臺股指數期貨與摩根臺股指數期貨的套利研究

A Study of the Arbitrages between Taiwan Stock Index Futures and MSCI Taiwan futures Contracts

賴怡君(I-Chun Lai)

指導教授 ： 賈昭南

淡江大學/商學院/國際商學碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00219

摘要

本文之目的針對台灣期貨交易所的臺股指數期貨與新加坡期貨交易所的摩根臺股指數期貨之間做套利研究。本文依據現金流量之概念導出價差套利均衡，並利用2002年8月1日至2005年12月30日的日資料計算出每日上述二期貨的價差。計算結果得出此二期貨商品間的價差存在套利空間。但是這個套利機會稍縱即逝，透過市場機制此二商品價差會趨近合理價差。

關鍵字

價差 ； 套利 ； 臺股指數期貨 ； 摩根臺股指數期貨 ； 套利均衡 ； 避險

並列摘要

This thesis explores the opportunities of arbitrages between the spread of the Taiwan stock index futures traded in Taiwan Stock Exchange and the MSCI Taiwan futures traded in Singapore International Monetary Exchange. By deriving an approximated equilibrium arbitrage price formula and using data covering the period from 8/1/2002 to 12/30/2005 to compute the spreads. The computed results have shown modest arbitrage profits exist. However, the spreads have rapidly shrink during the year 2005, implying that the two markets converge gradually

並列關鍵字

Taiwan Stock Index Futures ； MSCI Taiwan futures ； Arbitrages

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