期貨與現貨之間存在無套利關係，期貨實際價格偏離理論價格的現象與交易成本有關，而流動性更是市場上重要的摩擦因素，本論文因此認為流動性與定價誤差之間存在著關聯性。流動性的增加可促進期貨的定價效率，使得定價誤差縮小；另一方面，定價誤差過大可能會引起套利活動，進而影響流動性，因此本研究也將更進一步針對定價誤差與流動性的因果關係作探討。
此外，定價誤差的發生亦會受到資訊衝擊的影響，當資訊遭到衝擊，市場波動性增加，期貨與現貨也會因為價格反應速度不同而導致定價無效率，因此本文的另一個研究重點即在於探討定價誤差與波動性之間的關聯性。
研究結果發現，流動性與定價誤差呈現顯著負相關，且兩者的關係為相互影響且持續性的。在Granger因果關係檢測中，使用ILLIQ流動性指標的結果顯示流動性與定價誤差互有因果關係，因此兩者可以用來相互預測，而使用Martin流動性指標來分析時，結果顯示流動性的大小確實會影響定價誤差，但定價誤差的大小對於流動性的影響並不顯著。
最後，本研究進行迴歸分析及相關性分析，結果發現定價誤差與波動性及交易量具有顯著之正向關係，且其影響為持續性的，表示資訊衝擊確實會造成期貨與現貨價格的偏離。而利用Granger因果關係檢測得知波動性與定價誤差互有因果關係，且可以互相預測，但交易量與定價誤差不會相互影響亦沒有長期的關係。

The spots and futures prices are bound by the no-arbitrage relationship. The actual price of futures deviates from the theory price because the existence of transaction costs. Market liquidity is one of the most important transaction costs. In this thesis, I considered liquidity relevant to the mispricing of futures contract. The increasing of liquidity enhances the price efficiency and decreases the absolute mispricing; on the other hand, serious mispricing may result in arbitrage trades, and then influence the liquidity. The study uses the Granger causality test to find out the relationship between mispricing and liquidity.
Additionally, mispricing is affected by information. As the information impacts market, volatility will increase, then pricing efficiency is deterred. The thesis also concerns the relationship between mispricing and volatility.
The empirical findings include the following: (1) absolute mispricing and liquidity are negative correlated. (2) there is two-way Granger causality between absolute mispricing and ILLIQ liquidity measurement. (3) Martin liquidity measurement can Granger-cause absolute mispricing.
Regression and correlation analysis are used to test the relationship between the absolute mispricing and volatility (trading volume). The empirical findings include the following: (1) There is a lasting and positive effect between absolute mispricing and volatility (trading volume). (2) There is two-way Granger causality between absolute mispricing and volatility, but it is not significant between absolute mispricing and trading volume.

目錄
中文摘要I
英文摘要II
目錄III
表目錄 V
圖目錄 VI
第一章 緒論1
第一節 研究背景與動機1
第二節 研究目的4
第三節 研究流程6
第二章 理論基礎與文獻探討7
第一節 期貨定價模型7
第二節 期貨定價誤差之相關文獻9
第三節 波動性的衡量與觀念12
第四節 波動性之衡量與觀念16
第三章 研究方法19
第一節 定價誤差之估計19
第二節 流動性之估計21
第三節 波動性之估計23
第四節 定價誤差與流動性間的關係24
第五節 定價誤差與波動性的關係28
第六節 因果關係與衝擊反應函數32
第四章 資料來源與處理34
第一節 台灣期貨市場之定價誤差34
第二節 流動性與波動性資料說明37
第五章 實證結果與分析38
第一節 定價誤差之估計38
第二節 定價誤差與流動性間的關係42
第三節 定價誤差與波動性的關係57
第六章 結論與建議68
第一節 研究結論68
第二節 研究建議70
參考文獻71

表目錄
表4-1台股現貨與期貨價格之敘述統計量34
表4-2期貨合約之原始保證金調整35
表5-1台股期貨日內資料定價誤差-未考慮交易成本39
表5-2台股期貨日內資料未考慮股利之定價誤差-會員經紀商40
表5-3台股期貨日內資料定價誤差-會員經紀商40
表5-4台股期貨日內資料未考慮股利之定價誤差-一般機構套利者41
表5-5台股期貨日內資料定價誤差-一般機構套利者41
表5-6 ADF單根檢定(定價誤差與流動性)42
表5-7定價誤差與流動性之相關性檢測-時間趨勢調整前43
表5-8 定價誤差與流動性之迴歸分析-時間趨勢調整前45
表5-9定價誤差經到期效應、月效應及星期效應之調整46
表5-10 流動性經到期效應、月效應及星期效應之調整-報價價差與有效價差	47
表5-11流動性經到期效應、月效應及星期效應之調整- ILLIQ與Martin指標48
表5-12定價誤差與流動性之相關性檢測-時間趨勢調整後49
表5-13定價誤差與流動性之迴歸分析-時間趨勢調整後(同期)50
表5-14表定價誤差與流動性之迴歸分析-時間趨勢調整後(落後期)51
表5-15定價誤差與流動性之VAR模型檢測-時間趨勢調整後53
表5-16 ADF單根檢定(定價誤差與波動性)	57
表5-17定價誤差與波動性之相關係數-時間趨勢調整前58
表5-18 定價誤差與波動性之迴歸分析-時間趨勢調整前59
表5-19波動性與交易量經到期效應、月效應及星期效應之調整	60
表5-20 定價誤差與波動性之相關係數-時間趨勢調整後61
表5-21定價誤差與波動性之迴歸分析-時間趨勢調整後(同期)62
表5-22表定價誤差與流動性之迴歸分析-時間趨勢調整後(落後期)63
表5-23定價誤差與波動性之VAR模型檢測-時間趨勢調整後64

 
圖目錄
圖 5-1衝擊反應函數(會員經紀商之定價誤差-ILLIQ流動性指標)55
圖 5-2 衝擊反應函數(一般機構套利者之定價誤差-ILLIQ流動性指標)55
圖 5-3衝擊反應函數(會員經紀商之定價誤差- Martin流動性指標)56
圖 5-4 衝擊反應函數(一般機構套利者之定價誤差- Martin流動性指標)56
圖 5-5 衝擊反應函數(會員經紀商之定價誤差-波動性指標)66
圖 5-6衝擊反應函數(一般機構套利者之定價誤差-波動性指標66
圖 5-7衝擊反應函數(會員經紀商之定價誤差-交易量)67
圖 5-8衝擊反應函數(一般機構套利者之定價誤差-交易量)67

中文部份
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2.胡星陽與詹場，2001，流動性衡量方法之綜合評論，國家科學委員會研究彙刊：人文及社會科學，第11卷第3期，205-221。
3.陳逸謙，1999，股價指數期貨的交易量、價格波動與到期期間之關係，台灣科技大學資訊管理研究所碩士論文。
4.黃柏凱、張元晨與臧大年，2004，影響股價指數期貨定價誤差因素之研究－以台股期貨為例，證券市場發展季刊，第16卷第2期，81-114。

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