本文之目的針對台灣期貨交易所的臺股指數期貨與新加坡期貨交易所的摩根臺股指數期貨之間做套利研究。本文依據現金流量之概念導出價差套利均衡，並利用2002年8月1日至2005年12月30日的日資料計算出每日上述二期貨的價差。計算結果得出此二期貨商品間的價差存在套利空間。但是這個套利機會稍縱即逝，透過市場機制此二商品價差會趨近合理價差。

This thesis explores the opportunities of arbitrages between the spread of the Taiwan stock index futures traded in Taiwan Stock Exchange and the MSCI Taiwan futures traded in Singapore International Monetary Exchange. By deriving an approximated equilibrium arbitrage price formula and using data covering the period from 8/1/2002 to 12/30/2005 to compute the spreads. The computed results have shown modest arbitrage profits exist. However, the spreads have rapidly shrink during the year 2005, implying that the two markets converge gradually

目         錄
誌謝……………………………………..……………………………….I
摘要……………………………………….……………………………II
Abstract…………………………………….…………………………III
目錄……………………………………………………………………IV
表目錄………………………………………………………………….V
圖目錄……………………………………………….………………...VI
第一章	第一章	緒  論…..……………………………..………………1
第一節		 	股價指數與期貨的意義…………………..…………..1
第二節			期貨交易的內容與功能……………………..………..3
第三節	    	本文動機與架構………..………………………..……9
第二章	臺灣與新加坡期貨交易所臺股指數期貨契約的交易內容與比較………………………………………………………………..16
第一節	 		臺灣期貨交易所臺灣股價指數期貨的交易與內容...16
第二節	 		新加坡摩根台灣股價指數期貨交易與內容………...24
第三節	 		比較臺灣股價指數期貨與新加坡摩根史丹利臺灣指
數期貨………………………………………………...25
第三章	國際股價指數期貨套利
第一節	 		國際股價指數期貨的差異與套利機會……………..30
第二節	 		現貨避險與二種股價期貨的套利均衡……………..33
第三節	 		二種期貨差價套利均衡……………………………..37
第四章	實證研究………………………………………………………39
第一節		資料來源……….…………………………………….39
第二節	 	實證研究方法與結果………………………………..40
第五章	結論…………………………………………………………....45
參考文獻…………………………………………………………….…47
表 目 錄
表一: 期貨契約與遠期契約的比較表…………………………………4
表二: 臺灣股價指數各類股權值……………………………………….7
表三: 臺灣證券交易所發行量加權股價指數 前50大成分股暨市值比重…………………………………………………………………………8
表四: 臺灣期貨交易所股份有限公司「臺灣證券交易所股價指數期貨契約規格」………………………………………………………...19
表五: SIMEX摩根台指期貨權值表……………………………………25
表六: 摩台指數期貨與台股指數期貨契約比較………………………29
表七: 依交易通貨別國際指數期貨……………………………………32
表八: 統計資料名稱與來源……………………………………………39
表九: 二種股價指數每日平均交易量…………………………………39
表十: 二種股價指數期貨價差次數分配表……………………………41
表十一: 臺股指數MSCI Taiwan指數期貨日價差平均值差異檢定….42
表十二:計算之價差偏離平均值比率……………………………….…44
 
圖 目 錄
圖一: 2006年2月15日台股期貨與摩根台股期貨每5分鐘價位與成交量變動圖……………………………………………………………….11
圖二: 2006年2月16日台股期貨與摩根台股期貨每5分鐘價位與成交量變動圖……………………………………………………….………11
圖三: 2006年2月17日台股期貨與摩根台股期貨每5分鐘價位與成交量變動圖……………………………………………………………….12
圖四: 2006年2月20日台股期貨與摩根台股期貨每5分鐘價位與成交量變動圖……………………………………………………………….12
圖五: 2006年2月21日台股期貨與摩根台股期貨每5分鐘價位與成交量變動圖……………………………………………………………….13
圖六: 臺股指數與MSCI Taiwan指數期貨日價差次數分配表…..…….41
圖七: 臺股指數與MSCI Taiwan指數期貨每五分鐘價差次數分配表.42
圖八: 二種指數期貨價差時間序列…………………………………….43

參考文獻
國外文獻
Aggarwal, R., and Park, Y. S. (1994, September): "The Relationship Between Daily U.S. and Japanese Equity Prices: Evidence from Spot Versus Futures Markets," Journal of Banking and Finance, 18:757—773.

Barclay, M.J., Litzenberger, R. H., and Warner, J. B. (1990): "Private Information, Trading Volume and Stock Return Variances," Review of Financial Studies, 3:233-253.

Biddle, G. C., and Saudagaran, S. M. (1989, Spring): "The Effects of Financial Disclosure Levels on Firms' Choices Among Alternative Foreign Stock Exchange Listings," Journal of International Financial Management and Accounting,  1:55—87.

