標題: 台指期貨與台指選擇權套利關係之實證研究
An Analysis of Arbitrage between Taiwan Index Futures and Taiwan Index Options
作者: 江仲康
Chiang, Chung-Kang
鍾惠民
謝文良
Chung, Huimin
Hsieh, Wei-Liung
管理學院財務金融學程
關鍵字: 賣權買權平價理論;套利空間;Put-Call Parity;Arbitrage
公開日期: 2012
摘要: 在台灣的金融市場中,過去只有證券市場供投資人進場交易,市場缺乏有效的避險工具,因此股市只要稍有風吹草動,便只能在市場中拋售股票;但隨著台灣期貨交易所於1998 年7 月21 日正式成立,並推出台指期貨後,市場中開始出現有效的避險工具,而台灣期交所又於2001 年12 月推出台指選擇權,之後更隨著其他衍生性金融商品的快速發展,出現了其他避險工具,這些避險工具在市場暫時缺乏效率時也衍生出許多的套利機會;2012 年11 月14 日,台灣期交所又推出一週到期結算的選擇權,不僅降低了時間價值、減少投資人投機與避險的資金需求,也加快了市場資金的週轉率,由過去的每月結算提升至每週結算。因此本篇論文在探討台指期貨、台指選擇權間的套利關係,並 進一步研究週選擇權推出後市場效率是否進一步提升?並根據研究結果來探討是否應該推出每週結算的台指期貨以提升市場效率。 本篇論文的主要依據是根據Stoll(1969)的賣權買權平價理論(Put-Call Parity)以及Tucker(1991)依據持有成本模型與Stoll 的賣權買權平價理論所提出的賣權買權期貨平價理論(Put-Call Futures Parity)。本篇論文中台指期貨與台指選擇權的樣本期間為2012 年1 月2 日至2013 年2 月27 日,而週選擇權推出的時間較短,因此樣本期間為2012 年11 月14 日至2013 年2 月27 日。由於近年來交易成本的降低,若台指期貨與台指選擇權超過3 點以上便存在套利空間,而價格恢復為平價後即可平倉出場,因此將計算價內兩檔至價外兩檔的價格是否存在套利空間;週選擇權的部分,則因為與 台指期貨及台指選擇權的結算日不同而無法於結算時完全收斂價差,若台指選擇權與週選擇權出現價差則可能需要採取時間價差的操作方式,因此同樣將統計價內兩檔至價外兩檔,計算由期初至期末進場的損益情況,並統計出平均價差,並找出樣本期間內週選擇權與台指期貨及台指選擇權間價差多少時進場套利,收斂至平均價差時出場的利潤最大。
Fifthteen years ago, there is only stock for trading in the Financial Market of Taiwan.Investors are lack of proper tools for hedging. Their only one choice is selling stocks in stock market. When Taiwan Futures Exchange (TAIFEX) is established, investors have more choices for hedging. Taiwan Index Futures(TIFs) is published in July 21, 1998. And Taiwan Index Options(TIOs) is published in December, 2001. Financial market is much more efficient by more and more financial deritivatives is created. Sometimes these tools might have some arbitrage opportunities if financial market is lack of efficiency. Weekly option of Taiwan Index is published in November 14, 2012. It makes investors pay less premium than before and provides more turnover rate of capital. Therefore, the points of this thesis are below. First, the arbitrage opportunities between Taiwan Index Fetures and Taiwan Index Options. Second, the market is more efficient or not. Third, weekly futures of Taiwan Index is necessary or not. This thesis is according to put-call parity of Stoll and put-call futures parity of Tucker. The sample period is from January 2, 2012 to Feburary 27, 2013. We might get a simple conclusion and need more researches because the sample period of weeky option of Taiwan Index is much less than Taiwan Index Futures and Taiwan Index Option. The sample sizes of Taiwan Index Option are from two tranches of ITM to two tranches of OTM. And the sample sizes of Taiwan Index Futures and weekly option of Taiwan Index are from one trache of ITM to one tranche to OTM. We calculate the average spread between TIFs and TIOs. Finally, we get some conclusions.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT070063909
http://hdl.handle.net/11536/71599
Appears in Collections:Thesis


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