Index Arbitrage during the Early Period after Listing of Stock Index Futures: Evidence from the SGX FTSE Xinhua China A50 Index Futures

[[abstract]]本文以新華富時A50指數期貨於西元2006年9月5日至西元2007年11月19日之日資料為研究對象，將研究期間區分為上市初期之期間前後之子期間，運用事後套利、事前套利以及迴歸分析等方法，來探討新興市場上市初期指數期貨之套利空間。 本文之實證結果顯示：市場不完美性較大新興市場之A50指數期貨，在上市初期確有顯著較大定價誤差與事前套利利潤。其次，研究後期時期貨偏低定價之套利機會與套利利潤並無減少且偏高定價之套利機會與套利利潤更有增加之趨勢，此顯示了該指數期貨後半年之市場效率性並無增加，且隨時間經過，期貨偏低定價之套利活動困難度並無下降，最後回歸分析結果亦顯示了A50指數期貨之定價誤差似乎會有持續之現象。[[abstract]]This thesis employs ex-post test of arbitrage, ex-ante test of arbitrage, and regression analysis to examine whether the arbitrage profit is greater during the early period after listing of stock index futures. The empirical evidence is based on the SGX ((Singapore Exchange Limited) FTSE Xinhua A50 stock index futures contract. The study period covers September 5, 2006 to November 19, 2007. To investigate whether the efficiency of the A50 Index Futures market increases over time, two approximately equal length sub-samples were considered. The empirical results can be summarized as follows: for the FTSE Xinhua A50 stock index futures, the frequency and degree of mispricing and underpricing are significantly larger during the early period after listing of stock index futures. Additionally, the mispricing of the second sub-period is not smaller than that of the first sub-period, implying that the efficiency of the FTSE Xinhua A50 stock index futures market does not increase over time