ETF之間的價差套利

Spread Arbitrage between ETFs

駱武昌(Wu-Chang Luo) ； 陳琬琪(Wan-Chi Chang)

《績效與策略研究》 7卷2期 (2010/09) Pp. 1-18

https://doi.org/10.6736/JPSR.201009_7(2).0001

摘要

套利是在利用相同商品在違反單一價格的法則下，來進行套利的行為，但前提是須為同一商品或雖為不同商品但兩者之間必頇是具有高度替代關係的替代品。本研究探討同一市場內之兩檔追蹤同一大盤或類股的指數型股票基金(ETF)之間是否能形成得以套利之替代品，進而能有風險套利的機會。本研究以寶來臺灣50ETF與富邦臺灣摩根ETF、寶來電子ETF與富邦科技ETF、寶來金融ETF與富邦金融ETF等三組成對的ETF為實證研究與模擬交易之對象，上述三組成對的ETF雖然其追蹤標的指數，成分股，權重不盡相同，但兩者之間卻有高度的替代關係，因此本研究試圖建立兩者間的長期均衡關係，並在它們出現價格偏離長期均衡關係的情況下進場套利，而在未來某個時間點當兩者回復到原來的長期均衡狀態時，從中賺取價差縮小的利潤。
本研究結果顯示，在ADF單根檢定下，六檔ETF的歷史市值皆為I(1)之數列，即無法拒絕虛無假設，表示存在單根性質，為非定態之時間序列。並且透過Johansen共整合檢定發現，三組追蹤同一大盤或類股的ETF間皆存在著共整合關係，意指三組ETF即使在短期會出現價格偏離的情況，但長期觀察下依舊會回復到其長期均衡狀態中。經由實證模擬交易發現，利用兩檔追蹤同一大盤或類股的ETF來進行價差套利的行為可獲得高於無風險利率的報酬，即使在考慮交易成本的情形下，仍然存在著套利的機會，表示ETF價差套利非屬效率市場，投資者可從中獲得異常之報酬。

關鍵字

指數型股票基金 ； 價差套利 ； 單根檢定 ； 共整合檢定

並列摘要

Spread arbitrage is to used the same commodity that against law of one price to making arbitrage, but a necessary condition for arbitrage is the availability of an exact or close substitute. The thesis describes the mechanism of Exchange Traded Fund (ETF) spread arbitrage and demonstrates that spreads between ETFs in Taiwan can be constructed so as to result in riskless arbitrage. The spreads will not deviate without bounds and will revert to the equilibrium level in the long-run. The variables used P-Shares Taiwan Top 50 Tracker Fund and Fubon MCSI Taiwan ETF, P-Shares Taiwan Electronics Tech ETF and Fubon Taiwan Technology ETF, P-Shares MSCI Taiwan Financials ETF and Fubon Taiwan Finance ETF for the trading-rule simulations.
The conclusions from researching are in the following: all ETFs are nonstationary I (1) processes. On the contrary, the null hypothesis of ADF unit root is rejected for the first-order differences of each series at the 1%, 5% and 10% significance level, the differences of prices series are stationary I (0). The long-term relationships among ETFs are detected by cointegration tests. The prices of related ETFs in this study are found to be cointegrated and the spread derived from the cointegration relationships are mean-reverting. The trading-rule simulations suggest that the average profit from spread arbitrage is statistically significant after transaction costs of spread arbitrage are very attractive.

並列關鍵字

ETF ； spread arbitrage ； unit roots test ； cointegration

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