本研究以台指期與台指選擇權為對象,以買權賣權期貨平價理論與盒狀價差來檢驗台指期與台指選擇權的套利機會與套利利潤,其中包括台指期與台指選擇權的跨市場套利機會與套利利潤,台指選擇權內部市場的套利機會與套利利潤,並以基差大小的方式,比較基差大小對於套利效率與套利利潤的影響。樣本採用2007年1月1日至12月31日止的台指期與台指選擇權日內交易資料為樣本,檢視的頻率為每分鐘。 本研究發現台指期與台指選擇權跨市場的套利機會較台指選擇權內部市場的套利機會高,顯示在價格訊息傳遞上,跨市場的傳遞效率較差,內部市場的傳遞效率較佳,而在套利策略的分析當中發現,無論是在台指期與台指選擇權跨市場或是選擇權內部市場,高估或低估資產價格的機會是沒有顯著不同的。基差愈大則顯著影響違反買權賣權期貨平價理論的次數,也就是說基差愈大,跨市場的套利機會與套利利潤愈大,至於違反盒狀價差關係式的部份,僅部份影響,顯示基差對於選擇權內部市場的套利機會與套利利潤的影響並不大。並進一步探討期貨與選擇權領先落後關係,結果期貨價格領先優於台指選擇權15分鐘,顯示台指期價格領先台指選擇權價格為跨市場套利機會發生的主因。
This study uses put-call-futures parity relationship and box spread to examine the arbitrage opportunities and profit between TAIEX index futures(TX) and the TAIEX index options(TXO) on Taiwan Futures Exchange during Jan 1, 2007 to Dec 31, 2007. Put-call-futures parity relationship tests the arbitrage efficiency of the cross market between TX and TXO. Box spread tests the arbitrage efficiency of the internal market of TXO. This study also examines the impact of basis on the arbitrage opportunities of the cross market and the internal market. The data permits the matching of traded prices within narrow time intervals of 1 minute. The main findings can be summed up as follows. The arbitrage opportunities of the cross market with TX and TXO are more than the internal market with TXO. The information of price translation is inefficient between TX and TXO market. The greater the basis is, the more the arbitrage opportunities and profit are. The result of leading analysis is the price of TX leads the price of TXO amount 15 minutes. It ascribes the primary cause of the arbitrage opportunities of the cross market to the price of TX leads the price of TXO.