影響股價指數期貨定價誤差因素之研究-以臺股期貨為例影響股價指數期貨定價誤差因素之研究-以臺股期貨為例

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(1)Review of Securities & Futures Markets, 16:2,81-114 (2004). ~.~~m~M.~~~m~. Z~~-~~~M.~~ -ilajJL. ~j(... ~*-1f-*. *~~~m~.~~~~~~~~~~~~*,~~m~~. •• ~~~~.aw£~~ •• ti~~.~~~~~.o~ ~ • • ~~~~~~$ • • md.'~M.~~.R ••• &o. H~. nm~~m. •• ~.~~oo.~~~~mm~ti~.&~~.. ~~~~ • • ~~~~,@~ • • ~~ag~.m.~&.~~. IItJl'fiJ!~.tl:HiIlltt!i1JD~~m.~~.~~g~. , ~iE~~~. $•• ~~~~~o~W£~•• ~~$.*.&~~~m~. R·~~ltt~~~~~~.ID~mMm,~oo~am§~oo~,. ft~*~oo~W£~~~~d~~~~mm'~dm~~m~~ 1!&51~Jt:iJ~flJ~.}.j~.~ § ~. 0. •• ~:~m.~·~mm~~~·~~o ,.,.. ..:u......a. '£ " J1tl a. *~~~~m87~7~218~91~2~18B~.~'~M~.~ .Jm~~.m (TAIFEX) ~~~~~~M.~~~*. 0. §lWtJ~.OO:Mm. .m.~~~~~~~.m~~.~~.m(SGX~T)mw~ • • ~. m.~. (MSCI Taiwan Index Futures) .~.~~~.m (TAIFEX) m. lli~~00:~.o~~~.~.~.mft87~7~218mW~00:~ • •. '. •. ·.n~~*.M5~M.*~~~ffi~±m.~,~rram*.M5~~~*~~~'~ ~.~*~~~~.~~'*~~~~~m~~MA~#~,~~~~.m~.~*~~. •. a.J~~.:ItIl~3C~ffi~lUtJi!rr~. ,. 81.

(2) M.~d~.~~ft~~.m~tt.~~.m.w~. •• #~m.~.,. @.fi*a-.$~~am.~,~~~.~~m·a.~.~.*w. M.~.~~~~~~,~~#.~.m$~. B~m~,#~~.~~. •••• #~m.M.,~ •• tt.~.~'~~.M~$~ ~~*tt&~.~~ •• m~~.fi~ftm~~.~ •• ~-m$~~.. ~.fi*&. ,~~m~~.~g~nM.mgW%~~~.·. ~~*~.~~~~~mM.~.~.~~m~.~. d*m~. 1997)' ~.*~83t~.~flJ ~1li{'F ' tt~M •• ~.~~fiJ!l!~1I~ , ~~ ••m (mispricing) ~fIt ~m~·~~mg~~~~ •• #~m.M •• ~~ti.'.Mm~ •• ~~~tt,~~ •••• #~m.M.~1I.m~.*&.~,~~.~ y~ , W~~ , f*~tt (1998) PJ B~j{fl.m~f~ •• #~m.M.a~1 .WM~ •• ~~1I~.~'@~~m$~ftd~,~ ••mfi•• ~~' ~flJ~tt.flJf~&~~rJj*~.ffij*ilj" ; .:liY~ 'f*~tt (1999) fUm • • #~m.M.Bj{fl~.m~~mm~M.· #~M.~m~*'~.~~~.~~~~~,m~Ma•• ~~. m' 871f. 9Jj 4 B~ll:ZP:.PJ~M~.W'~.~~'~:1ilt~1*m*d.· ••• m*i~~m.;.m~M.~.m~·a89 5Jj1B~.M.~ .m*;#.M.~.ma871f.12Jj4B~~.~~~~ •• ~~OO· 83 30 fPl!J!. 20 fP' a 881f. 12 Jj 6 B:P}~~.~ 10 fP.~ 1~'PJ-fj! ~~d~~.~,m.1I~& •• ~~~*,~~.m$.~tt·~~. (cost-of-carry model) ~J!l!~.~ (Sutcliffe,. ~.*(~m~~*M~~.*·*I~~.*·0~AA~~.*·~ I1*~.*·~.R*).7.M.m$~d.~~1Im'~~.Afi •. •. m$B83~.~~li)J!l!. '. ~1J;i~1~~t.:fU~.fTJt.ij[. •. WWM.ffJ. •• #~M.z~~(~ ' fi~jllJttfim&~~. ' @mf13. fT.,~ffij~~~~ij[.m$~§~,m~M~~. 1) . ii~~l!fi~~ffgtt~:tnJm$~* It. 1 : tE*3t~.*mfilj . a:J(H'~$!J!l-Ei'lIItm~ • • ~ e mlt1f : 89/10119' 89110/20, 89/10/21 '89/10/23 (t..L.tJ;l.-.!U!lPjfU~)· 89/10/24' 89/10125,89/10/26,89/10/27, 89/10/30, 89/10/31 ' 891 III 1 ' 89/1113 ' 89/1114, 8911117 ' 89/1118 ' 8911119 ' 891ll/10' 891 III 13 '89111114, 89/11115 (t..L tt).jjfl[t.pil.)· jjf~.pRJ.¥.~a~Utlz~fiL ~lIi!I~~JE. 82. •.

