中山管理評論

  期刊全文閱覽

中山管理評論  2019/9

第27卷第3期  p.631-673

DOI:10.6160/SYSMR.201909_27(3).0005


題目
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
(144_M5d8493f27921f_Full.pdf 951KB)

作者
劉海清、傅英芬/南臺科技大學財務金融系、台南應用科技大學財務金融系
Hai-Ching Liu, Ying-Fen Fu/

Department of Finance, Southern Taiwan University of Science and Technology; Department of Finance, Tainan University of Technology


摘要(中文)

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。

(144_M5d8493f27921f_Abs.pdf(檔案不存在))

關鍵字(中文)

持有成本理論、指數期貨、訂價偏誤、價格反轉、資訊內涵


摘要(英文)

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.

(144_M5d8493f27921f_Abs.pdf(檔案不存在))

關鍵字(英文)

Carrying Cost Theory, Index Futures, Mispricing, Reversal Effect, Information Contention


政策與管理意涵

現貨收盤時所發生的期貨錯價情形,有可能是投資人近期累積了過於樂觀或悲觀的情緒,產生了宣洩性的買盤或賣壓所造成。此種價格偏誤在市場的調整過程中,有可能會對後續現貨收盤後15分鐘內之期貨報酬或隔日期貨報酬或短期的期貨價格趨勢造成反轉的壓力,因此現貨收盤時的期貨訂價偏誤可能具有資訊內涵。本文結合了訂價偏誤與反轉效應的研究,分析現貨收盤時的錯價狀態是否能夠用來預測極短期與隔日的期貨報酬並預示短期的股價趨勢變化,進而發展出指數期貨間的反轉投資策略。 研究結果顯示,在極短期的觀察上,除了電子期貨外,其他三種期貨在現貨收盤時,期貨有錯價狀況下,在接下來的幾分鐘內都會有顯著的反轉情況發生。另外若收盤時期貨價格出現高(低)估的錯價情況,則次一交易日的期貨價格會有顯著的下跌(上揚),而價格下跌(上漲)的幅度與前一日期貨收盤時被高(低)估的程度有顯著相關。若再拉長觀察時間,則會發現若前一日期貨有被高(低)估的情況,那麼指數的趨勢將由上漲(下跌)轉為下跌(上揚)或盤整。本文進一步利用收盤錯價的資訊,以錯價發生當日被高估(低估)的期貨作為贏家(輸家)來檢視期貨間相對價格的預測力,結果發現三種指數期貨兩兩之間都出現了顯著的反轉效應。此應證了本文的推論,收盤錯價現象具有資訊內涵,它對現貨收盤後的幾分鐘內之期貨走勢或隔日的期貨報酬或是後續的價格趨勢變化都具有預測力,妥善利用這種現象,就可以提升對未來期貨報酬的預測力。 本文的研究結果,對期貨的訂價提供了一個新的思維,也就是說在進行期貨訂價或報酬波動的研究時,須將之前期貨於現貨收盤時的訂價偏誤情況考慮進來。對一般市場投資人與價差交易者,本文也提供了一種預測期貨未來走勢的簡易方式。另外從結果中也顯示我國股價指數期貨被低估的機會遠高於被高估的機會,顯然主管機關在政策或法規的修改上,應該對現股放空的限制更加鬆綁,朝放空與做多兩者能均衡發展,維持健康的平衡為目標。


