市場不完美度與股價指數期貨定價關係的一些理論假說與實證

10.29765/TEI.200207.0001

王健聰；許溪南

股價指數期貨 ； 定價模式 ； 市場不完美度 ； stock index futures ； pricing model ； degree of market imperfection

經濟研究

38卷2期（2002 / 07 / 01）

133 - 163

繁體中文

各種衍生性商品市場的完美程度是不同的，有些成熟市場，如S&P 500指數期貨市場，則較完美；而新興的市場，如SGX-DT摩根台股指數期貨市場與TAIFEX台股指數期貨市場，則較不完美。本文研究目的有二：(1)提出市場不完美度的意義與理論評價，並據以估計實際市場的不完美度；(2)提出若干市場不完美度與股價指數期貨定價之關係的理論假說，並進行實證。 依據本文所推導出理論假說與實證結果，驗證了市場不完美性對股價指數期貨定價之影響甚大，不可忽視。因此，不同市場的投資人在選擇定價模式應用時，應充分地瞭解所參與市場的不完美程度。

Different markets should have different degree of market perfection. For some matured markets, such as S&P 500 index futures market, they should have relatively high degree of market perfection. The purposes of this paper are (1) to provide a theoretical valuation of the degree of market imperfection; and (2) to provide some theoretical hypotheses and empirical tests about the relationship between degree of market imperfection and pricing of stock index futures. According to the theoretical hypotheses and empirical results, we show that the impact of market imperfection on the pricing of stock index futures is tremendous, and cannot be neglected. Thus, investors in different markets should understand the degree of the market imperfections they participated.

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