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    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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    Opportunities in the Japanese Stocks and Futures Markets", Financial
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    Journal of Business, Vol. 63, No.1 pp.7-31.
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    Arbitrage in German Markets", The Journal of Futures Markets, Vol.15.
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    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
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    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:[Department of Money and Banking] Theses

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