Forward Pricing Efficiency and Risk Premium of Stock Indices Futures in Pacific-Rim Countries: A Fractional (Co)integration Analysis

10.29765/TEI.200207.0002

劉曦敏(Shi-Miin Liu)

遠期定價效率 ； 分數(共)整合 ； 持有成本 ； 基差 ； forward pricing efficiency ； fractional (co)integration ； cost-of-carry ； basis

經濟研究

38卷2期（2002 / 07 / 01）

165 - 201

英文

本文以分數（共）整合檢定法為主、屬量評估法為輔，探討澳洲、香港、日本、美國、與加拿大股價指數期貨的不偏定價效率及遠期風險貼水的型態。結果顯示，不偏定價效率僅存在於距到期二個月的澳洲股指期貨市場、及距到期一個月的香港股指期貨市場。又距到期日較遠的期貨價格與未來現貨價格的分數共整合關係，僅存在於美國股指期貨市場五個月的遠期定價區間中。美國與加拿大的股指期貨具有顯著為正的風險貼水，日本股指期貨則有顯著為負的風險貼水。股指期貨近月契約的風險貼水多為定態。相對地，距到期五或十個月的期約風險貼水全是具長期記憶、均數反轉性質的非定態序列。

This article investigates unbiased efficiency and patterns of forward risk premium using FPH tests and some auxiliary quantitative criteria for Pacific-rim stock indices futures in Australia, Hong Kong, Japan, the U.S. and Canada. Unbiased efficiency is found consistently and solely in All Ordinaries Share Price Index's two-month and Hang Seng Index's one-month forward pricing intervals. And fractional cointegration between spot and distant futures prices is detected only in the maturer US markets. Significantly positive and negative risk premium is discovered, respectively, in Standard & Poor 500 index and Toronto 35 index futures, and in Nikkei 225 index futures. While risk premium in nearby futures is almost all stationary, risk premium in five- and ten-month forward pricing intervals exhibits long-memory mean-reverting properties.

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