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| Title: | 基差率、套利法則暨股性特徵 : 以SIMEX與TAIFEX為例 |
| Other Titles: | Basis rate, arbitrage rules, and stock characteristics : for example of SIMEX MSCI Taiwan and TAIFEX |
| Authors: | 許雅萍;Hsu, Ya-ping |
| Contributors: | 淡江大學國際貿易學系國際企業學碩士班
李又剛;Lee, You-kong |
| Date: | 2005 |
| Issue Date: | 2010-01-11 01:28:28 (UTC+8) |
| Abstract: | 隨著股票投資浪潮的興盛，期貨商品所占的份量愈來愈重，在國際金融市場上已經蔚為一股潮流。投資大眾若是希望能從其中獲取投資利益，就必需了解期貨與現貨之間所存在的訊息。本文是以期貨與現貨之間的基差率為主軸，來探討如何去建構套利法則以進行套利，而主要探討對象為SIMEX摩根台灣股價指數期貨（SIMEX期貨）與TAIFEX台灣發行量加權股價指數期貨（TAIFEX期貨）。在這之後同時針對SIMEX和TAIFEX兩者的期貨與現貨股性特徵進行一系列的研究。
本文首先利用研究期間內期貨與現貨的每日收盤價計算出所需之基差率，之後藉由剖析基差率之現象來建構出套利法則Ⅰ以及套利法則Ⅱ。利用相類似的方法，透過狂漲狂跌行情事件所獲得之基差率，則用來建構套利法則Ⅲ以及套利法則Ⅳ，並進而就實務面操作之成果，剖析此四項套利法則之存在價值。隨後利用四項股性特徵﹙報酬率、風險、投機色彩及暴漲暴跌﹚區別出期貨與現貨彼此之間的差異，再以修正後之均數–變異效用評估法，評核此四項金融商品﹙SIMEX現貨與期貨，TAIFEX現貨與期貨﹚所提供之整體投資價值。
經由實證分析所獲得的結論有六，即：
一、在套利法則Ⅰ及套利法則Ⅱ之下，SIMEX期貨的操作成功率與平均投資報酬率均優於TAIFEX期貨。
二、不論是就SIMEX期貨，抑或是TAIFEX期貨而言，在套利法則Ⅱ之下所創造出來的操作成功率與平均投資報酬率皆位於套利法則Ⅰ之上。
三、在套利法則Ⅲ的運作之下，TAIFEX期貨能夠創造出比SIMEX期貨更佳的操作成功率，而且前者在指數上能夠創造出較好的平均投資報酬率。但是在套利法則Ⅳ的運作之下，SIMEX期貨卻能夠創造出比TAIFEX期貨更佳的操作成功率與平均投資報酬率。
四、就SIMEX期貨而言，在套利法則Ⅳ之下所締造出來的操作成功率與平均投資報酬率都在套利法則Ⅲ之上。至於TAIFEX期貨則剛好相反。
五、在套利法則Ⅱ與Ⅳ確實可行的情況之下，SIMEX期貨的表現比TAIFEX期貨要更好，而且較具有投資與投機價值。
六、從修正後之均數–變異效用評估法得知，發現SIEMX期貨所提供的整體投資環境會優於其它三項金融商品。
With the prosperity of stock investment, futures contract is getting more important and has already become a trend on international financial markets. If investors hope to obtain gains of arbitrage from futures contract, they must understand implicit information between futures and spots. Based on the basis rate between futures and spots, in this text we discuss how to construct arbitrage rules in order to carry on actual return. We focus on SIMEX and TAIFEX futures. At the same time, we make a series of studies on the stock characteristics of futures and spots of both SIMEX and TAIFEX.
This text we use of the closing prices of every day of futures and spots to obtain the necessary basis rate, then we construct arbitrage rule I and II. Utilizing similar methods, we use the basis rate obtained from the event of furious rising and falling to construct arbitrage rule III and IV. Afterwards, we distinguish out the differences of futures and spots by utilizing four stock characteristics (rate of returns, risks, speculative behavior, furious rising and falling), and then use a modified mean-variance utility valuation approach to assess the investment value of four financial commodities (SIMEX futures and spots, TAIFEX futures and spots).
After empirical study, we can get following six results：
1.Under arbitrage rule I and II, operation success rate and average rate of returns for SIMEX futures are superior to TAIFEX futures.
2.For both SIMEX futures and TAIFEX futures, operation success rate and average rate of returns under arbitrage rule II are better than arbitrage rule I.
3.Under the operation of arbitrage rule III, TAIFEX futures can create operation success rate better than SIMEX futures, and the former can create better average rate of returns in index. But under the operation of arbitrage rule IV, SIMEX futures can create operation success rate and average rate of returns better than TAIFEX futures.
4.For SIMEX futures, operation success rate and average rate of returns under arbitrage rule IV are created better than those under arbitrage rule III. TAIFEX futures are just opposite to this situation.
5.Under arbitrage rule II and IV in practice is really feasible, SIMEX futures perform much better than TAIFEX futures. SIMEX futures present investment and speculate value in practice very well.
6.Utilizing the modified mean-variance utility valuation approach, we find SIEMX futures provide the investment environment will be superior to other three financial commodities. |
| Appears in Collections: | [Graduate Institute & Department of International Business] Thesis
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