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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/85940
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85940


    Title: 台灣股價指數期貨套利之相關研究
    Authors: 彭志弘
    Peng, Jyh-Hong
    Contributors: 陳松男
    彭志弘
    Peng, Jyh-Hong
    Keywords: 股價指數期貨
    期貨套利
    無套利區間
    模擬組合
    模擬誤差
    成本攜帶模型
    Date: 1998
    Issue Date: 2016-04-22 10:20:30 (UTC+8)
    Abstract: 國內第一個期貨商品臺灣股價指數期貨已於87年7月21日正式交易,金融商品的價格合理與否決定套利機會的存在。本文利用成本攜帶模型加入各項交易成本包括期貨、現貨衝擊成本、模擬誤差及建立套利部位手續費及稅負以建立期貨無套利區間,發掘套利機會進而執行套利策略。指數現貨需要有一個穩定的模擬組合(mimic portfolio)加以替代,本文利用Rudd(1980)的方法建構成分股為20支股票的模擬組合,其二次規劃法使組合的殘差報酬率變異數最小,且維持組合的系統風險與市場組合的系統風險相同(β值為1)。估計模擬誤差的預測期間共75天,分第一個、第二個及第三個25天。從78年至87年底共10年每季建構一個組合,模擬誤差多位於0.3%至0.65%之間。相同方法也用來建立近3年共12個電子類股指數模擬組合作為未來電子類股指數期貨的現貨部位。模擬組合另一用途為使共同基金獲取與大盤指數相近的報酬,經理人選股時有一個立於不敗的投資參考,而具優異選時能力的經理者則可在預測多頭即將來臨前購入組合,以獲取多頭時指數的報酬。在87年11月初以前有反向套利機會,之後全為正向套利機會,主要原因為逆價差的出現。以模擬組合實際進行套利在絕大多數的套利機會中都能夠獲利,在反向套利方面,不考慮融券限制下共有20次反向套利機會,平均持有天數為24天,持有期間平均報酬率為1.22%,在融券的限制下,反向套利機會幾乎消失僅剩下2次;正向套利機會則有40次,平均持有天數為19天,持有期間平均報酬率為1.64%。
    Reference: 中文部分:
    1、陳松男,選擇權與期貨:衍生性商品理論與實務,三民書局,85年
    5月初版。
    2、陳松男,全球化投資動態分析,台北金融研究發展基金會系列叢書,
    84年6月初版。
    3、翁許細,「指數基金特性與設計方式-以臺灣為例」,臺灣大學財務金
    融研究所碩士論文,83年。
    4、陳其緯,「台股指數期貨套利之實證分析」,臺灣大學商學研究所碩
    士論文,86年6月。
    5、林文政、臧大年,「臺灣股指期貨定價與套利實務問題探討」,國科
    會研究計畫(計畫編號:NSC-84-2416-H-194-004 A3),85年8月。
    6、臺灣期貨交易所股份有限公司86年年報。
    7、臺灣期貨市場,第一卷,88年1月出版。
    8、寶來金融創新雙月刊第五期,寶來證券,88年3月。
    9、元大期貨半年刊第六期,元大期貨,87年11月。
    10、鄭超文、廖玉完,戰勝指數期貨,財訊出版社,85年9月。
    11、陳忠慶,共同基金投資手冊,城邦文化,87年。
    英文部分:
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    82, pp.16-23.
    2. Bailsford,T.J. and Cusack, A.J.(1997) " A Comparison of Future Pricing
    Models in a New Market: The Case of Individual Share Futures", The
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    3. Bernner, M., Saubrahmanyam,M.G.. and Uno, J. (1989) "The Behavior of Prices in The Nikkei Spot and Futures Market", Journal of Financial Economics , Vol. 23, pp.363-383.
    4.Bernner, M., Saubrahmanyam, M.G. and Uno,J.(1990) "Arbitrage
    Opportunities in the Japanese Stocks and Futures Markets", Financial
    Analysts Journal, March-April, pp.14-24.
    5.Bernner, M. J. Schwartz, E.S. (1990) "Arbitrage in Stock Index Futures",
    Journal of Business, Vol. 63, No.1 pp.7-31.
    6. Buhler , W. and Kempf , A.(1995) "Dax Index Futures: Mispricing and
    Arbitrage in German Markets", The Journal of Futures Markets, Vol.15.
    No.7, pp.833-859.
    7.Cox, J. C., Ingersoll, J. E. and Ross, S.A. (1981), "The relation between
    forward prices and futures prices, Journal of Financial Economics, vol.9,
    No.4, pp.321-346.
    8.Charles M.S. Sutcliffe(1993),"Stock index futures: Theories and international evidence", second edition, International Thomson Business Company.
    9.Cornell, B. and French, K.R. (1983) "Taxes and the Pricing of Stock Index Futures", Journal of Finance, Vol.38,No.3, June.pp675-694.
    10.Figlewski, S.(1984) "Explaining the Early Discounts on Stocks Index
    Futures: The Case For Disequrilibrium", Financial Analysts Journal, July-
    August, pp.43 - 47.
    11.Hull, John C., Options, Futures, and Other Derivative Securities, Prentice- Hull International Editions.
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    intraday volatility, Review of Financial Studies, vol.7, no.4, pp.653-685.
    13.Hemler, M.L. and Longstaff, F. A. (1991) "General equilibrium stock
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    Financial and Quantitative Analysis, vol.26, No.3, pp.287-308.
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    15.Modest D. M. and Sundaresan, M.(1983), "The relationship between spot and futures prices in stock index futures markets, some preliminary evidence, Journal of Future markets, vol.3, No. 1, pp.15-41.
    16.Mackinlay, A.C. and Ramaswamy (1988), "Index Futures Arbitrage and
    the Behavior of Stock Index Futures Prices", Review of Financial Studies,
    Vol.1, No.2 , Summer, pp.137-158
    17.Merrick, J.J. (1989)"Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs: Analysis of Implication for Predicting Expiration Day Effects", Journal of Futures Markets , Vol.9. No.2 ,pp.101-111
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    20.Polakoff, M. A. and Diz, F. (1992) "The theoretical source of autocorrelation in forward and futures price relationships, Journal of Future Markets, vol.12, no. 4, pp.459-473.
    21.Rudd A. "Optimal Selection of Passive Portfolio", Financial Management, Spring 1980 , 57-66.
    22.Sofianos, G. (1993) "Index Arbitrage Profitability", The Journal of Derivatives, Fall, pp.7-20.
    23.Yadav, P.K. and Pope, P.F. (1990) "Stock Index Futures Arbitrage:
    International Evidence", Journal of Futures Markets, vol.10,
    No. 6, December, pp.573-604.
    24.Yadav, P.K. and Pope, P.F. (1994) "The impact of short sales constraints
    on stock index futures: evidence from FT-SE 100 futures", Journal of
    Derivatives, vol.1 summer, pp.15 - 26.
    Description: 碩士
    國立政治大學
    金融研究所
    g86352005
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001428
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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