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系統識別號 U0002-2705200510471000
中文論文名稱 指數期貨與指數股票型基金之套利關係
英文論文名稱 Arbitrage Relationship Between Stock Index Futures and Exchange Traded Funds
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 蕭新怡
研究生英文姓名 Hsin-I Hsiao
學號 692490039
學位類別 碩士
語文別 中文
口試日期 2005-05-23
論文頁數 63頁
口試委員 指導教授-林蒼祥
委員-何富雄
委員-許和鈞
委員-聶建中
中文關鍵字 指數股票型基金  套利  共整合  均數返還 
英文關鍵字 Exchange Traded Funds  Arbitrage  Cointegration  Mean-reverting 
學科別分類 學科別社會科學商學
中文摘要 本研究分別以台灣及美國市場的指數期貨與指數股票型基金為對象,利用濾嘴門檻,驗證兩市場的指數期貨與指數股票型基金間之價差可以建構出無風險套利。
本研究藉由共整合檢定可驗証出指數期貨與指數股票型基金間的長期均衡關係。實證結果發現,兩組套利交易組合均具有長期均衡關係,且由共整合關係所推得之價差具有均數返還的特性。故可使用兩個市場中的指數期貨與指數股票型基金間之價差進行套利。
未考慮交易成本時,兩市場之套利交易是可獲利的。在考慮交易成本後,美國市場的套利交易是可獲利的。其次,就風險報酬特性而言,較大的濾嘴門檻策略是較優的策略。最後,就套利報酬率而言,台灣市場在較大的濾嘴門檻策略下所得到之報酬率最大,而美國市場在置中的濾嘴門檻策略下所得到之報酬率最大。
英文摘要 The thesis uses the mechanism of spread arbitrage by exchange traded funds and index futures in Taiwan and America, and demonstrates that spreads between them can be constructed so as to result in riskless arbitrage. And the empirical result is pointed out, two sets of spread trading combination in this study are found to be cointegrated and the spreads derived from the cointegration relationships are mean-reverting. So we can use index futures and exchanged traded funds in two markets to carry on spread arbitrage. The simulation results of two markets before transaction costs is that arbitrage trading is profitable. Simulation results reveal that arbitrage trading is profitable given that average profits of American markets under different filters are all significantly greater than zero after transaction costs. Secondly, this research suggests that the trading strategy with greater filter threshold is superior to lower filters in terms of the risk-reward characteristics. Finally, Taiwan market gets the maximum rates of return under the maximum filter threshold but American market gets the maximum rates of return under the second filter threshold in terms of rates of return of arbitrage trading.
論文目次 目錄
第一章 緒論
1.1 研究背景與動機…………………..……………………………1
1.2 研究目的…..……………………………………………………3
1.3 研究架構……..……………………………………………4
1.4 研究流程……..……………………………………………5
第二章 文獻探討
2.1 指數期貨套利與缺陷………………………………….……….6
2.2 追蹤誤差…………………...…………………………..11
第三章 研究方法
3.1 研究方法…...………………………………………………..15
3.2 套利模型………………...……….………………………….24
第四章 實證結果與分析
4.1 資料與假設………………...………………………………..25
4.2 共整合向量係數估計...………………………………..…..29
4.3 誤差修正模型…………………………...………………..34
4.4 套利策略與交易模擬……………………………….…..36
第五章 結論與建議…...……………………………………..….56
參考文獻…...………………..……………………………….…..58
附錄…...…………………………....……………………….…..62



表目錄
表4-1 歷年台股期貨成交量…..…………………………..….26
表4-2 歷年台灣50指數期貨成交量…………………………….27
表4-3 台灣原始序列之單根檢定………………...…….….…29
表4-4 美國原始序列之單根檢定…………………………….…30
表4-5 台灣差分一次序列之單根檢定…………………….……30
表4-6 美國差分一次序列之單根檢定…………………………30
表4-7 最適落後期之選取……………………………….…….31
表4-8 台股期貨與TTT間之共整合檢定…………..…….....33
表4-9 S&P 500指數期貨與SPDRs間之共整合檢定………....33
表4-10 台股期貨與TTT間之標準化共整合向量……………...34
表4-11 S&P 500指數期貨與SPDRs間之標準化共整合向量.……34
表4-12 誤差修正模型之估計係數-台灣……..……………….35
表4-13 誤差修正模型之估計係數-美國……..……………….36
表4-14 指數期貨與ETFs間之價差敘述統計量………………...37
表4-15 兩市場價差序列之自我相關係數……………………….37
表4-16 買入期貨賣出ETFs之套利策略流程.............…..41
表4-17 買入ETFs賣出期貨之套利策略流.……………...…..42
表4-18 未考慮交易成本之套利模擬結果-台灣..………...47
表4-19 未考慮交易成本之套利模擬結果-美國…………….48
表4-20 考慮交易成本後之套利模擬結果-台灣…………….49
表4-21 考慮交易成本後之套利模擬結果-美國…………….50
表4-22 報酬變異比率-台灣………………….....………..51
表4-23 報酬變異比率-美國…………………………......51
表4-24 套利報酬率-台灣……………………………..…..54
表4-25 套利報酬率-美國……………...………………….54
附表一 臺灣證券交易所股價指數期貨契約規格……………62
附表二 美國S&P 500指數期貨合約規格……………………62
附表三 國內首檔指數股票型基金之商品規格………...63
附表四 美國史坦普500指數基金-SPDRs之商品規格.…63