(3) ~~mm~m~~m~~*z~~. .~~~~*fl~M~~&.fl~m~~M~®~.'~~*~~~~~. ~M. •• ~~fl.'~.~~.~.~~a~*·M ••• *·.a~*. ~~&~.~m~~Mfl~m~M.fl~mM.~m~~~~~~.;.. ~.~*~~~~~~~~,*~~~~~a~*~~oomm·~*~oo. ••*~~·~~.~~~.fflM~a~.~~A~~.MA~m ~.~'~~.W •• ~EOO~~~' •• ~mM.~m.~*'~.M ~.m.~~OO~&~.aW¥*~ •• fl~m.~~~~~.· *~~~B.W •• ~~:.~e~Mmmm~M.~mm •• ~~ ~~, •• e~~~~~~,~~.~emW •• M*'®.ffie.*~ ~8~. ~zM~o. ~,.«~.~~~«.~~~-.#. - ... fl~iJj~ttIJmlilEiJ'i~. ~.~a~*·M~m~~.~~'mmm~M.~m.~~~Mfl. ' R7~1EfI:iJ.flj (cash-and-carry arbitrage) .&:fI:iJ. (reverse cash-and-carry arbitrage) ~t\t1fm9;;: , m•• ~.~IHH*JJ1~D. ~*m.m~w*. flJ. ~~:. p' =SI er(T-/) -D(t, T) I. (1). T. D(t,T) = LD,er(T-S) s;;/. '. p,'. t ~M.~lM~m. sIR ft.~M. t ~m.~m. ' r R.JOO.~flj*. ' D(t,T). •• ~.M~'Mflm.m~.~(.~a~m.~.MW~). m*m~.m'~R~s~~m*m~~~'s~~t.TZOO°.~~~ ~®~,m~~.~*~am.m~,~am*m~~~~~~~~*.. ~*,m*~~~~.~.lM~m.~mOOm*m~MA~mm~~o. •• ~m •• lM~m.~-~1fffi~'~OO~ ~~W.M.~~m.~ (mispricing)' mt~~fJ~~~~m.~~~~M: ' *~~~~~~.~M. 83.

(4) f91J~O Figlewski (. 1984). ~m1£m1li!tWrp1fx~fflG*. .. x~fJtfJm:fi&JI. #.~.~.'R~M.1l~~M~.~~.~M,m~~.RM.~~ ~Mfr~.~flJliiirmpg. ' ~~lt91~!H11: flJi5!IJJ : Modest and Sundaresan (1983) &flJffl S&P 500 mltM.I¥JJrm ,. M.1l~~M~1£lItliiirm~?J1l!IJJ. ~.M.~~ • • ~~mx~~fl.~m~.~~R~~Rffl&*~.R ~fflG*m9Im. ; Klemkosky and Lee (1991). jftl~mjfflj~~;f§.l¥Jx~~. *~.~AlfP~m~rpo. *if~1£~Ll3t~fflG* (EUt~rd1~1W:)' M.f*~~oolJ!#.ftiq.~. *"-f ,JBt~mItM.i¥J~.~MHlfr~. 1999) , ~J!P :. flJlilrdjpg (Gay and Jung.. (2). FL = {e,(T-I)(m-k ps )+(1-m-kpL -kFS)}S, -D(t,T). I 1+ e,(T-I) kFL + {e,(T-I) -lh6. F U = {e,(T-I)(1+k pL ) + (k ps +kFL)}S, -D(t,T). I 1- e,(T-I)kFS - {e,(T-I) -lho. 1}~(2)rpi¥J F,u mM.~.~Mi¥Jl:W' F/ m"-f W ' S, mm.mlt. mJBtflJ*!1W: ' ~1Il. '. kpL • kps71-7Jtlft~1Il • Jim.i¥Jx~fflG*. JiM.i¥Jx~fflG*. '. r m.J.\~flJ~. ~7f-IJ!#fi PJ~~Mtt.f911' m =0~7f-.1*J&. (. '. '. D(t,T). kFL' k FS 71-7Jtltt. 2) , m fr~. 0001. lJ!#ftti¥JJ&A'. ~rdj. ,. m =1~jf,iiJ. ~~~~~IJ!#fil¥JJ&A'_ft~M.f*~~~~o. ~.M.~M.~~.l:W'~7f-§nM.~M~~.~m. (overpricing) , ~flj1JPJ~Ef:n.Ertu~flJ "ft;~.M. (jim• . JiM.) *JtiJ&1MII.it. ~M~~~."-fW'~. §nM.~M~~~~m. (underpricing) , m~jflJff1£&rtu~flJfJlt. (Jim• . IIlM.) ITff1£0;tt. it 2:. r iiJ:jij5i-?YMI!~m rL (f¥~flJ$). JU:J#. •. 84. Jik. 0. rB (:R~flJ$)' ~HU.ffl~Wl~J!I!iurt&®r:J#..

