. The purpose of this thesis is to investigate the behavior of the bias and determine the information content of the bias. Data on TSE Index futures during the period from July 1998 to March 2000 are examined by using ACF, cointegration, one-sample T-test, K-S test, factor analysis, and multiple regression. Results of the study suggest the following: First, Perfect market assumption can not explain the observed behavior of Taiwan’s futures market reasonably. Second, psychological factors affect the bias differently in different periods. Third, the bias returned to their normal range in the long term. And lastly, the most influential factors on the bias are the capital cost, the uncertainty, and the international stock market conduction effect.