圖目錄
圖4-1 歷年台指期貨之日均成交量………………………..26
圖4-2 歷年台灣50指數期貨之日均成交量……..………..27
圖4-3 DIFFⅠ-台股期貨 v.s TTT……...……………...39
圖4-4 DIFFⅡ-S&P 500指數期貨v.s SPDRs…....…….39
圖4-5 SPDRs與標的指數S&P 500之追蹤誤差…..….....40

參考文獻 參考文獻
一、中文部份
林蒼祥、朱正進與謝文良,「固定採樣數股價指數期貨:台灣50指數期貨合約研究」,台灣期貨交易所委託研究計畫書,民國92年。
林蒼祥與李進生,「固定採樣股價指數選擇權:台灣50指數選擇權契約設計之研究」,台灣期貨交易所委託研究計畫書,民國92年。
歐宏杰、賴昭隆、陳品橋與劉宗聖,「寶來金融商品叢書系列2:全球指數行商品」,第一版,商訊文化事業股份有限公司,民國91年。
賴朝隆、歐宏杰、陳姿元與劉宗盛,「美國證券市場投資實務」,第一版,秀威資訊科技股份有限公司,民國91年。
賴朝隆、歐宏杰與劉宗盛,「台灣50指數ETF投資實務」,第一版,秀威資訊科技股份有限公司,民國92年。
二、英文部份
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Chung, P. Y., 1991, “A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability,” Journal of Finance 46, 1791-1809.
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Engle, R. F. and C. W. Granger, 1987, “Co-integration and error correction: representation, estimation, and testing,” Econometrica 55, 251-276.
Engle, R. F. and B. S. Yoo, 1987, “Forecasting and Testing in Cointegrated Systems,” Journal of Econometrics 35, 143-159.
Frino, A. and D. Grallagher, 2001, “Tracking S&P 500 Index Funds,” The Journal of Portfolio Management 28, 44-55.
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Granger, C. W. and A. A. Weiss, 1983, “Time Series Analysis of Error Correcting Models.” in Studies in Econometrics, Time Series and Multivariate Statistics, Academic Press, New York.
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Johansen, S. and K. Juselius, 1990, “Maximum likelihood estimation and inference on cointegration with application to the demand for money,” Oxford Bulletin of Economics and Statistics 52, 169-210.
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Kwiatkowski, D., P. Phillips, P. Schmide, and Y. Shin, 1992, “Testing the Null Hypothesis of Stationary against the alternative of a Unit Root,” Journal of Econometrics 54, 159-178.
Klemdosky, R. C. and J. H. Lee, 1991, “The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage,” The Journal of Futures Markets 11, 291-311.
Luo, Wu-chang., 2002, Spread Arbitrage between Stock Index Futures in Taiwan: A Cointegration Approach, Working paper, University of Southampton.
Mackinlay, A. and K. Ramaswamy, 1988, “Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices,” The Review of Financial Studies 1, 137-158.
Mead, N. and G. Salkin, 1989, “Index Funds-Construction and Performance Measurement,” Journal of Operational Research 40, 871-879.
Nelson, C. R. and C. I. Plosser, 1982, “Trends and Random Works in Macroeconomics Time Series: Some Evidence and Implications,” Journal of Monetary Economics 10, 139-162.
Phillips, P. C. B., 1987, “Time Series Regression with a Unit Root,” Econometrica 55, 277-301.
Phillips, P. and P. Perron, 1988, “Testing For A Unit Root in Time Series Regression,” Biometrica 75, 335-346.
Reimers, H. E., 1992, “Comparions of Tests for Multivariate Cointegration,” Statistics Paper 33, 335-346.
Said, S. E. and D. A. Dickey, 1984, “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrica 71, 599-607.
Sharpe, W. F., 1966, “Mutual Fund Performance,” Journal of Business 39, 119-138.
Sharpe, W. F., 1994, “The Sharpe Ratios,” The Journal of Portfolio Management 21, 49-58.
Shiller, R. and P. Perron, 1985, “Testing the Random Walk Hypothesis: Power versus Frequency of Observation,” Economics Letters 18, 381-386.
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