Branch, B., Gleit, A., Sooy, J., and Fitzgerald, M. (1984): "Contract Proliferation: A Study of the Silver Futures Market," Rivista Intemazionale di Scienze Economiche e Commerciali, 31:1058—1064.

Brenner, M., Subrahmanyam, M.G., and Uno, J., (1989a, July): "Stock Index Futures Arbitrage in the Japanese Markets,"Japan and the World Economy, 1:303—330. [Reprinted in (1991): Japanese Financial Market Research, Ziemba, W.T., Bailey, W., and Hamao, Y. (eds.), Amsterdam: North-Holland.

Brenner, M., Subrahmanyam, M.G., and Uno, J. (1989b, August): "The Behavior of Prices in the Nikkei Spot and Futures Markets," Journal of Financial Economics, 23:363—384.

Brenner, M., Subrahmanyam, M.G., and Uno, J. (1990a): "The Japanese Stock Index Futures Markets: The Early Experience," in Japanese Capital Markets: Analysis and Characteristics of Equity, Debt and Financial Futures Markets, Elton, E,J. and Gruber, M.J. (eds.), New York: Harper and Row (Ballinger), 301-334.

Brenner, M., Subrahmanyam, M.G., and Uno, J. (1990b, March-April): "Arbitrage Opportunities in the Japanese Stock and Futures Markets," Financial Analysis Journal, 46:14-24. [Reprinted in (1991): Japanese Financial Market Research, Ziemba, W.T., Bailey, W., and Hamao, Y. (eds.), Amsterdam: North-Holland.

Chan, K. C, Fong, W. M., and Stulz, R. M. (1994, May): "Information, Trading and Stock Returns: Lessons From Dually-Listed Securities," National Bureau of Economic Research, Working Paper No. 4743, 40 pp.

Diltz, J. D. and Ting, L. S. (1992): "An Empirical Investigation of the Factors That Influence U.S. Firms to Become Inter-Listed on the New York and the Tokyo Stock Exchanges," Working Paper 18—93, School of Accountancy and Business, Nanyang Technological University, 25 pp.

Dravid, A., Richardson, M., and Craig, A. (1993): "Explaining Overnight Variation in Japanese Stock Returns: The Information Content of Derivative Securities," Weiss Centre for International Financial Research, The Wharton School, University of Pennsylvania, Discussion Paper 93—5, 33 pp.


Edwards, F. R. (1993, Winter): "Listing of Foreign Securities on U.S. Exchanges," Journal of Corporate Finance, 5:28—36.

Fry, C.L., Lee, I., and Choi, J.J. (1994, March): "The Valuation Effects of Overseas Listings: The Case of the Tokyo Stock Exchange," Review of Quantitative Finance and Accounting, 4:79—88.

Garbade, K.D. and Silber, W.L. (1979, August): "Dominant and Satellite Markets: A Study of Dually-Traded Securities," Review and Economics and Statistics, 61:455-460.

Howe, J.S., and Kelm, K. (1987, Autumn): "The Stock Price Impacts of Overseas Listings," Financial Management, 16:51—56.

Howe, J.S., and Madura, J. (1990, December): "The Impact of International Listings on Risk: Implications for Capital Market Integration," Journal of Banking and Finance, 14:1133—1142.

Jayaraman, N., Shastri, K., and Tandon, K. (1993, February): "The Impact of International Cross Listings on Risk and Return: The Evidence from American Depository Receipts," Journal of Banking and Finance, 17:91 — 103.

Kleidon, A.W., and Werner, I.M. (1993): Round-the-Clock Trading: Evidence from U.K. Cross-Listed Securities, National Bureau of Economic Research Working Paper, 41 pp.

Lau, S. T., Diltz, J. D., and Apilado, V. P. (1994, September): "Valuation Effects of International Stock Exchange Listings," Journal of Banking and Finance, 18:743-755.

Lee, I. (1991, June): "The Impact of Overseas Listing on Shareholder Wealth: The Case of the London and Toronto Stock Exchanges," Journal of Business Finance and Accounting, 18:583—592.

Lee, I. (1992, January): "Dual Listings and Shareholders' Wealth: Evidence from U.K. and Japanese Firms," Journal of Business Finance and Accounting, 19:243-252.

Lim, K.G. (1992a, April): "Arbitrage and Price Behavior of the Nikkei Stock Index Futures," Tlie Journal of Futures Markets 12:151 — 161.
國內文獻

1.	史綱、劉德明、李存修、林烱垚、黃敏助、盧立正、臧大年，「期貨交易理論與實務」，大學實務參考用書，民國九十三年，頁314。
2.	李孝忠，雙重上市之價差套利市場效率性研究，逢甲大學企業管理研究所碩士論文，民國九十二年六月。
3.	林宇軒，台股指數現貨、台股指數期貨與摩根台股指數期貨間報酬率波動關係之研究，國立台北大學企業管理學系碩士論文，民國九十二年六月。
4.	蔡義蕙，台股現貨、期貨、選擇選與摩根台股互動關係之研究，朝陽科技大學財務金融系碩士論文，民國九十二年六月。