(5) ~~.m.m~~~.~~.z~~. (2)cp ,. 1!i k pL =k ps =kFL =kFS =; =0 ' 1i m =1 FI U == FL I. = F· =S e,(T-I) I. I. ' Jffj :. D(t , T). (3). •• Ra~*·~~a.&M.~.* ••~~'0~~.~~~~ m~~~M •• ~m.Q Ra~*(~·~·~·~)~~, •• ~~. *•• ~E~;~;a*'~ ••*•• ~E~'~.M.~.*.~~ ••• :m~~~R.~ •• ~~W'~ •• ~ .~~~~~.ffl~~a~.~~A' •• ~.~~W'.* •• ~E~Q .A~~.'.*~Bm. ='\. ~ 1151 ~.:z 3t.ti:ll ~'.t. ~aiWffij£. , M.~~miif,Hi~~IlJM~~m~~~~~ttz.?i-. Figlewski ( 1984). PJ m~~:t5Jfti~.~. (itt 3) , (Disequilibrium Arguments) *fW. .. S&P 500 f[] NYSE Composite Index m~M • .L mMm*lfJI1ffm~JJlj!. ,. •• ·tiWm~~ffi~W ~.~m.~~ffili) . 1iB~JUiUNffisl~~.~fjf¥lIl~ . RaA:ttHI ~~*OO~ft ••• ~Ra.'~.Lm ••• ~.m~~.~ ••• ~~ .~Rafj~ ••• '1i• • ~- • • ~~.~~ft~.L~mo.oo.m .~.Ra.ti~.~~~.'M~~~.~®. ~~~~~'~~Ra.~~~~.~'M~~Am.~~Z..,m.* (ltJTm~JJlj!gt.m*. 0. • • 1!iM.m~~~. '. Peters ( 1985). & Saunders and. ~mfl~Hi~JJlj!M.m*~~~. Ramaswamy ( 1988) WJ.~.M. Mahajan ( 1988) 0. MacKinlay and. •• &1Ji• • ' ~"f~~1if'l~~~1llIHi~:j§ •. • MBa.'~1if'l~tta*'M~R~~a.~.*~~~1if'l~'~&~ *~~1if'l~tt'.~••• ~* •• ~A~A~Z.~~;~w~m~.~ ~m.'~$m~~R~*~.*.m~ffi~~~~.~~~a*o.~. It 3:. Cornell and French (1983 a,b) ~fliEBnNlta~. 'fj!~ • • Jl!tIU{.fi.t~mNfifl9liflHl j1l~. (timing option) , ~JltmltllJl1r.~tt~liiiIfiI~7 -$;tIifIHl.flJfI9f11ti • ~ffii Cornell ( 1985) iTlm S&P 500 mIUII1rJU4 ' ml±lliflHlj1l~.f.tm.m1rflm:!IUtt!lj;:. • • ~.·xR~EB~.*~~~~m·~Jlt.*m~fu~~gm,m~~~fllif'~ ~@~lHlj1l~.fI9f1fi1·. 85.

(6) •• ~.~B'~.~~ •• ~'ffi~~~.m~m~~.~ •• ~B~ .~w.m.~'.~~'~~~~~~~Mm~.~(M~~~~~d. 1988; Bhatt and Cakici, 1990; Klemkosky and Lee, 1991; Yadav and Pope, 1990, 1994; Fung and Draper, 1999; Gay and Jung, 1999) aRffig.mfl~~m.~ •• m.fu~ft~~~.m~*.z-, Brenner, Subrahmanyam and Uno ( 1990) & Yadav and Pope ( 1990) W6m1ft ~ad*(m~~ •• &~#~a.).~.,~~.m.~~.*·. ~fu •• ~oa.~#~ •••• ~~~Ba.fi&~.~'.~~fi~ ~~'I1il5t (Brenner, Subrahmanyam and Uno, 1989, 1990; Fung and Draper, 1999) , ~~ Chung ( 1991) ~.m~p.m~:a~ZfIItPJ T~~a~~.$ll Ramaswamy,. 0. ~~F~.&~.flnlJf~~±~~.. 0. ~.~_~m~*~.~~~a.~~a~'~7~.~~.·.m .~.oo,~~aRm7~~.mfu.7~~m.,m~.~~It~TM. ••• ~.~_z~~,m~a~~~~~~~m •• *'~~~.~ffi&~ •• ,m~ffig~~$~*~oo."m~m.ti~ m.mm~~~.'~~*~~M~fim®~_m •• ~OO~a~.aR ~~~ •• fl~m.m~I~~~. #.ili·.~.m. 0. *~~~~.~_~affi.fi~~.~#~affi.~m~~_.~J (M~~.~_)fi~~.~m~~~*,~m_~~mr~.~#~a. ffi.fi.:lJD•• ~m~ J ' ~*~rdjm~1!I 871f. 7 ~ 21 B ~~1iI 911f. 2 ~ 18 B ' ~*.*m B jf~ , ~ 9331i~* ••1l ~.~_jf~*.m ~.~.~affi,m.m~&m_ffigjf~*.m~ ••• ~.om7M ~ m_!Ii! ~ _.t& It ffij 00 ~ - ~ ffi ~ ~ ~ ~F ~ • ~ a (nonsynchronous trading) r~m ' *~~tE~.~m$~~m.~m • .t&ltffij~~.~mlc m~* ' W\RPtE 90/01102 iW ' ~_~m~m 11:59:30 ~ 11:59:59 (fj 30 0. 86.

