台灣50之價格發現 : 以套利角度檢視

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Title:	台灣50之價格發現 : 以套利角度檢視
Other Titles:	Price discovery of TTT : an arbitrage perspective Price discovery of TTT : an arbitrage perspective
Authors:	陳興毅;Chen, Shing-Yi
Contributors:	淡江大學財務金融學系碩士班林蒼祥;Lin, William T.;黃健銘;Huang, Chien-Ming
Keywords:	申購贖回;折溢價;價格發現;subscription and redemption;premiums and discounts;price discovery
Date:	2014
Issue Date:	2015-05-04 09:43:19 (UTC+8)
Abstract:	台灣第一檔ETFs2003年在集中市場正式掛牌上市後，ETFs市場規模便持續增加，從2003年394億元規模，至2013年7月已達到1547億元。經過主管機關積極拓展市場，加上ETFs本身諸多特性，逐漸讓投資人知悉，ETFs亦成為集中市場成交值第二大的商品。台灣ETFs從2006年始陸續掛牌上市，截至2013年集中市場掛牌上市的ETFs檔數僅有21檔。ETFs的主要交易來自第一檔掛牌上市的台灣50，2006年至2012年平均佔ETFs總成交值的79%，因此主要研究對象以台灣50為主。ETFs特有的申購贖回機制，可以在初級市場將一籃子股票申購創造ETFs，也可在初級市場將ETFs贖回一籃子股票。當ETFs市場上價格高於其淨值，此時ETFs為溢價之現象；反之，ETFs為折價現象。透過申購贖回的性質，可使ETFs市場價格不致於偏離淨值，若ETFs的申購贖回機制受到市場上放空限制，導致申購贖回機制無法正常行使，我們發現受到放空限制的ETFs其折溢價會擴大。於放空限制期間，申購贖回無法正常運作，導致無法進行套利，故會採取以相同標的之指數期貨來替代申購贖回套利的動作。礙於台灣50期貨市場流動性不足，且台灣50成分股為前50大權值股，與台股期貨(TX)的相關性高，故以台股期貨取代台灣50期貨。我們進一步分析台灣50市場價格與台股期貨價格發現的能力，以Hasbrouck(1995)所提出的資訊份額(Information Share)與Lien and Shrestha(2009)提出的修正資訊份額(Modified Information Share)為評估方法，藉由價格發現探討放空限制期間的影響。實證結果顯示，於放空限制期間，期貨是較現貨具有領先的地位，並透過迴歸分析可知，台灣50受到放空限制的影響其資訊份額也會較差，由於申購贖回機制無法正常進行，導致資訊反應速度也較差，故在放空限制期間我們建議可採用台股期貨進行套利。 ETFs have a subscription and redemption mechanism can in the primary market will purchase a basket of stocks to create ETFs, can also be redeemed in the primary market ETFs a basket of stocks. When the market price is higher than the net, this time for the phenomenon ETFs premium; Conversely, ETFs for the discount phenomenon. If subscription and redemption mechanism has been venting restrictions on the market, resulting in the exercise of subscription and redemption mechanism is not normal, we found to be venting restrictions ETFs Premiums and discounts are expanded. During the venting restrictions, subscription and redemption is not working properly, and therefore can not be arbitrage, it will be taken to the same underlying index futures arbitrage instead. We analyze the price discovery TTT and TAIEX to Hasbrouck (1995) proposed information share (Information Share) Correction share information with Lien and Shrestha (2009) proposed (Modified Information Share) for the evaluation method of price discovery discussed by venting limit the impact of the period. The empirical results show that in the limit during venting, futures are higher than the spot with a leading position. Through regression analysis shows that, TTT been venting restrictions will affect its share of poor information, as subscription and redemption mechanism can not be normal, leading to information about the reaction rate is also poor. We propose to limit the available during venting TX arbitrage.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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