台指期貨與摩台指期貨跨市場價差交易分析

本文研究台指期貨和摩台指期貨跨市場價差交易的成效，由於兩商品交易市場及契約規格的差異，進行價差交易時有許多需要克服的問題。研究的樣本期間為2003至2004共計24個月份契約，獲得的結論如下：1. 台指期貨與摩台指期貨間的跨市場價差交易長期下來是有獲利空間的。且平均來說，交易結果獲利的機會超過一半以上。另外，以長天數及較寬的無價差交易區間判定進出場時點，交易的結果品質較佳。 2. 考慮每日結算制度後的交易結果，在獲利性及風險性方面的表現均是較為不佳的。長遠來說，持續地進行價差交易且能有補充保證金帳戶的多於資金避免掉每日結清制度的影響，價差交易的獲利會較高，風險也較低。3. 是否依價差比率進場交易對於交易結果影響不大。使用價差比率獲利性和風險性均僅有些微提高。但價差交易時，依照價差比率配置交易數量是合理且必須的。4. 由於匯率平時的波動就不大，價差比率的出場即期匯率以進場即期匯率代替之方法是可行的，實證上亦支持此結論。

關鍵字

價差交易；價差比率；移動平均

並列摘要

This thesis investigates the performance of spread trading between TAIFEX and SGX-DT Taiwan index futures. There are several problems to be overcame as a result of the difference between two futures contracts and exchange rate. The conclusions from researching are in the following : 1. It is profitable to spreading between two futures in long-run. In average, there are more than 50% in probability to gain by tradings. Besides, trading performances will be better by using longer days moving average and wider interval to determine the timing of holding or closing spread position. 2. Due to mark to market, profitability in spread trading will be decline and risk raise. If there is sufficient fund for margin account to support futures position. Performances of spread trading will be better. 3. To trade by spread-ratio or not, has little influence on the performance of trading. But to trade by spread-ratio is surely reasonable and necessary. 4. According to the outcome of research, computing spread-ratio with the spot exchange rate of holding spread position is feasible owing to moderate fluctuate in exchange rate in short-term.

並列關鍵字

Spread trading ； Spread-ratio ； Moving average

參考文獻

Bailey, W., 1989, “The Market for Japanese Stock Index Futures:Some Preliminary Evidence”, The Journal of Futures Markets 9, 283-295

Billingsley, R. S., and Chance, D. M., 1988, “The Pricing and Performance of Stock Index Futures Spreads”, The Journal of Futures Markets 8, 303-318

Board, J., and Sutcliffe, C., 1996, “The Dual Listing of Stock Index Futures:Arbitrage, Spread Arbitrage, and Currency Risk”, The Journal of Futures Markets 16, 29-54

Brenner, M., Subrahmanyam, M. G., and Uno, J., 1990, “Arbitrage Opportunities in the Japanese Stock and Futures Markets”, Financial Analysis Journal 1990, 14-24

Butterworth, D., and Holmes P., 2002, “Intermarket Spread Trading:Evidence from UK Index Futures Markets”, Applied Financial Economics 12, 783-790

國際替代計量

台指期貨與摩台指期貨跨市場價差交易分析

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