台灣股價指數期貨訂價偏誤與價格反轉

The Mispricing and Price Reversals of Stock Index Futures in Taiwan

本文結合了日內資料與日資料來研究現貨收盤時所發生的期貨訂價偏誤， 對後續期貨之極短期、短期與未來一段時間報酬變化的影響。研究結果顯 示，現貨收盤時的期貨訂價偏誤情況，會影響接續15分鐘內期貨報酬，也會對 隔日的期貨報酬有顯著反向的影響，甚至也預示了未來期貨價格的反轉。若 針對有訂價偏誤的交易日來研究指數期貨間相對價格趨勢的變化，則發現指 數期貨間的相對價格也會出現顯著的反轉現象。本文的結果印證了收盤訂價 偏誤的狀況具有資訊內涵，經由後續市場的修正會造成相關期貨彼此間強弱 態勢的改變，因而創造了反轉策略獲利的機會。此種訂價偏誤所隱含的資訊 內涵不但可以預測隔日的期貨報酬，更可以預測未來超過 1 個月的期貨走勢。 This study combines intra-day and daily data to investigate how futures mispricing at the point of stock closing results in the subsequent returns of futures in very short term, short term and a period of time. The result of this study reveals that the mispricing of futures affects the futures return in the subsequent 15 minutes. It also causes significant opposite influence on the next-day returns of futures, which even predicts the trend reverse of futures. If we regard the over-estimated (under-estimated) futures as the winners (losers), the significant reversal effect exists between the stock index futures. The above results display the contribution of this study. That is, the mispricing of futures at the point of stock closing is information contented. Through the modification of price in the next trading days, the price trend of different kinds of stock index futures rotates and the reversal effect is triggered between winner and loser futures. Such information content can predict not only the futures returns of the next day but also the futures trends over the upcoming month.