小型台股指數期貨與台股指數選擇權套利分析

本研究以2009年1月1日至2012年12月31日期間內，小型台股指數期貨（MTX）與台股指數選擇權（TXO）為研究對象，探討兩市場間是否存在套利機會與利潤。研究結果發現，不論有無計入交易成本，在事後檢定上，兩市場間存在顯著之事後套利利潤；另外，期貨部位正價差套利組合次數均大於逆價差套利組合次數，但逆價差套利組合平均利潤均較正價差套利組合平均利潤大。最後，本研究以迴歸分析影響套利利潤之因素，整體而言，總價差成本、波動程度、買權價內外程度與套利策略與套利利潤程度呈負相關；而距離到期日之天數和契約之價內外程度與套利利潤呈正相關。

關鍵字

套利機會；事後套利利潤；正價差；逆價差

並列摘要

The main purpose of this research is to examine the arbitrage opportunity and profit of the Mini-TAIEX Futures (MTX) and Taiwan Stock Index Options (TXO) for the period January 1, 2009 to December 12, 2012. First, the results show that whether taking into account transaction costs or not, investors could execute arbitrage trading between MTX and TXO to earn significant ex-post arbitrage profits. Second, the positive basis group has higher arbitrage opportunities than negative basis group. However, the negative basis group has higher arbitrage profit than positive basis group. Finally, we demonstrate the issue by regression analysis. The results indicate that the total spread cost, volatility, call option price level inside and outside and arbitrage strategy are negatively related to arbitrage profit. Number of days to maturity and degree of outside contract price are positively related to arbitrage profit.

並列關鍵字

Arbitrage opportunity ； Ex-post arbitrage profits ； Positive basis ； Negative basis

參考文獻

林問一，蔡佩珊(2010)，台指期貨與選擇權市場套利利潤之影響因素，會計與公司治理，第7 卷，第1 期，頁85-104。

周恆志，杜玉振(2005)，臺指選擇權市場之套利效率，管理與系統，第12 卷，第3 期，頁1–26。

Ackert, L. F. and Y. S. Tian (1998) ,“The Introduction of Toronto Index Participation Units and Arbitrage Opportunities in The Toronto 35 Index Option Market,” Journal of Derivatives, 5(4), pp. 44-52.

Alpert, K. (2009),“The effects of taxation on put-call parity,” Accounting & Finance, 49 (3), pp. 445-464.

Aulerich, N. M., R. P. H. Fishe, and J. H. Harris (2010),“Why do expiring futures and cash prices diverge for grain markets?” Journal of Futures Markets, 31(6), pp. 503–533.

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小型台股指數期貨與台股指數選擇權套利分析

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