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    题名: 台指選擇權市場效率性之分析
    作者: 楊真珠
    贡献者: 陳威光 博士
    楊真珠
    关键词: 台指選擇權
    日期: 2002
    上传时间: 2009-09-18 15:52:38 (UTC+8)
    摘要: 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。
    參考文獻: 參考文獻
    Ackert, L.F. and Y.S. Tian(2001), “Efficiency in Index Options Markets and Trading in Stock Baskets,” Journal of Banking & Finance, Vol.25, pp.1607~1634.
    Bae, Chan, and Cheung(1998), “The Profitability of Index Futures Arbitrage：Evidence from Bid-Ask Quotes,” The Journal of Futures Market, Vol.18(7), pp.743~763.
    Bharadwaj, A. and J.B. Wiggins(2001), “Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market,” The Journal of Derivatives, Summer, pp.62~71.
    Billingsley, R.S. and D.M. Chance(1988), “Put-Call Ratios and Market Timing Effectiveness.” The Journal of Portfolio Management, Fall, pp.25~28.
    Chance, D.M.(1987), “Parity Tests of Index Options.” Advances in Futures and Options Research, Vol.2, pp.47~64.
    Followill, R.A. and B.P. Helms(1990), “Put-Call-Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts,” The Journal of Futures Market, Vol.10(4), pp.339~352.
    Fung and Chan(1994), “On the Arbitrage-Free Pricing Relationship between Index Futures and Index Options：A Note,” The Journal of Futures Market, Vol.14(8), pp.957~962.
    Fung ,Cheng and Chan(1997), “The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets,” The Journal of Futures Market, Vol.17(7), pp.797~815.
    Hemler, M.L. and Miller Jr., T.W. (1997), “Box Spread Arbitrage Profits following the 1987 Market Crash：Real or illusory?,” Journal of Financial and Quantitative Analysis, Vol.32(1), pp.71~90.
    Kamara, A. and Miller Jr., T.W. (1995), “Daily and Intradaily Tests of European Put-Call Parity,” Journal of Financial and Quantitative Analysis, Vol.30, pp.519~539.
    Lee, J.H. and N. Nayar(1993), “A Transactions Data Analysis of Arbitrage between Index Options and Index Futures.” The Journal of Futures Market, Vol.13(8), pp.14~889~902.
    Marchand P.H. , J.T. Lindley and R.A. Followill(1994), “Further Evidence on Parity Relationships in Options on S&P 500 Index Futures,” The Journal of Futures Market, Vol.14(6), pp.757~771.
    Nisbet, M. (1992), “Put-Call Parity and an Empirical Test of the Efficiency of the London Traded Options Market,” Journal of Banking & Finance, Vol.16, pp.381~403.
    Ronn, A.G. and E.L. Roon(1989), “The Box Spread Arbitrage Conditions：Theory, Tests, and Investment Strategies,” The Review of Financial Studies, Vol.2(1), pp.91~108.
    Roon, F.D. and C. Veld(1996), “Put-Call Parities and the Value of Early Exercise for Put Options on A Performance Index,” The Journal of Futures Market, Vol.16(1), pp.71~80.
    Sternberg, J.S.(1994), “A Reexamination of Put-Call Parity on Index Futures,” The Journal of Futures Market, Vol.14(1), pp.79~101.
    Stoll, H.R.(1969), “The Relationship Between Put and Call Option Prices,” The Journal of Finance, Vol.24, pp.801~824.
    描述: 碩士
    國立政治大學
    經濟研究所
    89258026
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0089258026
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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