參考文獻

王健聰,2016,「雙重上市指數期貨市場之價差套利以及定價、指數套利與避險比較之研究」,管理與系統,23卷1期:31~64。 (Wang, J. C., 2016, “Spread Arbitrage and Comparison of Pricing, Index Arbitrage, and Futures Hedging between Dual Listed Index Futures,” Journal of Management & Systems, Vol. 23, No. 1, 31-64.)
林淑瑜、莊鴻鳴、徐守德,2011,「正向回饋交易行為對台灣指數期貨報酬之短期動態的影響」,管理與系統,18卷2期:175~202。(Lin, S. Y., Chuang, H. M., and Hsu, S. D., 2011, “On Positive Feedback Trading Behavior in Index Futures of Taiwan,” Journal of Management & Systems, Vol. 18, No. 2, 175-202.)
胥愛琦、吳清豐,2003,「台灣股市報酬與匯率變動之波動性外溢效果-雙變量EGARCH模型的應用」,台灣金融財務季刊,4卷3期:87~103。(Hsu, A. C. and Wu, C. F., 2003, “Volatility Spillovers between Taiwan’s Stock Returns and Exchange Rate Changes: An Application of the Bivariate EGARCH Model,” Taiwan Banking & Finance Quarterly, Vol. 4, No. 3, 87-103.)
黃玉娟、郭照榮、徐守德,1998,「摩根台股指期貨的市場效率與套利機會之研究」,證券市場發展季刊,10卷3期:1~29。(Huang, Y. C., Kuo, C. J., and Hsu, S. D.,1998,” Review of Securities and Futures Markets, Vol. 10, No. 3, 1-29.)
黃柏凱、張元晨、臧大年,2004,「影響股價指數期貨訂價誤差因素之研究-以台股期貨為例」,證券市場發展季刊,16卷2期:81~114。(Huang, P. K., Chang, Y. C., and Tzang, D. N., 2014,” Review of Securities and Futures Markets, Vol. 16, No. 2, 81-114.)
謝文良、鐘銘泰、曲靜芳,2009,「影響台股指數期貨定價誤差因素與效率性之探討」,海峽兩岸創新與永續經營學術研討會論文集。(Hsieh, W. L., Chung, M. T., and Chi, C. F., 2009, “The Investigation of Factors Affecting Taiwan Index Futures Mispricing and Efficiency,” Proceedings of the 2009 Innovation and Sustainable Operation Between Cross-Strait Academic Conference, Taipei Taiwan.)
Ali, A. and Trombley, M. A., 2006, “Short Sales Constraints and Momentum in Stock Returns,” Journal of Business Finance & Accounting, Vol. 33, No. 3-4, 587-615.
Ammann, M., Moellenbeck, M., and Schmid, M. M., 2011, “Feasible Momentum Strategies in the US Stock Market,” Journal of Asset Management, Vol. 11, 362-374.
Arshanapalli, B. and J. Doukas, 1993, ”International Stock Market Linkages Evidence from the Pre- and Post-October 1987 Period,” Journal of Banking and Finance, Vol. 17, 193-208.
Barberis, N., Shleifer, A., and Vishny, R., 1998, “A Model of Investor Sentiment,” Journal of Financial Economics, Vol. 49, No. 3, 307-343.
Bhatt, S. and Cakici, N., 1990, “Premiums on Stock Index Futures - Some Evidence,” Journal of Futures Markets, Vol. 10, No. 4, 367-375.
Brooks, R. and Negro, M. D., 2006, “Firm-level Evidence on International Stock Market Comovement,” Review of Finance, Vol. 10, 69-98.
Chan, L. K. C., Jegadeesh, N., and Lakonishok, J., 1996, “Momentum Strategies,” Journal of Finance, Vol. 51, No. 5, 1681-1713.
Carhart, M. M., 1997, “On persistence in Mutual Fund Performance,” Journal of Finance, Vol. 52, No. 1, 57-82.
Chordia, T. and Shivakumar, L., 2002, “Momentum, Business Cycle, and Time-varying Expected Returns,” The Journal of Finance, Vol. 57, No. 2, 985-1019.
Cornell, B., 1985, “Taxes and the Pricing of Stock Index Futures: Empirical Results,” Journal of Futures Markets, Vol. 5, No. 1, 89-101.
Cornell, B. and French, K. R., 1983, “The Pricing of Stock Index Futures,” Journal of Futures Markets, Vol. 3, 1-14.
Cornell, B. and French, K. R., 1983, “Taxes & the Pricing of Stock Index Futures,” Journal of Finance, Vol. 38, No. 3, 675-694.
Daniel, K., Hirshleifer, D., and Subrahmanyam, A., 1998, “Investor Psychology and Security Market Under- and Overreactions,” Journal of Finance, Vol. 53, No. 6, 1839-1885.
De Bondt, W. and Thaler, R, 1985, “Does the Stock Market Overreact?” Journal of Finance, Vol. 40, No. 3, 793-805.
Fama, E. F. and French, K. R., 1993, “Common Risk Factors in the Returns on Stocks & Bonds,” Journal of Financial Economics, Vol. 33, No. 1, 3-56.
Figlewski, S., 1984, “Hedging Performance and Basis Risk in Stock Index Futures,” Journal of Finance, Vol. 39, No. 3, 657-669.
Fu H. P. and Wood, A., 2010, “Momentum in Taiwan: Seasonality Matters,” Applied Economics Letters, Vol. 17, No. 13, 1247-1253.
Fung, A. K. W. and Lam, K., 2004, “Overreaction of Index Futures in Hong Kong,” Journal of Empirical Finance, Vol. 11, No. 3, 331-351.
