台灣股價指數期貨價差套利之研究

Abstract

關於期貨價差套利的理論，雖已有許多相關的研究文獻，但是在實際市場上的應用，卻會因市場的狀況而與理論有所差異。本研究以台灣期貨交易所發行之「台灣發行量加權股價指數期貨」與新加坡商品交易所發行之「摩根台灣股價指數期貨」為實証對象，探討在兩期貨之標的物與到期日有所不同的情況之下，進行價差套利的可行性，與所需要採取的調整策略。 本研究的結果發現： 1.在總共5325筆實証資料中，共出現458筆套利機會，套利機會出現的頻率約為8.6%；套利機會出現最多的時機是當台指期貨處於正價差，而摩指期貨處於逆價差的狀況；由各個市場的變動率中可以發現台指期貨的變動率較低，可能是造成價差套利機會的原因。 2.利用β調整價差比率進行價差套利交易的交易成果，優於不使用β調整價差比率的交易成果。同時，利用現貨投資組合來代替已經到期的期貨契約，較其他交易策略更能有效規避到期日不同所產生的風險。

The thesis studies the effect of different spread arbitrage strategies between two stock index futures, TAIMEX and SIMEX, which contain different expired days and different underlying spots. The historical data range from 1998/7/21 to 1999/4/29. Following conclusions can be made: 1. The occurring probability of the arbitrage opportunities is 8.6%. Most of the opportunities occurred when TAIMEX had a positive basis and SIMEX had a negative basis. Such result could be explained by different volatilities of two index futures. 2. The performance of the arbitrage strategy adjusted by beta ratio is better than that without adjusted by beta ratio. 3. The arbitrage strategy which replaces expired future contracts with relative spot portfolio can reduce more risk caused from the difference of expired days than other strategies.