以盒型價差策略探討台指選擇權市場之效率性與套利機會

Examing Arbitrage Opportunities and Efficiency in Taiwan Stock Index Option Market by Using the Box Spread Strategy

林晏瑋(Yen-Wei Lin)

指導教授 ： 吳庭斌

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2012年)

摘要

本研究使用 2007 年台灣加權股價指數選擇權的日內資料，並利用選擇權盒型價差 (Box Spread) 交易策略，探討台灣股價指數選擇權市場的效率性及套利機會存在與否。本研究顯示交易成本是影響市場套利機會的重要因素。

本文進一步探討套利利潤的高低，及構成套利機會的選擇權特性，例如執行價差之大小、距到期日遠近與發生時段與月份等。由資料結果顯示： (1) 兩執行價距離愈近，套利機會愈多(2) 套利機會多集中於短存續期間的契約，然而存續期間愈長的契約可獲得較高的利潤 (3) 套利機會多集中於早盤的時段 (4) 套利機會多集中於下半年度。

關鍵字

套利 ； 台指選擇權 ； 市場效率性 ； 盒型價差

並列摘要

This research use the box spreads strategy to examine the efficiency and arbitrage opportunities of Taiwan Weighted Stock Index Option (TXO) market during the period of 2007. From the empirical evidences, we find transaction costs seem critical factors influencing the appearance of arbitrage opportunities.

In addition, we discuss the profit of arbitrage opportunities and other possible factors that will influence the arbitrage opportunities, such as the size of the spread, distance from the due date, the occurrence of time and the occurrence of months. The results indicate:
1. Most of arbitrage opportunities appear when the difference of two strikes is small.
2. Most of arbitrage opportunities appear in contracts with shorter time to maturity, but the higher profits appears in ones with longer time to maturity.
3. Most of arbitrage opportunities occurs at the market opening.
4. Most of arbitrage opportunities occurs at the second half of year.

並列關鍵字

Arbitrage ； box spread ； Market efficiency ； Taiwan weighted stock index option

參考文獻

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