(7) ~~mm~.~~~~*z~~. fPtll5-:?jn, 11:59:40 11:59:59. (~. 11:59:59. 10 tpfil5-~). (~. 20tpfil5-:;;z:). mm7f-r¥J1I~m:tl*. 13:29:50.¥ 13:29:59 mm7f-r¥J1I~mti* : tt~~~~~~mm7l'r¥J1I~. ~M.W'. 0. ff!i '. ~. 11:59:50 .¥. : 90/011021& '. ;s1it~1!W~. fltl~m. ~~, flUttlW~. jfflj~7t73tl~mil!~*~~~*±Jli. 30. • • W~'.M*.m~ • • • ~.·.lm~~m~WM~. .~Z~~~~'ftti*MOO~#~M~1I~~~~~~~m~'~~M :i"*~-tl!@*~~~m~o. .1. ~~m~WM~1I~Za&~~~. m. ~. ~. f~. m. M. ti*~. 933. 933. ~~~. 6789.71. 6809.15. ~*~. 1558.92. 1582.43. _*11« _ Ij\ 11«. 10202.20. 10320.00. 3446.26. 3421.00. iii~1*~. -0.0396. -0.0410. **~1*~. -0.7785 a. -0.7522a. 10691.62b. 10714.86b. Q(12) aft.~l%~ • • *.~,m~~ bft.~I%~ • • *.~,m~~. • • ~~~*r¥J~. ~. ••• ~:.~.~.o ••• ~: ••• ~8mA·. ·*m~M.W~7tmM~·. m*.w~. (quasi-arbitrager) • *~f3C{!~~~~~*limff~rm~f~IH51r¥JfH~~.~ JIt*.flj~.ff&jqJ.flj~1!WiliIl~.W. JE ~ f{} ¥U :I: W m ~ 1& r¥J 1& A ' W\ NP. '. I~HJ:l:Wm~$UlNPllJ. m=1 :. =. m~n. · (l;;1. · llJP). flj ~ (pure. arbitrager). ~'~JlftWf3C~~~~*li&1':fm~$Ulr¥J-JN:~~~'. (l;;11!Wm. ~.Ul·&jqJ.W~~.~mill~~~'li1!W$~~iIl~1&r¥J1&A·(l;;1~ m~·MW.W~r¥JM~§.*~~(_)ftti*MOO~~~ml~·@. .M• • ~1I~EOO(0~2)~.~~~~~*&~WJ&A·*m~ft 87.

(8) ~.-~~."m~. ••. o.2.~$.~. .... ".~.~m. ••. ~R. ~~*o. -f... It. ffi'h~*. mB:tm. 0.0750%. 0.0750%. 0.1425%. 0.1425%. 0.2865%. 0.2865%. 0.2865%. . 0.2865%. 0.3000%. 0.3000%. iI~.fiX*. 0.0650%-1.2200%. 011). 11Dt!. 0.6615%. 0.3615%. -f... 0.4290%. 0.7940%-1.9490%. 0.0848%. 0.0848%. 0.0212% 0.0212% It 0.0707% 0.0707% ffi • .fiX* Wr3tm 0.0500%/0.0250% 0.0500%/0.0250%. 0.0707%. 0.0707%. 0.0500%/0.0250%. 0.0500%/0.0250%. 11Dt!. 0.2055%/0.1805%. 0.2055%/0.1805%. (ft 2). 0.1419%/0.1169% 0.1419%/0.1169%. ttl:~n~~.~ft~~~~~A~ •• M••. tt 2 : 89/5/1 zlrtim 0.05% •. *·. •• M·Ma~.~tt*·.2mw~m •• "~~~*·~~ ~m~ ••••• ~*·~A0~~$·~.mmMa •• ~.~moo: ~m. Ma.~~.:6t£Jltmrdjpg. · Mt/f'ffslte.flJmllJ · ~ffij:6fnE1I~~11f. m.~'.~.~.~~~.~(.Ma~.~~. ( .Ma1l.~~ • • r. ~) *.J{)l~JilJ~:fUf1l. •• k~).&~.W 0. f!HI'. MacKin lay and. Ramaswamy (1988) '& Yadav and Pope (1994) , *1iJt~~m~1~.M)!{:iE ~~~IftIJJt~~.1f~:iE~!l[]r. M, =oP·. =Up·. ;fi F, >F,u ;fi F, < F/ F,l. -<F, <F - ,u. 88. : (4).

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(20) 1.5. 1.0. 0.5. "r. -0.5. liii. ••. -1.0. I!O'. -1.5. -2.0. -2.5. -3.0. .. .5.0~W~.~M.~~~'~.A.~.B~~.~.~~. •. ".~~'M~~. ~~~*M~~'~ ~Itl.. ••. ~~-~~a~M.~.(~I)~& •• ~'.. •• ~fi~.-~~ •• ,-~~a~M.~.(~). A Mt7~~ (B)' (C) & (D) ~::f&.jf. , ;lt~~.~& • • ~ ,. ffi.~~.B~~~.~::f&.,~.~.~~~~ • • ~~.~qOO. ••. ".~~~o~~.A~~,ti~.~~oo~,~~.~&. ~m.M.~~.m8~~'~.. MacKinlay and Ramaswamy, 1988;. ••. ~,. ~~~ga*,.~.(~~. Bhatt and Cakici, 1990; Klemkosky and. Lee, 1991; Yadav and Pope, 1990, 1994; Fung and Draper, 1999; Gay and Jung, 1999) ~.~M.;f§~. 100. ,l!SI.m¥UM 8aji , t¥f~::flfl~~~.~ ,.

