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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35730


    Title: 台指選擇權市場效率性之分析
    Authors: 楊真珠
    Contributors: 陳威光 博士
    楊真珠
    Keywords: 台指選擇權
    Date: 2002
    Issue Date: 2009-09-18 15:52:38 (UTC+8)
    Abstract: 台指選擇權於民國90年12月24日在台灣上市至今約莫1年半，從91年1月至12月，台指選擇權的交易量成長倍數高達約21倍，顯示台指選擇權在台灣的流動性成長速度很快。
    本文的目的在考慮交易成本時，台指選擇權市場的效率性，探討台指選擇權市場是否存在著無風險套利機會可供投資者從中進行套利策略進而獲得無風險超額報酬，並依成交價與買賣價進行檢定。本文採用的三種檢定方法分別為買權-賣權平價式、買權-賣權-期貨平價式與箱型價差交易策略。實證期間為民國91年1月1日至9月30日。由三種檢定方法的實證結果發現，若以成交價檢定台指選擇權市場時是存在無風險套利機會的，且由檢定結果發現台指選擇權的價格是跟著台股期貨變動而非跟著現貨變動。若進一步加入買賣價的考量，則可套利機會的比例會明顯下降，可見投資人應以買賣價作為台指選擇權是否具有無風險套利機會的評斷準則應較為合理。總和來說，投資人在台指選擇權市場以成交價為考量時是具有套利機會的；然而，當考慮買賣價時，套利機會則會明顯降低，故本文發現在考量交易成本及買賣價後，台指選擇權市場幾乎不存在可套利機會。
    Reference: 參考文獻
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    Description: 碩士
    國立政治大學
    經濟研究所
    89258026
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0089258026
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

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