English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51771/86989 (60%)
Visitors : 8370540      Online Users : 77
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31959

    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。
    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:[國際企業學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback