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    Title: 指數期貨與指數股票型基金之套利關係
    Other Titles: Arbitrage relationship between stock index futures and exchange traded funds
    Authors: 蕭新怡;Hsiao, Hsin-i
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Date: 2005
    Issue Date: 2010-01-11 01:05:23 (UTC+8)
    Abstract: 本研究分別以台灣及美國市場的指數期貨與指數股票型基金為對象,利用濾嘴門檻,驗證兩市場的指數期貨與指數股票型基金間之價差可以建構出無風險套利。
    本研究藉由共整合檢定可驗証出指數期貨與指數股票型基金間的長期均衡關係。實證結果發現,兩組套利交易組合均具有長期均衡關係,且由共整合關係所推得之價差具有均數返還的特性。故可使用兩個市場中的指數期貨與指數股票型基金間之價差進行套利。
    未考慮交易成本時,兩市場之套利交易是可獲利的。在考慮交易成本後,美國市場的套利交易是可獲利的。其次,就風險報酬特性而言,較大的濾嘴門檻策略是較優的策略。最後,就套利報酬率而言,台灣市場在較大的濾嘴門檻策略下所得到之報酬率最大,而美國市場在置中的濾嘴門檻策略下所得到之報酬率最大。
    The thesis uses the mechanism of spread arbitrage by exchange traded funds and index futures in Taiwan and America, and demonstrates that spreads between them can be constructed so as to result in riskless arbitrage. And the empirical result is pointed out, two sets of spread trading combination in this study are found to be cointegrated and the spreads derived from the cointegration relationships are mean-reverting. So we can use index futures and exchanged traded funds in two markets to carry on spread arbitrage. The simulation results of two markets before transaction costs is that arbitrage trading is profitable. Simulation results reveal that arbitrage trading is profitable given that average profits of American markets under different filters are all significantly greater than zero after transaction costs. Secondly, this research suggests that the trading strategy with greater filter threshold is superior to lower filters in terms of the risk-reward characteristics. Finally, Taiwan market gets the maximum rates of return under the maximum filter threshold but American market gets the maximum rates of return under the second filter threshold in terms of rates of return of arbitrage trading.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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