交易成本，GDR與股價的套利：門檻共整合應用

Transaction Cost and the Arbitrage Opportunity between GDR and Its Stock Price: The Application of Threshold Cointegration

邱志豪(Chi-Hao Chiu) ； 沈中華(Chung-Hua Shen)

《中國財務學刊》 7卷2期 (1999/08) Pp. 89-112

https://doi.org/10.6545/JoFS.1999.7(2).4

摘要

這篇論文主要探討在交易成本的考量下，存在於臺灣股票市場以及相對的海外存託憑證（GDR）間的套利機會，我們認為只有當預期利潤超過門檻時才會有套利機會存在，而門檻的設定包括了實質交易成本以及風險與價格貼水。我們使用門檻共整合的方式來估計門檻值，由於臺灣對贖回GDR再重新發行的特殊規定，在1996年3月1日之前，一個純粹套利者，只能採用單向套利，至於3月1日之後則應採用雙向套利。因此在1996年之前只有一個門檻值，在1996年之後則能找到兩個門檻值。我們研究17支股票及其海外存託憑證，在門檻存在的前提下，我們發現每一期的均衡誤差並不會自行調整回復到均衡狀態，只有當海外存託憑證減去股價的價差超過門檻值時才會有調整的情形產生，此時套利機會確實會存在。

關鍵字

門檻共整合 ； 交易成本 ； 全球信託憑證

並列摘要

This paper investigates the arbitrage opportunities between Taiwan common stocks and their corresponding GDRs in the consideration of transaction costs. We argue that the arbitrages are induced only when the expected profit exceeds the threshold, which includes the physical transaction costs as well as risk and price premiums. The threshold cointegration is employed here to estimate the thresholds. Owing to the special feature of Taiwan institution, two-way arbitrage is plausible after the March I, 1996 in Taiwan, while only one-way arbitrage is plausible before then. Hence, only one threshold is suggested before 1996 but two thresholds can be found after. Employing seventeen common stocks and their corresponding GDRs, we find the equilibrium errors do not adjust back to the equilibrium in every period. Instead, the adjustment occurs only when the price differences, GDR price minus stock price, exceed the thresholds. The arbitrage opportunities are found indeed to exist.

並列關鍵字

threshold cointegration ； transaction costs ； GDR