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。

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.

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

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