指數基金上市對指數期貨及選擇權套利之影響

THE EFFECT OF TTT INTRODUCTION ON SPOT-FUTURES AND SPOT-OPTIONS ARBITRAGES

洪淑貞(Sue-Chen Hung)

指導教授 ： 李存修

共同指導教授 ： 顏錫銘(Si-Ming Yen)

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.01185

摘要

期貨及選擇權的價格不效率原因，可能來自套利成本過高、無法一次建構完成投資組合或現貨放空限制。在ETF未上市前，期貨及選擇權價格產生偏離，利用現貨套利、減少偏離程度存有困難度；ETF上市後，ETF的特性將可替代現貨投資組合，作為套利工具。
TTT於2003年6月30日上市，本研究探討TTT上市後，指數期貨及選擇權的套利次數及幅度是否下降。當指數期貨及選擇權的事後套利次數及幅度下降，表示TTT具有取代現貨之弁遄A期貨及選擇權的價格不效率原因，可能同時來自套利成本過高、無法一次建構完成投資組合或現貨放空限制。當指數期貨及選擇權的事前套利次數及幅度下降，則表示期貨及選擇權的價格不效率原因，最可能來自無法一次建構完成投資組合，使套利機會有延遲現象。當指數期貨及選擇權的反向套利(套利策略為放空現貨)次數及幅度下降，則表示現貨放空限制是期貨及選擇權的價格不效率主要原因。
本研究發現指數期貨與選擇權之事後及事前反向套利(套利策略為放空現貨)次數及幅度明顯下降。但事後及事前正向套利(套利策略為買進現貨)及次數及幅度並不明顯。因此認為現貨放空限制是期貨及選擇權的價格不效率主要原因。

關鍵字

選擇權 ； 指數型基金 ； 台灣五十指數基金 ； 期貨

並列摘要

This paper uses cost-of-carry model to simulate spot-futures pricing relationship, and uses put-call parity and boundary condition of call and put to simulate spot-option pricing relationship. The empirical results support that spot-futures pricing relationship tense after TTT launching, especially for short arbitrage. The frequency and size of ex post and ex ante violation decrease in the post-TTT period for short arbitrage, but not for long arbitrage. The evidence is consistent with the notion that TTT reduces arbitrage opportunity and leads to the improvements of fewer short-sale restrictions, smaller transaction cost and smaller transaction cost for short arbitrage. For imitating boundary condition of call, we find the frequency and size of ex post and ex ante violation significantly diminish since TTT began trading. However the result is insignificant for put boundary condition. As for simulating put-call parity, the frequency and size of ex post and ex ante violation significantly diminish after TTT introduction for short arbitrage, but is significant for long arbitrage. The evidences are the same as the spot-futures pricing relationship that TTT leads to the improvement of fewer short-sale restrictions, smaller transaction cost and smaller transaction cost for short arbitrage. This paper uses cost-of-carry model to simulate spot-futures pricing relationship, and uses put-call parity and boundary condition of call and put to simulate spot-option pricing relationship. The empirical results support that spot-futures pricing relationship tense after TTT launching, especially for short arbitrage. The frequency and size of ex post and ex ante violation decrease in the post-TTT period for short arbitrage, but not for long arbitrage. The evidence is consistent with the notion that TTT reduces arbitrage opportunity and leads to the improvements of fewer short-sale restrictions, smaller transaction cost and smaller transaction cost for short arbitrage. For imitating boundary condition of call, we find the frequency and size of ex post and ex ante violation significantly diminish since TTT began trading. However the result is insignificant for put boundary condition. As for simulating put-call parity, the frequency and size of ex post and ex ante violation significantly diminish after TTT introduction for short arbitrage, but is significant for long arbitrage. The evidences are the same as the spot-futures pricing relationship that TTT leads to the improvement of fewer short-sale restrictions, smaller transaction cost and smaller transaction cost for short arbitrage.

並列關鍵字

option ； futures ； TTT ； ETF

參考文獻

歐宏杰、賴朝隆、劉宗聖，台灣五十ETF投資實務，寶來證券集團 寶來投信，2003年6月

Ackert, L.F. and Y.S. Tian.“Arbitrage and Valuation in the Market for Standard and Poor’s Depository Receipts,”Financial Management, 29(2000),71-88.

Ackert, L.F. and Y.S. Tian. “The Introduction of Toronto Index Participation Units and Arbitrage Opportunities in the Toronto 35 Index Option Market, ” Journal of Derivatives,5(Summer 1998),44-53.

Ackert, L.F. and Y.S. Tian. “Efficiency in Index Options Markets and Trading in Stock Basket”,Journal of Banking and Finance,25(2001),1607-1634.

Chan,K. and P.Y.Chung.“Intraday Relationship among Index Arbitrage, Spot and Futures Price Volatility, and Spot Market Volume: A Transaction Data Test, ”Journal of Banking and Finance,17(1993),663-687.