(21) ~.~~m~~~~~*z~~. ~~m~fia.~. •• ~~~~~·~*~~~~~&.~.~~·~.. ~~~ • • ~8*o. • • n.~~(~.B)OO~·S2~m~~.~·Q. •• o~~a.~m.~ •• n.~~~.~ • • &.~••• ~·m~~ •• ~M.~.~&.m.MS~H~~~. ~~5%~.~*.~~. ~flj~. 0. •• A·B~ • • • ~·~.m.m.~.Dtt.~ •• ~ ~~mM~ffiH·m.m •• Dtt.*·~ •• ~~.m8*( 8)·. Yadav and Pope ( 1994) ; Fung and Draper ( 1999) & Gay and lung ( 1999) ~~~~~·.~~.Dtt •• ~m.·Mfi •• ~ •• ·oo~~mm. A~m~. ~ft.*·~~~mm. ••• ~.~•• o~.A~~*~ •••• ·•. •• ~.mfi~.·~.~~.m~·~AA~ ••fi.~·M. 1I~~.i*@I~U •• fUlii~P3 Lim (1992) ~W&.1It~fI.~mil!l!:5e:A .*.·~.1It.m •• M.:5e:A.~~.·~.~a.~~a· •• B ~~~. 0. ~ p4~m (E) ~9i-~ • •. '. m.~ 5%~.~*.~:Mt~. ••.. •• am~82~=m~m.~8D.~~~~. OO'~ •• ~~~.~~R:5e:Aa •• ~ •• m.·~M~@~m.m.· _*m.:5e:Am. ~MJC (1995) &.±~ (1996) ?}}jUfUffl~mSji fl.SP3jifl~.:5e:.8~~~:5e: ••• ~@~~n~am.~~*tto ~~~#:5e:Am. 0. ~OO~*~~~'M:5e:m~~.~~. .fI.~.~~~~~m~m. (A)R~ • • A~~)~ • • • • ·~~.mM.m. •••• ~.~'. ti~.~~fI.~.~~~.:Mt~~.o~il!l!.~.*~~~~.~~~ fi.'~~*~m~ffl~.SfI~~~.i*~~. •• m.~m~ •• · •. S P3jifl¥f1JDP1WMH~Elt~. Brenner. Subrahmanyam and Uno ( 1990) & Yadav and Pope ( 1990) fljfflS *.~m~.~w&.3(.~. •. ~~~ Pl. *~.·~. 0. ••. mM.~.fi. It 8. ~fi~~~*·.m~. •• ~·m.*~~~.~w.m~. •• ~~ •• n.~~OOB'~.~*~m(~):Mt~~m. : +3t$~m GARCH(I,I) ~AJ.!!1i11tItJ*~tff\:J!e: ' :j;t~tH~H.7fdjt~11tItJ*!jU,!\JjJE .~~m~~~~~.'ffi:j;t~5%~~~*$~rW~.~'~~~$~~~~~~~ ~ RlHil ~ ~ iii. .. 101.

(22) N. 0. -. (F). (E). (D). (C). (B). (A). (3.01)C. 0.4160. 0.0022. (1.86)a. (3.07)C. 0.4319. 0.0014. (1.35). (3.03)C. 0.4223. 0.0012. ( 1.27). (3.01)c. 0.4165. 0.0017. ( 1.59). (3.00)C. 0.4160. 0.0015. (1.52). (3.03)C. 0.4235. 0.0017. (1.60). fll1. flo. iU~ A-~~flj:lf. (1.65)a. 0.1313. (1.69t. 0.1332. (1.54). 0.1254. (1.64 ). 0.1314. (3.23)C. 0.0111. (2.78)C. 0.0083. (2.89)C. 0.0092. (3.22)C. 0.0111. (3.14)C. 0.0101. 0.1302. ( 1.62). (2.96)C. 0.0089. fl2. (1.75t. 0.1367. fl\2 fl3. (2.69)C. 0.0247. (2.64)C. ( -0.71). (_1.94)a. (-1.60). -0.0004 -0.0003. ( -1.26). -0.0002 -0.0002. (-1.20). -0.0002. (_1.99)b (-1.66t. -0.0004 -0.0004. 0.0242. (-0.99). (-1.69t. -0.0002. (-1.70)a. (2.59)C. 0.0237. (2.58)b. fls. -0.0003 -0.0002. fl4. (2.28)b. 0.0005. (1.68t. 0.0004. (2.36)b. 0.0006. (1..91)b. 0.0004. fl6 fl9. fllO. (1.93)a. 0.0010. (-0.01). (-0.21). -0.0003. (-0.17). (-1.04 ). 0.00001 -0.0002 -0.0007. fls. ( 1.26). 0.0009. ( 1.33). (0.37). 0.0003. (-0.06). (-0.89). (-0.21). (-1.10). -0.0003 -0.0008. (-0.02). 0.0009 -0.00004 -0.00002 -0.0006. (1.26). 0.0009. (1.27). 0.0009. fl7. ~.aJN:M~:xE1I~~~iN~~*. 0.0243. ~5. ( 1.30). 0.0009. (1.10). 0.0008. ( 1.29). 0.0009. fll1. >r. 1tr. lit. ?!I fall. \$I. ~. ttl:. )11K.

