期貨的定價理論向來是該領域相當重要的課題之一，過去相關研究慣用持有成本模式（cost-of-carry model）來解釋期貨商品的定價，但是此一原理乃是基於市場是完全的，套利可以迅速的發揮應有的功能，而使期貨與現貨之間達成某種均衡關係。但此一基本假設隨著學者的研究以及市場的實際發展，愈來愈受到質疑，本研究經由過去文獻探討，認為市場是不完全的，並以Hsu and Wang （1998）所提出之不完全市場下之指數期貨定價模式，實證TAIMEX台股指數期貨1998/7/22-1999/3/16各月份期約之高頻率成交資料（五分鐘日內資料，共八個月份的期約）。
本研究目的有三：（1）檢視TAIMEX台股指數期貨之套利出現頻率。（2）檢定持有成本模式應用於TAIMEX台股指數期貨的正確性。（3）以隱含股價成長率估計期貨預期成長率，並進一步比較不完全市場下的股價指數期貨定價模式與持有成本模式之預測績效。
本研究運用GARCH(1,1)模式，除了對逆價差現象之套利機會明顯存在提出批判外，另外以隱含成長率及適應性預期模式兩種方法估計預期成長率，探討期貨與現貨之間的關係，藉由迴歸實證得到結果：（1）TAIMEX台股指數期貨之套利機會很顯然地一直持續著，並非瞬間即逝。（2）現實不完全市場下，持有成本模式主張預期成長率為無風險利率並不適當。（3）不完全市場下之股價指數期貨定價模式的預測績效的確優於完全市場下之持有成本模式。

目 錄
摘要………………………………………………………………Ⅰ
誌謝………………………………………………………………Ⅱ
目錄………………………………………………………………Ⅲ
表目錄……………………………………………………………Ⅴ
第一章 緒論…………………………………………………… 1
第一節 研究背景……………………………………1
第二節 研究動機…………………………………… 3
第三節 研究目的……………………………………5
第四節 本研究之章節架構…………………………6
第二章 文獻探討……………………………………………… 7
第一節 持有成本之理論回顧與檢討………………8
第二節 與指數期貨相關的實證研究………………11
第三節 不完全市場下之指數期貨定價模式………14
第三章 研究方法與設計……………………………………… 17
第一節 無套利區間之建立………………………… 17
第二節 不完全市場下持有成本模式正確性之檢定 18
第三節 期貨預期成長率之估計方法……………… 21
第四節 不完全市場下指數期貨定價模式與持有成本
模式預測績效比較之實證步驟…………… 23
第五節 研究範圍、資料來源及研究限制………… 24
第四章 實證結果與分析……………………………………… 27
第一節 套利機會之實證結果………………………27
第二節 不完全市場下持有成本模式正確性之檢定29
第三節 不完全市場下指數期貨定價模式與持有成
本模式之預測績效比較……………………34
第五章 研究結論與建議……………………………………… 42
第一節 研究結論…………………………………42
第二節 研究建議…………………………………44
參考文獻…………………………………………………………46
附錄一 TAIMEX台股指數期貨與SIMEX台股指數期貨之比較…50
附錄二 期貨、現貨與距到期日走勢圖………………………51

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