臺灣博碩士論文加值系統

本文目的是在研究SPDRs在新增NYSE市場後的定價效率（Price efficiency）與錯價（Mispricing）因素之比較。所利用的資料為日內資料型態（Intraday data），並利用Minspan的資料配對方法來解決指數期貨與現貨間資料時間不對秤的問題。本文將區分成四個部分來探討：第一，指數期貨錯價頻率、事前違反（ex-ante）及事後違反（ex-post）等，是否會因SPDRs的掛牌上市而減少。第二，當考慮市場分割（fragementation）交易時，其錯價、事前違反及事後違反的情況是否會有顯著的改善。第三，在迴歸分析方面，本文選取了指數現貨每日變異、指數期貨每日變異、每日平均一分鐘的交易次數、期貨剩餘到期天數及加上一個虛擬變數，來作為評估迴歸模型中的參數，並利用一般動差法（GMM）估計之。第四、同時探討SPY、DIA、QQQ三者在進行分割交易後，是否會對其標的S&P 500、Dow Jones及Nasdaq-100指數期貨的定價效率有顯著的改善。實證結果顯示，當SPDRs在市場上推出時，則標的指數期貨的成交量會隨著SPDRs呈同步的成長。SPDRs在AMEX市場掛牌上市時，其定價效率並沒有改善，主要受制於虛擬變數、每日平均一分鐘的交易次數及期貨剩餘到期天數的影響。當SPDRs在NYSE市場進行分割交易上市時，則定價效率有著顯著的改善，主要是來自於虛擬變數及期貨剩餘到期天數的影響。S&P 500、Dow Jones、Nasdaq-100
指數期貨的定價效率會因SPY、DIA、QQQ的分割交易而有顯著的改善。

This article goal is in studies SPDRs after to increase the NYSE market the price efficiency with the Mispricing comparison of the factor. Uses the material for the date in the material condition Intraday data, and pairs the method using the Minspan material to solve between the index futures and index the material time not to the scale question. Will price the efficiency area to divide into four parts to discuss: First, the index futures Mispricing frequency, ex-ante violated in anticipation and afterwards ex-post violates and so on, whether could because the SPDRs license go on the market reduces. Second, when considered when market division fragementation transaction, its Mispricing, violated the situation in anticipation which and afterwards violated whether can have revealed the improvement. Third, in the regression analysis aspect, this article has selected the index daily variation, the index futures daily variation, a daily average minute transaction number of times, the stock surplus due number of days and adds on a Dummy variable, took in the appraisal return model the parameter, and using generally moves the method of difference (GMM) to estimate it.Fourth, Simultaneously discusses SPY, DIA, QQQ three after carries on the fragementation transaction, whether can to its sign S&P 500, Dow Jones and the Nasdaq-100 index price efficiency has reveals the improvement.The real diagnosis result showed, when SPDRs promotes when the market, then the sign index turnover can assume synchronized along with SPDRs the growth.When SPDRs trades on the AMEX market , its price efficiency has not certainly improved, mainly is restrained the Dummy variable, a daily average minute transaction number of times and the index surplus due number of days influence. When SPDRs carries on when the NYSE market the fragementation transaction goes on the market, then the price efficiency has reveals the improvement, mainly is comes from to the Dummy variable and the index surplus due number of days.S&P 500,Dow Jones, Nasdaq-100 index price efficiency can because of SPY,DIA,the QQQ fragementation transaction have reveals the improvement.

目 錄
第一章 緒論
1.1 研究背景與動機...........................................1
1.2 研究目的.................................................4
1.3 研究架構.................................................6
第二章 文獻探討
2.1 指數期貨定價模型.....................................8
2.2 資料配對方法........................................10
2.3 ETFs的價格發現功能..................................10
2.4 ETFs的流通性與訊息交易..............................12
2.5 ETFs對指數期貨市場的影響............................13
第三章 指數股票式基金
3.1 ETFs市場介紹............................................17
第四章 研究方法
4.1 研究假設............................................28
4.2 資料來源與配對......................................29
4.3 理論模型............................................33
4.4 研究變數之定義......................................39
4.5 迴歸模型............................................41
第五章 實證分析
5.1 兩市場指數期貨與現貨市場之描述......................44
5.2 指數期貨理論價格錯價................................50
5.3 指數期貨事後違反....................................55
5.4 正向套利............................................56
5.5 反向套利............................................57
5.6 事前違反............................................64
5.7 迴歸模型分析........................................82
5.8 探討SPY、DIA、QQQ分割交易後之定價效率...............94
第六章 結論................................................115
參考文獻....................................................122
附錄........................................................125

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