| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 92 === The global derivatives market was expanding on an extraordinary path during the past decade. Various Exchanges have created and launched a great variety of financial products. These instruments enhance investors’ ability to manage risks and reduce transaction costs. A single stock futures (SSFs) is a new financial product of this innovative trend. The markets have been keeping an eye on SSFs with a hope that it would take off and become a real force in the futures business.
The purpose of this thesis is twofold. First, to conduct a feasibility study for TAIMEX to offer single stock futures contracts through the investigation of the experiences of overseas Exchanges and the discussion of the proper contract specifications for Taiwan. Since the arbitrage and hedge functions provided by commodity futures contracts are highly related to the pricing of commodity futures, a second subject of this study is pricing. Our empirical evidence is based on OneChicago single stock futures contracts. This study compares three alternative pricing models, estimates the non-arbitrage pricing ranges of SSFs, and explains factors related to the pricing errors for the purpose of providing policy recommendations for the introduction of SSFs in Taiwan.
The empirical results are as follow: (1) there are small pricing errors and very few arbitrage opportunities across all three pricing models, hence, the market for SSFs is generally efficient; (2) the prices calculated according to the cost carry model and HL model are, on average, lower than the market prices of the futures, but the prices calculated according to WH model are similar to the market prices of the futures; (3) with respect to the relative performance of the three pricing models, the evidence shows that the cost carry model outperforms the WH model and the WH model outperforms the HL model; and (4) in the pricing error regression, none of the WH, HL, and cost carry models can explain the pricing errors very well simply because the pricing errors generated by all three models are not significant.
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