本篇文章主軸為透過Put-Call-Future Parity來檢驗台灣期權市場是否會隨交易的時間點以及交易契約的特性而存在套利效率性偏低的狀況，本文假設下單會在下一跳動價格成交，分析成交遞延時間長短，發現時差風險會隨交易的時間點、現貨和履約價的差距大小、距離到期日的期間而出現顯著的差異。 根據上述特性，本研究衍生出四種套利交易策略，利用2005年的期貨選擇權Tick-by-tick資料來模擬，結果發現透過混合不同套利交易策略能顯著的提升套利效益。此外，在將連續套利訊號視為單一套利訊號的設定下，本研究透過分析套利訊號出現後一分鐘即消失的比例，發現先前所觀察到的特性和市場的效率性有顯著的相關，換句話說，這些特性可以提供市場上套利交易者作為評估交易進行的依據，當交易可能產生的遞延風險相對較高時，套利交易者要求額外的風險溢酬，因而造成效率性較低的現象。本研究也檢驗提前沖銷(Early-unwinding)對套利的效益，並進一步結合提前沖銷與先前衍生的套利交易策略。 The aim of this paper is to examine the variation of arbitrage efficiency using trade data in the Taiwanese market. Assuming order execution at the next immediate price following a mispricing signal, the execution of individual components is traced and the execution delay is significantly different with the properties of contracts. Ex ante performance can be improved by adopting four trading strategies derived from the properties of contract. The analysis of continuance of mispricing signals shows that execution delay is highly correlated with arbitrage efficiency. In other words, the four trading strategies could be the frame of reference for traders when a mispricing signal is found. This study also examines early unwinding strategy and goes further to see the profitable of combining early unwinding strategy with previous four strategies, and found that ex ante profit can be improve by adopting combination of those strategies which are used to reduce execution risk.
