台灣股票上市公司的股利政策近年來有極大的轉變，以往股 利的發放以股票股利居多，而今卻以現金股利所占的比重居多， 此巨大的轉變在期貨市場造成逆價差的迷思，投資人如果以為有 套利機會可乘，勢必蒙受莫大的投資損失。因此，正確股利的估 計對模型的合理定價極為重要。遺憾的是過去研究台灣股價指數 期貨定價與套利實務的相關文獻，在股利收入的估計上相當粗 略，並不符合間斷型股利的精髓。本研究採用精確的股利估計探 討股利發放、每日不同的交易成本等因素放入評價模式中對台指 期貨定價的影響。結果顯示期貨市場隨著時間的增加，定價行為 有趨於成熟的趨勢。本研究的結果亦間接證實投資人對於股利估 計越來越精確，定價誤差幅度也有越來越小的趨勢。此外，本文 亦建構完整實際股利發放型態，做為學界與實務界參考依據。結 果顯示台灣除息的型態有明顯的季節性，且股利發放集中的月份 有逐年遞移的趨勢。

The dividend policy for the exchange-listing companies in Taiwan has been changed drastically in recent years, from stock dividends-oriented in the past to cash-oriented in recent years. This policy change has made great impacts on futures pricing in the Taiwanese futures market, such as frequently appearance of negative bases. If futures traders do not detect the trend of the Taiwanese dividend-payout policy and view the appearance of negative bases as arbitrage opportunities, they will suffer from loses. Therefore, an accurate estimation of dividend payouts for the TSE (Taiwan Stock Exchange) index is very important. Regretfully, none of past literature provides an accurate estimation of dividend payouts for the TSE index. Even literature on the pricing of Taiwanese stock index futures only provides rough and inaccurate estimates. The purpose of this paper is to provide an accurate estimation of dividend payouts for the TSE index, and then to reinvestigate the impacts of these dividend payouts on the pricing of TAIEX index futures. The evidence reveals that the dividend payouts for the TSE index show a seasonal pattern and the concentration of dividend payouts has slightly shifted year by year. We also find that the Taiwanese futures market has become more matured and efficient as the trading experience increases. Moreover, the evidence also directly reveals that the investors’ estimation of cash dividends seems to become more and more accurate as the trading experience becomes longer.

台股指數期貨;定價效率;定價誤差;間斷型股利支付

TAIEX Index Futures; Pricing Efficiency; Pricing Errors; Discrete Dividend Payouts