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.

目    錄
中文摘要	II
英文摘要	III
誌謝	IV
第一章  緒論	1
  第一節  研究背景	1
  第二節  研究動機及目的	1
  第三節  研究流程與架構	2
第二章  市場背景介紹	3
  第一節  ETF簡介	3
  第二節  全球ETF市場介紹	8
  第三節  台灣ETF市場及套利現況說明	12
第三章  文獻回顧	16
  第一節  ETF在現實市場之價格是否符合效率市場假說？	16
  第二節  影響ETF的無套利區間之因素	18
  第三節  ETF出現對市場的影響	19
  第四節  主要幾支ETF在其掛牌市場的套利機會出現情形	20
第四章  研究方法	21
  第一節  ETF之套利模式	21
  第二節  ETF套利之交易成本計算	22
第五章  實證結果與分析	24
  第一節  研究限制與研究假設	24
  第二節  實證結果	25
第六章  結論	30
參考文獻	33
附錄	36

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二、中文文獻

張美媛(2003)，指數股票式基金之上市與指數期貨市場的定價效率—以S&P 500
指數商品為例，淡江大學財務金融學系碩士論文。
高盛ETF專題︰交易所交易基金套利研究（2004）
劉信良，台灣50 指數及其衍生性商品簡介，建華期貨期刊（2004）
王昱中，ETF 相關套利交易策略，復華證券期刊（2004）
鄭義，張菁蕙，交易所買賣基金（ETF）產品介紹，台灣證券交易所專題，貨幣觀測與信用評等2002年11月