- 學位論文
基差風險與投資機會之研究
The Study of the Investment Opportunity Based on the Basis Risk
摘要
衍生性金融商品的出現，例如期貨與選擇權，帶給投資者更多的投資方式及投資機會，而期貨市場是廣為大眾所利用的避險市場。事實上期貨交易除了可幫助投資人降低或控制風險的功能外，搭配股票同時也具有套利的功能。我們可以藉著觀察期貨與現貨之間的差值，即所謂的基差，來進行投資。 本研究主要探討股票與指數期貨之投資策略的問題而最重要的目的是研究具有到期日效應的基差隨機過程。以利正確與巨觀地研究基差的波動性。在應用方面，我們可以藉由觀察基差整體行為，由基差波動之範圍判斷基差套利之機會並於決定適當時機進行交易以獲得風險低之獲利機會。而在投資交易策略中，投資者需要買入或賣出一組投資組合代表現貨大盤指數，但是現貨指數無法真正進行買賣，所以我們使用資本資產定價模式(CAPM)及追蹤誤差模式(Tracking Error)找出可在基差中扮演具代表大盤指數角色之投資組合。我們可藉由模擬基差之性質，如最大值與最小值的分佈以作為進行交易時間點之依據。 在第四章中，使用投資策略並比較具有到期日效應的基差隨機過程與實際市場的基差，觀察獲利的情形。
並列摘要
In recent years, the emergence of new financial derivatives such as options and futures, provides more investment opportunities for the investor. Also due to these new instruments, investor has more abilities and opportunities to obtain the sure profits. One such opportunity can be observed from the difference between the futures and market, which is called the basis. In this thesis, the author studies three aspects: investment application, trading strategy and implementing investment strategy. In investment application, the author assumes that the spot price and futures price follow stochastic differential equation (SDE), then studies the stochastic behavior of the corresponding basis. In trading strategy, index arbitrage is sometimes accomplished by trading a relatively small representative sample of stocks whose movements closely mirror those of the index. Consequentially, the author also reproduces a portfolio as closely as possible an index by using the CAPM model and constructs a benchmark portfolio by minimizing the tracking error of the replicating portfolio. Furthermore, based on the underlying stochastic process, the author also determines the investment opportunity. By studying the distribution of maximums and minimums of basis, she finds two ways to execute the investment strategy, one is long the stocks underlying the index and taking a short position in futures contract portfolio of stocks and short futures and the other is doing the reverse, by that implying investment opportunities. In addition, the author compares the performance of investment strategy between model basis and empirical basis.