The Market Efficiency and Arbitrage Opportunities of Single Stock Futures: Evidences from Taiwan

[[abstract]]本研究主要探討台灣股票期貨(SSF)市場之定價效率與套利機會，本研究考慮了交易成本、借貸利率不同、以及台灣股票期貨特殊的息調整後，以高頻率的日內資料，針對訂單無執行落後以及下一檔成交價格之執行落後進行分析，發現在市場剛成立初期有顯著之錯誤定價次數與程度，且偏低錯誤定價次數高於偏高錯誤定價，在套利部分反向套利次數較多，在經過一段時間之後，錯誤訂價情況有減低之現象，且套利機會與套利利潤有隨時間縮小，顯示投資人逐漸了解此項商品之後市場漸趨成熟。此外期貨交易量愈大對股票期貨的錯誤訂價愈小，期貨存在天數愈長錯誤訂價的影響程度愈小。[[abstract]]This study investigates the relative pricing behavior of Single stock and Single Stock Futures that traded on Taiwan The objective of this study is to examine the market efficiency and the profitability of single stock arbitrage for Taiwan Single Stock Futures The pricing model in this study considers transaction cost differential borrowing and lending rates and the dividend payouts It also includes the ex-ante and ex-post tests of market efficiency and arbitrage The empirical tests utilize intraday transaction data of the Taiwan Single Stock and Taiwan Single Stock Futures contract to examine the efficiency of futures pricing relative to single stocks Results indicates that the beginning of trading in 2010 the Single Stock Futures contracts have generally sold at a discount relative to its theoretical value furthermore the ex-ante arbitrage would have generated profits after transaction cost and possible delays in execution are considered However as time passes the arbitrage opportunities and profitability have declined and arbitrage risks have increased this indicates that market has gradually matured with tim