市場不完美性與股價波動性對全球金融危機期間指數期貨價格預測績效之影響

The Effect of Market Imperfection and Stock Price Volatility on the Forecasting Performance of Index Futures Prices during the Global Financial Crisis

已有不少研究發現持有成本模式定價誤差與現貨報酬波動性之間是有所關聯。此外，由於實際資本市場是存在著市場的不完美性，並且指數套利是存在著風險的，因此市場不完美性似乎對於股價指數期貨定價與套利有相當程度的影響。本文以全球金融危機為實證期間，藉由比較持有成本模式、考量現貨報酬波動性之Hemler and Longstaff模式以及考量市場不完美性之市場不完美模式之預測績效以及進行一系列穩健分析，以檢視現貨報酬波動性與市場不完美性是否是影響指數期貨定價之重要因素。實證結果都說明在股市具高度波動性與現貨－期貨套利具高度不完美性之全球金融危機期間後期，考量股票價格波動性與市場不完美性的確有助於更大幅度地提升預測指數期貨價格之績效。 Several studies find that the pricing errors of the cost of carry model are related to spot return volatility. Moreover, there exists market imperfection for real capital markets, and index arbitrage is risky. Thus market imperfection seems to have a considerable effect on the pricing and arbitrage of stock index futures. This study examines whether spot return volatility and market imperfection are important factors in pricing stock index futures by comparing the forecasting performance of the cost of carry model, Hemler and Longstaff (1991) model with spot return volatility, and market imperfection model and implementing a series of robust analysis for the global financial crisis period. Empirical results indicate that incorporating stock price volatility and market imperfection into the futures pricing model is helpful for more improving the forecasting performance of index futures prices during the late crisis period characterized by high stock price volatility and high market imperfection.