(23) -. <:> l;.l. Z. PIZ. 0.0338 (0.31) 0.0284 (0.26) 0.0296 (0.27) 0.0228 (0.21) 0.0287 (0.26) 0.0286 (0.27). PII. 0.4611 (2.07)b 0.4524 (2.07)b 0.4532 (2.07)b 0.4580 (2.09)b 0.4682 (2.09)b 0.4522 (2.07)b. PZ. 0.0016 (0.86) 0.0022 (1.15) 0.0025 (1.20) 0.0017 (0.90) 0.0013 (0.68) 0.0025 (1.20). Pl P4. Ps. 0.0145 -0.0001 -0.0001 (2.32)b ( -1.00) ( -0.92) 0.0138 -0.0001 (2.36)b (-1.21 ) 0.0141 -0.0002 -0.0002 (2.40)b ( -1.28) (-1.58) -0.0001 (-0.69) 0.00004 -0.0001 (-0.47) (-0.65) 0.0143 -0.0001 -0.0002 (2.44)b (-1.19) (-1.52~. P6. 0.0002 (1.14) 0.0002 (1.50). 0.0002 {1.62). 0.0002 (1.39). 0.0008 (1.62). 0.0008 (1.59) 0.0008 (1.62) 0.0008 (1.63). P7. 0.0004 (1.62). 0.0003 (1.26) 0.0005 (1.97)b 0.0002 (1.19). Ps PIO. ~ 6. B;;t i(j. 20 tp ). Dad). -0.0003 -0.0001 (-0.36) (-1.43). •. DL, Duplickl =I. = 0 ~~. 88. ~. 9 ~ 4 B;;tWJ (*.1i!Ii). Duptick =1 ~. o~~taff.1i!IifA;iIIIi!iril!J\l¥.Jm1i!li·. 89 £f. 5 ~ 1 B. =0. • 'l'XJ&~lIf.1f.~i(j-~~ B J&~ •• 1flQIJ DL,. ~~ff.fj:~· DL/ = I ~~'I'XJ&1l1Jlf.lf.. ~ = I. 87. . Dgov =0 ~~taff.fj:!J\!. ' Dguv. ' Dupllck. ~~.1i!Ii~.L!:.ZfSIlPXfik~.tI:l~. Dguv1-\:~iI&Jf.f~~~1fl.fj:~. 0;. (e.1i!Ii);. itt 2: a' b • C ?t5JU~~:tEJlFa:*if! 10% • 5%' l%""fllif • itt 3 : m!lJ1l17'l ~ White ( 1980) ;;t heteroscedastic consistent t *!tit••. Duplick,t = 0. 4 B;;t~. B J&~ •• 1flQ!J DL,. 87 £f. 9 ~. Duplick ~~~1fl~.L!:.ZfS~PXfik~.tI:l. Dlimit~~~1fl.1i!IifA;"!iriI/J\l¥.Jm1i!li' Dliml,. B;;t1'i. 1 B;;t~(0.025%);. 88 £f. 12. 0.0002 (1.71)a. ~iji1ri1{[&'J11 ' P).JJt1r1Jlt31!&'J$. (~IO tp); Dtar~~~1flJ\lIlll!WJJi~~m$' D,ar =o~~. varl. ~ 6. B MruI (P)'£f.~~);. Dad} ~~WJ1r~~m!UUIIllil.~.1JI.~~l'II'Il¥.JlI1Uil!M:· Dad). T ~m¥!JM. ~M1:UI~fJJi!(~.;. =I. vol,. D,ar=I~~89~5~. (~. ~~J!I!.I!.;. = 1 ~~ff.1i!Ii!lcillli!irilJj\l¥.Jm1i!li;. ~i(j-~~. ~. Dlimil. ;;ti(j(0.05%)·. 12. ( IS,! S(t-l) -II ). ltcp IMII~~lI~~illlilf ; IMHI ~~.~~I¥.J !3~~.lJi ;. 1=1. PII. -0.0003 -0.0001 0.0002 (-0.34) (-1.48) (1.75)b -0.0003 (-0.35) -0.0002 0.00002 0.0001 ( -0.20) (-0.45) (1.04). pg. itt 1 : fjl~~ 1M, I = flo + !:flliIM,.i I+ flzT + fl3 var,+ fl4volt + flSDad) + fl6 DI41: + fl7 D/imi/ + fl8 Duplick + flgDguv + fllODL, + flllDL,Duplickl + &t. (A) 0.0006 (1.00) (B) 0.0003 (0.76) (C) 0.0005 (0.93) (D) 0.0002 (0.43) (E) 0.0004 (0.70) (F) 0.0005 (0.89). Po. Itl~ B- *'f!:f.$~flJ~. ~. ~. No. •. I2H. ~. ;!I. ~. I. ii ill. I.

(24) Mft~.~m~,~p~*~~.*MOOOO~'~~M~mm~~~.~ ~~m~&~~~,~~~pm~~%~~~&m*m~~~~~*~~ r~lfiff~. (itt 9). 0. m.A·B~~~~~~.~·.~.~a~~~~~~.~~~~ &~Il{~~~.. '. li-lJti~~~rp~*EiIDfsfIH~1t. '. Kim and Rhee (1997). ••R.M.~~~~ •• ~E*.·m.mM.m ' fffPJ1tfnm./J\a~~tamnmfu~~~tU~~.~&tBm~~ra9 ' .. ~iff~.~.a~~. ~~m. ~~p~m~&o. *iff~mM~~~fi~rm~.tB~fi~~~~~m~,~m~~~. •• ~~~mM~ .~fi~k~~m~,mM~m~&~~~.~~'OOA*iff~mm •• fi~r~~.tB.,~a«~~&~.W~.q,.~. W«8~~~$m'~~.fi.W~~.§.~~~~B.'OO.n.w «~&~m~$m,~mM~.~~~~.~B. ~ P8~{£m (C) A.~m~. ••*o ••m.A·B. .•OOriHIU. B~ PII OJw~4'~m~l&fi.. ~~~~~,.n.W«.~.fi&~.W·~~~.~&fu~Wam~,. .~~~.fi~rM~.tB~.~~~.~&~~&·W ~~$m. ' ~~~tU~Jt~.~* ' ~*Ei*~. (•• ~I!IJ~~~~tU.~I!IJ.'tiJ .OOfilJti(~~fi • • ). (itt 10. Chung ( 1991) ~*6IDtt.ft-". ». Chung ( 1991). o.. .~~1ff}E. • • •filJti( • •fi• • )'~~.~~.r~&. ~.fUflJifll&Wtt;.p '1FJin.~~1Jl~&~&fu./J\. B~A~~. •• W«~8~. 5 rp~mtl. A·. •• ~M'm~.~'~OJ~~~m.W£* •• M~.~p. ~~~1Jl~~&'{B~qfu.~~~~~1Jlo. tt 9: Chou and Lee (2002) PJ.ft.lI~I¥J1IJ!Jf' Hsieh (2004). J;J,.IR•• ®1IJ!Jf1e11i~fit1flJ. ~~~m*~~~~*#N1flJ~~*~· ttlO:a~~~ • • J;J,T••• WI¥J~ •• J;J,.-~~B •• 1I11i~.~.·. PJ.J: -.~~.11i~11~ •• 104. •• ~®~ ••.

