臺灣股價指數的股利估計及其對台指期貨定價的影響

Estimation of TAIEX's Dividend Payouts and Impacts on the Pricing of TAIEX Index Futures

10.29765/TEI.200901.0004

許溪南(His-Nan Hsu)；吳依正(Yi-Chen Wu)；黃金生(Chin-Sheng Huang)

台股指數期貨 ； 定價效率 ； 定價誤差 ； 間斷型股利支付 ； TAIEX Index Futures ； Pricing Efficiency ； Pricing Errors ； Discrete Dividend Payouts

經濟研究

45卷1期（2009 / 01 / 31）

103 - 141

繁體中文

台灣股票上市公司的股利政策近年來有極大的轉變，以往股利的發放以股票股利居多，而今卻以現金股利所占的比重居多，此巨大的轉變在期貨市場造成逆價差的迷思，投資人如果以爲有套利機會可乘，勢必蒙受莫大的投資損失。因此，正確股利的估計對模型的合理定價極爲重要。遺憾的是過去研究台灣股價指數期貨定價與套利實務的相關文獻，在股利收入的估計上相當粗略，並不符合間斷型股利的精髓。本研究採用精確的股利估計探討股利發放、每日不同的交易成本等因素放入評價模式中對台指期貨定價的影響。結果顯示期貨市場隨著時間的增加，定價行爲有趨於成熟的趨勢。本研究的結果亦間接證實投資人對於股利估計越來越精確，定價誤差幅度也有越來越小的趨勢。此外，本文亦建構完整實際股利發放型態，做爲學界與實務界參考依據。結果顯示台灣除息的型態有明顯的季節性，且股利發放集中的月份有逐年遞移的趨勢。

The dividend policy for the exchange-listing companies in Taiwan has been changed drastically in recent years, from stock dividends-oriented in the past to cash-oriented in recent years. This policy change has made great impacts on futures pricing in the Taiwanese futures market, such as frequently appearance of negative bases. If futures traders do not detect the trend of the Taiwanese dividend-payout policy and view the appearance of negative bases as arbitrage opportunities, they will suffer from loses. Therefore, an accurate estimation of dividend payouts for the TSE (Taiwan Stock Exchange) index is very important. Regretfully, none of past literature provides an accurate estimation of dividend payouts for the TSE index. Even literature on the pricing of Taiwanese stock index futures only provides rough and inaccurate estimates. The purpose of this paper is to provide an accurate estimation of dividend payouts for the TSE index, and then to reinvestigate the impacts of these dividend payouts on the pricing of TAIEX index futures. The evidence reveals that the dividend payouts for the TSE index show a seasonal pattern and the concentration of dividend payouts has slightly shifted year by year. We also find that the Taiwanese futures market has become more matured and efficient as the trading experience increases. Moreover, the evidence also directly reveals that the investors' estimation of cash dividends seems to become more and more accurate as the trading experience becomes longer.

1. Bhatt, S.,N. Cakici(1999).Premiums on Stock Index Futures: Some Evidence.The Journal of Futures Markets,10,367-375.
2. Brenner, M. J.,M. G. Subrahmanyam,J. Uno(1989).The Behavior of Prices in the NIKKEI Spot and Futures Market.Journal of Financial Economics,23,363-383.
3. Cornell, B.,K. R. French(1983).The Pricing of Stock Index Futures.Journal of Futures Markets,3,1-14.
4. Figlewski, S.(1984).Explaining the Early Discount on Stock Index Futures: The Case for Disequilibrium.Financial Analysts Journal,40,43-47.
5. Klemkosky, R. C.,J. H. Lee(1991).The Intraday Ex-Post and Ex-Ante Profitability of Index Arbitrage.Journal of Futures Markets,11,291-311.
6. Macklinlay, A. C.,K. Ramaswamy(1988).Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices: Some Preliminary Evidence.The Journal of Futures Markets,1(2),137-158.
7. Peters, E.(1985).The Growing Efficiency of Index Futures Markets.Journal of Portfolio Management,2,52-56.
8. 林文政、臧大年(1996)。台灣股價指數期貨定價與套利實務問題探討。證券市場發展季刊，8(3)，1-31。
9. 許溪南、王健聰(1999)。SIMEX摩根台股指數期貨之定價、套利與預測。成功大學學報，34，109-142。
10. 陳淑泰(2005)。工商時報(2005/06/02)。
11. 黃玉娟、徐守德(1999)。股價指數期貨定價之研究－新加坡摩根台股期貨之實證。亞太管理評論，4(3)，255-269。
12. 黃玉娟、郭照榮、徐守德(1999)。摩根台股指數期貨之市場效率與套利機會之研究。證券市場發展季刊，10(3)，1-30。

1. 許溪南、許羽呈、何怡滿(2012)。台指選擇權預期報酬率之探討。證券市場發展季刊，24(2)，179-214。
2. 黃寶玉、倪衍森、古曜嘉(2011)。台灣高額現金股利宣告效果之實證研究─以富時指數公司所編製的成分股為例。東吳經濟商學學報，72，81-108。
3. 葉仕國、張森林、林丙輝(2017)。台灣衍生性金融商品市場實證與運用研究文獻回顧與展望。臺大管理論叢，27(2)，211-258。
4. (2015)。2008 年金融海嘯對台指選擇權波動性微笑曲線的影響及投資意涵。臺灣銀行季刊，66(2)，60-80。