信念歧異、放空限制與財務創新

Abstract

本論文研究當市場投資人受到放空限制下，引入衍生性資產作為財務創新，對於市場均衡之影響。首先建立一個投資者具有歧異信念，且受到放空限制之兩期、兩風險資產一般均衡模型。考慮在模型中引入不同數量的期貨交易，是否可使均衡回到完全市場。研究結果顯示，引入兩筆期貨交易將完全抵銷放空限制，使市場成為完全市場；而只引入一筆指數期貨，則無法使市場回到完全市場，但該期貨已非多餘資產。本文發現，在特定的模型假設之下，引入指數期貨交易，將使均衡價格改變，並使社會福利上升；但由於放空限制並未完全消除，故傳統的持有成本定價法無法正確反映市場均衡期貨價格。

In this thesis, I construct a general equilibrium model to express that the introduction of the index future trading will make the equilibrium of spot market change while the short selling is restricted and investors are of different opinions. When two futures are introduced into the market, the market is complete and is equivalent to the frictionless market. With the introduction of an index future, the market is still incomplete but the index future is no longer a redundant asset. The index future trading can make the asset prices changes and improve the social welfare. However, because the short-sales constraints are not fully eliminated, the future pricing by cost of carry model cannot represent equilibrium future price.