(25) ~.~~m~m~~~~~~*z~~. .M.~~.~(~~M.HL.~)*.~~aM.~.~.*tt,~. ~5~~*~~m.~~ttM~~~~~~~H'~~~aM.ffim~~ ~~~.~~~n~M~~*.~~~mM~aM.·HL.~~.~M. fl~*.~&~~~~~~'. •. 'HL.~~a~m~~~~. .. ~~. ~m.~M.m~~~D~~ttMA.~$·a*·~.~~~.~. m~m~~.~~m.~~tt~~.·mHL.~~~m~ffi~~~~~. .~M.~m.~H~~. •• ~~*&m.~~tt~.tt~~'$m:. Lt Po + PIt; + P2V , +&, ;t:t.$ L,. •• ~~. s, ~m.~.. ·~~m.~~tt·*~BM~~~$~~~. PI >0&P2 *0. Po*O'. r;d ~afU~~~~M.~.'. m(F/ISt ) '. Jtt;lt~~~~i":~. ·. (6). •• ~. : t§~MM~~*.~R~Jtt7fU.-~~~. Po == 0. '. PI> 0 &P2 = 0. • 'Jr~~*{)J.L-.J.. r,~. ·. ~. 87 ~ 7F.l 21 B. ~91~2F.l18BM.&m.~~~~~B.fl~.*'~~~*~*~. •• ~~.~~.~~,m.~~tt tJ OARCH ( 1,1) .PJT1i!l~tffi;Z:~f~~~~.~m.~~'~~~~1i!lm-M: ' m~30~M.ffi'.~~.~~.~. ~*.~~tt~~~~m~MBM~~~~·.~.~affiH~~~~~. ~~~.~M~'~.~2M*m.a~affi~m.· M~~*.~.~ PoHi~~. • m~ 6 ~~:(£ OARCH (1,. 1) ~~lJJtt. ~.~~~·A~M.·.~.®~,~aM.~~mM~~*.~*m. •• ~~.;~~.~~~~A~M.·.~&~~MM~~*.~&~ ~MHL.~o~~~.tt~~~$~M.,.~~m~~aM.~ •• ~~~.~M~~*.~·ffi&.~~~HL.~~~mM~aM.~. Oay and Jung ( 1999) &Brailsford and Cusack ( 1997) $7tl.llim~(Ift II KOPSI 200 a~tlJ~M.~~lJtI1iaM •• fl~fi~~~ft!!~MM~~*. •. 0. .~.-.~E.~·~~*~~.~7tm.7t{)J~mmM~~*.~~ tJ~1¥.I. 0. 105.

(26) 6. Po. -rut J!=] IIllit1l f~ I!J: mj( ~ 11 m~. PI. P2. P3. P4. IP. D-W. 0.00038. 0.6128. 0.1699. 0.1421. -13.72. 0.5596. 2.0493. (1.07). (11.69)C. (3.68t. (0.89). (-0.48). 2. tt 1 : m~f.\t L, = Po + ;=1 r.PjLH. + P3r, + P4 V, +&, •. tt 2: fJiiU/llbtttllHM : GARCH(I,l)· tt 3: a' b ' c :fr71Uft~tfl'i~*. 10% ' 5%' l%rf.\tl'i~ • tt 4: tiliilll.r:Jf.\t White (1980) ;Z. beteroscedastic consistent t MCltt:.t ' D-W f.\t Dubin-Watson fI9. MClttM:·. *~~~~~~.~~~~a~*(&~~M1I~)·mj(~~~·.. # • • · • • ~*~~&~.~$~~~llit~M.,~m •• j(~~~B. mj(1Imff.W••~.M·.~~llitmj(~$.~1I.m~~~&~~ .~~~'.~M*.~ft~~$.~~~~~~Z~'*~~~.~~. mj(-g.l!I!~ 1I~1!J:~ tb {9IJiiIi~ 84.5% ( ~.~U ~ ). 93.8% ( hffln.~U~ ) · ~~hffln.~~~.~.~&.~ ••• ~'~~~1I.mM.~qM& .m.mB~H.~~~.~~o.iiIi~1I.~.*~mM.~~~~. mllit$ftj:~m. ... ' .~~1I.~.*~mrdHlU~~~~~n--$ftj:&m+. ff~.·.~.~.·~. ~llitml!J:mj(-.'ft.*mM~m~.W. ••• ~'~~~hffln.~~~~&fi.~•• ' ~.mj($•• ~· ~1I.m~.~.~:1l ' • Figlewski ( 1984) ; Peters ( 1985) & Saunders and Mahajan (1988) ~f1Jf~M*:f§~ , ~~!i!f£~.~~11~.~.*' ~ W~1Imw.~.*w~~m1lm'm ••• ~llitml!J:mj(ffiH~~~. *~~.~ ({9IHlDJi.3i1t~· 'IH~~' ~~W, 1998: Ji.3i1t~. ~~W, 1999) 0. *~~~~.~llitmj(m mJi.~.~?l-3t.:f§f,f. •• mB~~,mj(~1I.m~.~~*,. (MacKinlay and Ramaswamy, 1988; Bhatt and. Cakici, 1990; Klemkosky and Lee, 1991; Yadav and Pope, 1990, 1994; Fung and Draper, 1999; Gay and lung, 1999)'. 106. WJi*~~~.~fiH.fJ,~~~.