Fung, A. K. W., Lam, K., and Lam, K. M., 2010, “Do the Prices of Stock Index Futures in Asia Overreact to U.S. Market Returns?” Journal of Empirical Finance, Vol. 17, No. 3, 428-440.
Fung, A. K. W., Mok, D. M. Y., and Lam, K., 2000, “Intraday Price Reversals for Index Futures in the US & Hong Kong,” Journal of Banking & Finance, Vol. 24, No. 7, 1179-1201.
Grant, J. L., Wolf, A., and Yu, S., 2005, “Intraday Price Reversals in the US Stock Index Futures Market: A 15-year Study,“ Journal of Banking & Finance, Vol. 29, No. 5, 1311-1327.
Grinblatt, M. and Moskowitz, T. J., 2004, “Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-loss Selling.” Journal of Financial Economics, Vol. 71, 541-579.
Hemler, M. L. and Longstaff, F. A., 1991, “General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence,” The Journal of Financial & Quantitative Analysis, Vol. 26, No. 3, 287-308.
Hong, H. and Stein, J. C., 1999, “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” Journal of Finance, Vol. 54, No. 6, 2143-2184.
Jegadeesh, N., 1990, “Evidence of Predictable Behavior of Security Returns,” Journal of Finance, Vol. 45, No. 3, 881-898.
Jegadeesh, N. and Titman, S., 1993, “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, No. 1, 65-91.
Kahneman, D. and Tversky, A., 1979, “Prospect Theory: An Analysis of Decision under Risk,” Econometrica, Vol. 47, No. 2, 263-291.
Klemkosky, R. C. and Lee, J. H., 1991, “The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage,” The Journal of Futures Markets, Vol. 11, No. 3, 291-311.
Lee, C. and Swaminathan, B., 2000, “Price Momentum and Trading Volume,” Journal of Finance, Vol. 55, No. 5, 2017-2070.
Lehmann, B., 1990, “Fads, Martingales and Market Efficiency, ”Quarterly Journal of Economics, Vol. 105, No. 1, 1-28.
Li, X., Brooks, C., and Miffre, J., 2009, “Low-cost Momentum Strategies,” Journal of Asset Management, Vol. 9, No. 6, 366–379.
Lo, A. W. and Mackinlay, A. C., 1990, “When Are Contrarian Profits Due to Overreation?,” Review of Financial Studies, Vol. 3, No.1, 175-205.
Modest, D. M. and Sundaresan, M., 1983, “The Relationship between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence,” The Journal of Futures Markets, Vol. 3, No.1, 15-41.
Modest, D. M., 1984, “On the Pricing of Stock Index Futures,” Journal of Portfolio Management, Vol. 10, 51-57.
Moskowitz, T. and Grinblatt, M., 1999, “Do Industries Explain Momentum?” Journal of Finance, Vol. 54, No. 4, 1249-1290.
Nandan, T., Agrawal, P., and Bhargava, S., 2014, “Mispricing in CNX Nifty Futures: An Empirical Investigation”, Asia-Pacific Journal of Management Research and Innovation, Vol. 10, No. 4, 413-422
Novy-Marx, R., 2012, “Is Momentum Really Momentum?” Journal of Financial Economics, Vol. 103, No. 3, 429-453.
Rentzler J., Tandon, K., and Yu, S., 2006, “Intraday Price-reversal Patterns in the Currency Futures Market: The Impact of the Introduction of GLOBEX and the Euro,” Journal of Futures Markets, Vol. 26, No. 11, 1089-1130.
Rey D. M. and Schmid, M. M., 2007, ”Feasible Momentum Strategies: Evidence from the Swiss Stock Market,” Financial Markets & Portfolio Management, Vol. 21, No. 3, 325-352.
Rouwenhorst, G. K., 1998, “International Momentum Strategies,” Journal of Finance, Vol. 53, No. 1, 267-284.
Sagi, J. and Seasholes, M., 2007, “Firm-specific Attributes and the Cross-section of Momentum,” Journal of Financial Economics, Vol. 84, No. 2, 389-434.
Shleifer, A., 2000, “Inefficient Markets: An Introduction to Behavioural Finance,” 1st, Clarendon Lectures in Economics: Oxford: Oxford University Press.
Tetlock, P. C., 2011, “All the News That’s Fit to Reprint: Do Investors React to Stale Information?” Review of Financial Studies, Vol. 24, No. 5, 1481-1512.
Tu, A. H., Hsieh, W. L. G., and Wu, W. S., 2016, “Market Uncertainty, Expected Volatility, and the S&P 500 Index Futures Mispricing: A Behavioral Perspective,” Journal of Empirical Finance, Vol. 35, January, 78-98.
Yadav, P. K. and Pope, P. F., 1990, “Stock Index Futures Arbitrage: International Evidence,” The Journal of Futures Markets, Vol. 10, No. 6, 573-603.