本文以2005年至2009年之指數選擇權與期貨資料,按距到期日別(五日、十日、十五日及二十日)及各避險策略別(未避險、靜態避險、動態避險-每日調整及動態避險-停損調整),形成16種交易策略,以開盤價賣出一口價平選擇權,搭配某一避險比率之期貨進行Delta中立投資組合(Delta neutral portfolio),並於到期日當天開盤時平倉部位,連續交易60個月,來了解是否可藉由Delta避險策略獲取超額報酬,進而檢視臺灣指數選擇權市場的效率性。 以SPSS 17.0版統計套裝軟體作t檢定,實證結果顯示,僅買權「五日動態停損」及「二十動態每日」策略之損益顯著異於零、且顯著大於零,其他各交易策略之損益皆不顯著。只有買權存在少數套利機會,賣權則無從中獲取超額報酬,所以本研究認為臺灣選擇權市場屬於效率市場。
In this paper we have researched index options and futures data in the Taiwan market in the years from 2005 to 2009. Using different maturity dates (five days, ten days, fifteen days and twenty days) and different hedging strategies (not hedging, static hedging, dynamic hedging of daily adjustment and dynamic hedging of stop-loss adjustment), we formed sixteen kinds of trading strategies. Using a Delta neutral portfolio with the opening price to sell an at-the-money option and to buy or sell a hedge ratio of futures, we traded continuously for sixty months to establish if a Delta hedging strategy could obtain an excess return. Then we could examine the efficiency of the Taiwan index option market. Empirical results from the SPSS(Statistical Package for Social Science) version 17.0 in T- test show the returns using " dynamic five-days stop-loss adjustments" and " dynamic twenty daily adjustments" strategies of Call are both significantly different and greater than zero . The results of the other trading strategies are not significantly different from zero. Only a few arbitrage opportunities from Call, there are no opportunity from Put to obtain an excess return. Therefore, this study believes that Taiwan option market is efficient.