(27) ~~.m.M~~.~~~ZM~. ••~.,ti.n.~.@~~&~m~~m.·~~#H.~a*a# m~~.~BOO' •• ~~W.~~.B~.~'ffi~~.~.~;~~ .#~.~m~~~~tt~~'~~~~~~.~*'~ITM~&.~'. JltW Yadav. and Pope ( 1994) ; Fung and Draper ( 1999) & Gay and Jung. ; nX3(:It&~~.~~~~~IlS1,*z- , 'i'JE~ ~m.~~~~'~.nX3(:ltm~,3(.A~ •• IT.~'.~~.&. rlHEI ¥tl• • fUlii rdl P3 ~~*li}f~&~fi7a~.~m~3(.~~~~ •• R~* •• ti~ (1999) zli}f~*,t'=-3&. 0. .~~.~~~.'~~*.OOm~,~m.~m~~~s~~OO'~~ ~~mm*&m.~~~~~~~~~~¥,ti~.~~~~~~~~~ *~~~B;.~.fi~~M#.Wti&~.~$m~.n.~.w~'. •• IT&~.fU'IlS1~~~~~&~~.~~'~~'i''i'~.~~fi~ fiftOO-3(.B~'~~IlS1 •• ~.e~.~$m,~~~~ti~~.~ *·.~*~~ •• R~*.W~~m~.m~.~ •• ~~~.~,~ ~. ~.~.~~~~.~~Mm'~W~.m§~m~,a*X~~*.OO' .R~*B~e.nX~~.~'.nXM~~~~~~~. ~.~m.A.. 1I~§~o. $-~x.1k fii1llfl. tt. (2000) • r H1JH~.~~~fU. ••~fi~M~~P3.~m~Zfl~. ~#H'.T'*M.~~OOJ'*W~~±~x,am*~M. ~trl!l!li}f~Ffio. #Xa ' _*if:. (1996) , r g.H11j.~~~. •• fU.~rl:l~m~lM J · (~. , m 8 ~m 3 . ' 1-31 'Eli9~ , ~~-tt (1999) ,r H~11j •• ~~~zli}f~-~1J[lf1t*fRg11j.~ z.~ J ' (52~trl!l!lW~) , m 4 ~m 3 • ' 255-269 Ji~9~ , ~~~ , ~~tt (1998) , r *fRgH11j•• ~~m~~*W.flJ #m~~tm:*fU). 0. 0. 107.

(28) ll1rzliff~. I±tt. J ' (m~m~~Jm~l:li) , ~. 10 1{f~ 3. Wl '. 1-29. 0. (1996) ,r lIit$i~B9QS(~&.J1I.WJAIllitQS(fflG.J1I §. !IIlliit. ~~.~m.~B9~.J'*lli~m±~~'~w*~M~~~liff~. fiJTo .~'ffi (1999) ,r .. m~~mI!t:Wl~1t=fUm~Zliff~. J ' *lli~m±~~ ,. il&ra*~M~~~liff~fiJTo. .!Rbc (1995) ,r WAI.WJllitQS(~.D~ §. !IIlllit~~~m~.~I¥J~. .J'*lli~m±~~'~w*~M~~~liff~fiJTo. Bhatt, S. and N. Cakici (1990), "Premiums on Stock Index Futures-Some Evidence," Journal of Futures Markets, Vol. 10,367-375. Brailsford, T. J. and A. J. Cusack (1997), "A Comparison of Futures Pricing Models in a New Market: The Case of Individual Share Futures," Journal ofFutu res Markets, Vo1.17, 515-541.. Brenner, M., M. G. Saubrahmanyam and J. Uno (1989), "The Behavior of Prices in the Nikkei Spot and Futures Market," Journal of Financial Economics, Vol. 23, 363-383.. Brenner, M., M. G. Saubrahmanyam and J. Uno (1990), "Arbitrage Opportunities in the Japanese Stocks and Futures Markets," Financial Analysts Journal, Vol. 46, 4-24.. Chou, R. and J. H. Lee (2002), "The Relative Efficiencies of Price Execution Between the Singapore Exchange and the Taiwan Futures Exchange, n Journal ofFutures Markets, Vol. 22, 173-196.. Chung, Y. P. (1991), "A Transaction Data Test of Stock Index Futures Market . Efficiency and Index Arbitrage Profitability," Journal of Finance, Vol. 46, 1791-1809. Cornell, B. and K. R. French (1983a), "The Pricing of Stock Index Futures," Journal ofFutures Markets, Vol. 38,1-14.. <:. Cornell, B. and K. R. French (1983b), "Taxes and the Pricing of Stock Index. 108.

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(34) The Determinants of Mispricing of Index Futures Contracts: The Case of Taiwan Stock Index Futures Po-Kai Huang Doctoral student, Department of Finance, National Chung Cheng University. Yuan-Chen Chang Associate Professor, Department of Finance, National Chengchi University. Dah-Nein Tzang Vice President, Taiwan Securities Central Depository This paper investigates the efficiency of the Taiwan Stock Index Futures traded in the Taiwan Futures Exchange.. No arbitrage pricing. bands are computed using alternative sets of transaction costs and short sell restrictions faced by different investor groups.. We find that the. mispricing of the Stock Index Futures reduces gradually as the market becomes more mature. Our results show that the reduction of time between transactions and futures transaction tax does not decrease the magnitude of the mispricing of the Taiwan Stock Index Futures significantly.. On the. other hand, we show that price limit, short sell constraint, and intervention by government increase the mispricing of the Taiwan Stock Index Futures. Key Words: Mispricing, Stock Index Futures, Arbitrage.. 114.

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