臺灣博碩士論文加值系統

現實的資本市場存在著市場的不完美性。本文分別針對美國S&P 500、英國FTSE 100、德國DAX、法國CAC 40、日本Nikkei 225、香港恆生、台灣TAIFEX以及韓國KOSPI 200等八個國家的指數期貨契約，進行下列的議題探討：
一、運用Wang and Hsu (2005)所提出持有成本模式配適性檢定以及持有成本模式定價績效（包括無交易成本及考量交易成本）等方法，針對全球幾個主要指數期貨市場，進行持有成本模式配適性分析以及指數套利分析。
二、建立定價誤差決定因素之迴歸模式，針對全球幾個主要指數期貨市場，探討各項解釋因素對於定價誤差的影響。
而實證結果指出：
一、對於完美度較高的已開發市場的確有較佳的配適效果，其中又以S&P 500以及FTSE 100指數期貨市場的配適性最佳。此外，持有成本模式對於已開發市場的確有較佳的定價績效。因此，持有成本模式較適合應用於已開發市場。
二、定價誤差決定因素之迴歸分析之實證發現，一些定價誤差率的決定因素，包括絕對誤差率的一期落後項、距離期約到期期間的長短、指數現貨價格的波動性等，大致都能夠解釋定價誤差，而且在解釋能力上不論是已開發市場或是新興市場都一樣。

Capital markets are imperfect. The empirical evidence is based on eight stock index futures contracts, i.e., the S&P 500, the FTSE 100, the DAX, the CAC 40, the Nikkei 225, the HANG SENG INDEX, the TAIFEX and the KOSPI 200 index futures contracts. The main topic can be summarized as follows:
(1) Fitness test and pricing performance of the cost of carry model presented by Wang and Hsu (2005) are used to test fitness analysis of the cost of carry model and index arbitrage analysis in the light global major index futures markets.
(2) By setting up the regression containing the factors of mispricing, it is used to examine the effect of every factor which leads to mispricing.
The empirical results show that:
(1) Developed markets with higher degree of perfection indeed have better fitness effects. Moreover, the cost of carry model is used in the developed markets with better pricing performance. The cost of carry model is more suitably applied to the developed markets.
(2) The empirical results of the regression containing the factors of mispricing show that some factors of mispricing, i.e., one period lag of the absolute mispricing rate, time to the futures maturity date, volatility of index spot price, etc., can explain the mispricing. The power of explanation in the developed markets and in the emerging markets are the same.

中文摘要
英文摘要
誌謝
目錄
表目錄
第壹章 緒論
第一節 研究背景與動機
第二節 研究目的
第三節 章節架構
第貳章 文獻探討
第一節 全球主要股價指數期約規格介紹
第二節 持有成本模式之探討
第三節 指數套利與無套利區間
第四節 定價誤差決定因素之探討
第參章 實證方法與資料說明
第一節 持有成本模式之配適性檢定
第二節 持有成本模式之定價績效
第三節 定價誤差決定因素之迴歸模式的建立
第四節 資料說明
第肆章 實證結果分析
第一節 樣本基本統計分析
第二節 不完美市場下持有成本模式配適性之檢定結果
第三節 持有成本模式定價績效之實證結果
第四節 定價誤差決定因素之迴歸分析結果
第伍章 結論與建議
第一節 結論
第二節 建議
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