外匯期貨市場之套利研究

本論文旨在說明外匯期貨間之關聯性，希望透過外匯期貨價格的變化幅度來尋找套利交易的進場時機與投資報酬，研究中使用芝加哥商業交易所 (CME)六種外匯期貨商品之每五分鐘交易資料，期間為 2009 年 3 月至 2010 年 3 月共四個季月合約。本文使用 ADF (augment Dickey-Fuller)單根檢定確認資料型態，接著由向量自我迴歸模型 (vector auto-regression, VAR) 與共整合檢定 (co-integration test)分別處理定態與非定態資料，最後由持有成本模型 (cost of carry model , CCM)計算錯價 (mispricing)之偏離幅度，討論不同的錯價幅度對於套利交易之報酬是否有所影響。研究結果表示，外匯現貨與期貨的價格走勢具有單根性質，而基差與錯價則不具此現象。非歐元區商品澳幣 (AD)、加幣 (CD)與日元 (JY)具有共整合項，透過因果關係檢定商品間皆存在相互影響效果。對於不同的錯價幅度與持有期間 (5 分、10 分、15 分與 30 分)進行套利研究，外匯期貨市場皆存在動能效應 (momentum effect)與VAR分析的結果相同。文推論投資者面臨短期價格變化時，通常具有反應不足 (under-reaction)之現象。就整體而言，外匯期貨市場因短期波動過大不易掌握套利機會，導致雖然具有正向報酬但並不顯著。

關鍵字

外匯期貨；套利；錯價；反應不足

並列摘要

We explain the relations between different foreign currency futures, in order to find out the timing and returns of arbitrage opportunities through the price change of foreign currency futures. Using the Chicago Mercantile Exchange (CME) six foreign currency futures commodities five-minute transaction data, the period from March 2009 to March 2010 four quarter contract. Using the ADF unit root test to confirm data types, and use the VAR model and cointegration test to deal with non-stationary and stationary data. Finally, we calculate the deviation of mispricing by CCM model, and discuss the impact of mispricing range to returns of arbitrage opportunities. The results indicate following three conclusions: Foreign currency spot and futures price have unit roots but basis and mispricing terms have no unit roots. Non-Euro area commodities AD、CD and JY have cointegration terms, all commodities have interaction between each other through the causality test. Arbitrage study to holding period and mispricing range finds that all foreign currency futures have momentum effect; we get the same results with VAR analysis. We infer that investors face short run price change often with under-reaction. On the whole, due to short run fluctuation in foreign currency futures markets, arbitrage opportunities are not easy to grasp.

並列關鍵字

currency futures ； arbitrage ； mispricing ； under-reaction

參考文獻

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Aliber, R. Z. (1973). The interest rate parity theorem: A reinterpretation. The Journal of Political Economy, Vol. 81, pp. 1451-1459.

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Billingsley, R. S. and Chance, D. M. (1988). The pricing and performance of stock index futures spreads. Journal of Futures Markets, Vol. 8, pp. 308-318.

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外匯期貨市場之套利研究

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