ETFs應用於台股期貨之套利研究

A Study of Arbitrage Issues for Applying ETFs to Taiwan Stock Index Futures

倪衍森(Yen-Sen Ni) ； 紀朝介(Chau-Jiei Chi)

《輔仁管理評論》 13卷2期 (2006/05) Pp. 75-98

https://doi.org/10.29698/FJMR.200605.0004

摘要

本研究範圍為台灣期貨交易所推出的台灣發行量加權股價指數期貨，研究課題為台股期貨套利活動之分析，研究期間自92年8月1日至92年12月17日的日內資料，共計5個期貨近月合約，26190筆近月份日內分鐘資料，現貨部份則採用92年6月30日掛牌於台灣證券交易所的第一支指數股票型基金（ETF）—台灣50指數型基金（TTT）的日內資料。本研究採用指數股票型基金來替代模擬建構股票投資組合，在台股期貨契約到期時應與加權股價指數一致的理論下，執行一般投資人與機構投資人持有到期策略之台股期貨套利活動。探討其套利機會，驗證套利的績效，並以事後的觀點再進一步分析套利的價差幅度，求得最佳進場套利時機。實證結果如下：1.在未考量交易成本下，套利為正之價差幅度都集中在0~40之間。在考慮交易成本後，散戶在0~40之間價差幅度獲利為正的次數已經大幅減少；法人則雖有降低，但幅度不大，仍可維持良好的績效。2.研究期間內，不論散戶或法人，當正價差幅度介於30~40時，進場套利的機會較多、風險相對較小，獲利為正的機率較高；但當出現逆價差幅度介於0~10時，進場套利風險最大，虧損的機率和金額最高。3.將指數期貨套利之交易成本換算成約當台股期貨的點數，研究發現，散戶的交易成本約為法人的4倍，在績效上難以和法人抗衡。4.研究期間內，加權股價指數呈現上漲趨勢，正價差出現機率皆大於逆價差出現機率。不論有無交易成本的考量，價差幅度皆落於0~40居多，幅度再擴大的出現次數與機率則相對較少。但當投資人過份樂觀或出現人為干預而使得期貨正價差擴大到40點以上時，套利者可進入期貨市場買現貨放空期貨，如本研究中的12月，正價差獲利的機率和平均金額甚高。

關鍵字

套利 ； 交易成本 ； 交易所基金

並列摘要

This research is to analyze if there are any arbitrage opportunities by trading Taiwan Stock Index Futures and Exchange Trade Fund (ETF). The period of this research is from August 1, 2003 to December 17, 2003, including five nearby futures contracts and 26190 materials intraday data. In spot stock, we adopt the ETF which started to trade on June 30, 2003 -Taiwan Top 50 Tracker Fund (TTT).This study try to probe into arbitrage chance, verify the performance of arbitrage, analyze the span of price of arbitrage further with the view afterwards and try to work out the best arbitrage opportunities. The important results are obtained as follows:1.Without considering the transaction cost, the price basis of arbitrage is concentrating between 0 and 40. After considering the transaction cost, it's harder for the private investors to make a profit by price basis between 0 and 40, but the corporations can still maintain good performance with little influence.2.Within the studying period, no matter private investors or corporations have more opportunity and less risk to invest and make a profit when positive price basis between 30 and 40. However, when there is a negative price basis between 0 and 10, its more risky and probable for all to lose most money.3.When transferring the transaction cost of the arbitrage into Taiwan stock Index Futures point, we discovered that the transaction cost of the private investors is about 4 times of the corporations'. It is difficult for private investors to beat the corporations on the performance.4.Within the studying period, positive price basis is more probable to show up than negative ones. No matter we consider the transaction cost or not, the price basis almost all fall between 0 and 40. However the bigger the basis is, the less probable the price basis shows up. But when investors are over-optimistic or there is a artificially interference to expand the positive price basis to more than 40, arbitrager can ”Long arbitrage”. As for December in this research, its can have good performance.

並列關鍵字

arbitrage ； transaction cost ； exchange trade fund

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