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    Title: 台指50 ETF申購贖回套利之實證分析
    Other Titles: Empirical evidence of arbitrage opportunities on the Taiwan 50 ETFs
    Authors: 邵彥彬;Shao, Yen-pin
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Date: 2005
    Issue Date: 2010-01-11 01:11:34 (UTC+8)
    Abstract: 本研究主要針對寶來投資信託公司於2003年6月30日所推出之台灣第一檔ETF-寶來台灣卓越50基金為對象,探討從上市以來到2004年11月止,其在公開市場中交易之價格與其淨值間之折溢價狀況,研究台灣ETF市場是否存在創造及贖回之套利機會,並且對研究結果,以參與券商與套利者之實務操作經驗角度,提供合理之解釋,冀望能提供一般投資人與參與券商交易ETF之參考。
    本研究之實證資料期間為2003年6月30日至2004年11月19日之日內資料,資料筆數共61,368筆。實證結果顯示,雖然大部分時間中,ETF市價與其淨值間之折溢價均處於無套利區間中,但是仍存在明顯創造及贖回之套利機會,其套利機會出現之頻率並未隨著ETF上市時間越久、價格越趨效率而完全消失,在寶來卓越50基金上市一年半後仍有套利機會出現。套利機會出現最多之範圍,以創造基數1000張/單次為計算基準,單次利潤在NT0~NT100,000區間內,佔19.7%。在NT100,000以上,套利機會減為9.6%,在NT200,000遽減為2.48%,在NT300,000以上僅有0.77%。
    This study investigates the arbitrage opportunities of TTT, the first ETF issued in Taiwan. By calculating the premium and discount between TTT’s market trading price and its Net Asset Value (NAV), we can examine whether there exists arbitrage opportunities for ETFs creation or redemption. The study provides explanations and implications from the perspective of actual arbitrageurs and participate dealers for real-world arbitrage.

    Using intraday price of TTT from June 30, 2003 to November 19, 200, this thesis has following findings.

    1. There still exists some creation and redemption arbitrage opportunities in Taiwan ETFs market.
    2. Most of time, TTT’s premium and discount doesn’t exceed the No-arbitrage bound during observed period, which supports the pricing efficiency of TTT.
    3. The arbitrage opportunities can be found even after 18 months of TTT listing.
    4. The frequency of arbitrage opportunities, for one creation unit (1,000,000 shares), is 19.7% for arbitrage profit between NT0 and NT100,000, 9.6% for profit above NT100,000, 2.4% for profit above NT200,000, and only 0.77% for profit above NT300,000.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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