本研究的重點為研究操作期貨或現貨股票時，受除息之影響下，有沒有額外超額報酬之機會，並分為兩部份進行實證分析：第一部份有關除息與前10大權值股之間的探討，由實證可知，除息對於前10大權值股而言，在2006及2007年時具有填息的效果，但在2008年則不具有填息效果。第二部份討論有關台指50指數期貨是否因除息而有與股票套利之套利效果，由實證可知，台指50指數期貨，在2006、2007年，皆不會因除息而具有與股票套利之套利效果，而在2008年時，雖然台指50指數期貨在股票除息時較會有避險效果，但因2008年股票填息機會不大，故在2008年時，台指50指數期貨也不會因除息而具有與股票套利之套利效果。本文觀察結果得知，除息對現貨之影響，每一年並不相同，有時具有填息的效果，有時則沒有；但除息對同時操作期貨與股票之投資人而言，幾乎沒有帶來套利之獲利機會與套利效果。 The aim of this research is to study whether there is an extra excess return opportunity in addition to the ex-dividend effect while dealing with futures and spots as well as to conduct an empirical analysis with two parts: the first part refers to the discussion of the relationship between the ex-dividend and the top 10 weighted stocks. Based on the empirical analysis, it is found that the ex-dividend had an adjustment effect on the top 10 weighed stocks in 2006 and 2007 but not in 2008. The second part of the analysis discusses whether Taiwan 50 Index Futures has a stock arbitrage opportunity due to the ex-dividend. According to the empirical analysis, the result shows that the ex-dividend had no impact on arbitrage in stock for Taiwan 50 Index Futures in 2006 and 2007. In 2008, although Taiwan 50 Index Futures had more hedge opportunity during the ex-dividend period, the ex-dividend still had no impact on arbitrage in stock for Taiwan 50 Index Futures because the chance of having ex-dividend adjustment was low. Further, the finding of this research indicates that the effect of ex-dividend on spots is not the same for every year. Sometimes, there is an ex-dividend adjustment effect but sometimes there is not; however, the ex-dividend almost does not bring any opportunity of arbitrage profits or arbitrage effect for the investors who trade futures and stocks at the same time.
