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姓名 鄭家豪(Jia-haur Tzeng)  查詢紙本館藏   畢業系所 經濟學系
論文名稱 臺指期貨選擇權套利效率性之研究
(A study of arbitrage efficiency between the TAIFEX index futures and options contracts)
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摘要(中) 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。
摘要(英) 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.
關鍵字(中) ★ 市場效率性
★ 提前沖銷
★ put-call-future parity
★ execution delay
關鍵字(英) ★ execution delay
★ arbitrage efficiency
★ early-unwinding
★ put-call-future parity
論文目次 Contents
Abstract I
Acknowledgement III
Contents IV
List of Figures V
List of Tables VI
1 Introduction 1
2 Arbitrage triggers and execution delay 2
2.1 Arbitrage triggers for the execute-and-hold strategy 3
2.2 Arbitrage triggers for the execute-and-hold strategy 4
2.3 Execution delay 4
3 Data and research design 5
4 Empirical findings 9
4.1 Analysis of execution delay 9
4.2 Alternative trading strategies 17
4.3 Analysis of the continuance of mispricing signal 20
4.4 Early-unwinding strategy 22
4.5 Compounding early-unwinding strategy with other combinations of trading strategies 23
5 Conclusions 29
References 30
List of Figures
2.1 Execution delays in ex ante stage 5
3.1 The way to form matched trios 6
4.1 Intraday pattern of completion lag 13
4.2 Intraday pattern of mispricing rate 13
4.3 Intraday pattern of mispricing signals 14
4.4 Day-of-the-week effect (completion lag) 14
4.5 Day-of-the-week effect (mispricing rate) 15
4.6 Maturity effect (completion lag) 15
4.7 Average completion lag with different intervals of moneyness 16
4.8 Intraday pattern of modification rate 21
4.9 Intraday pattern of duration for mispricing signals disappear after 1 min 21
List of Tables
3.1 Average spread cost by categories of moneyness and time to maturity 8
3.2 Commission and transaction tax for put-call-futures arbitrage 8
4.1 Ex-post violations and ex-ante profits 10
4.2 Ex-post profits based on trade prices, by completion lag 11
4.3 Simulation results of combinations of trading strategies 19
4.4 Arbitrage profit (in index points) under the early-unwinding strategy 24
4.5 Arbitrage profit (in index points) under the early-unwinding strategy with initial short-futures arbitrage position 25
4.6 Arbitrage profit (in index points) under the early-unwinding strategy with initial long-futures arbitrage position 26
4.7 Holding period (in days) under the early-unwinding strategy 27
4.8 Simulation results for compounding early-unwinding strategy with other combinations of trading strategies 28
參考文獻 Brenan, M. J., & Schwartz, E. S. (1990). Arbitrage in stock index futures. Journal of Business, 63, 7-31.
Connolly, R. A. (1989). An examination of the robustness of the weekly effect. Journal of Financial and Quantitative Analysis, 24, 133-169.
Draper, P., &Fung, J. K. W. (2002). A study of arbitrage efficiency between FTSE-100 Index futures and options contracts. The Journal of Futures Markets, 22, 31-58.
Jong-Rong Chiou; Hsieh, Wen-Liang Gideon; Yuan-Yi Lin(2007). The impact of execution delay on the profitability of put-call-futures trading strategies-Evidence from Taiwan. Journal of Futures Markets, Vol. 27 Issue 4, p361-385.
Fung, J. K. W., & Chan, K. C. (1994). On the arbitrage-free pricing relationship between index futures and index options: A note. Journal of Futures Markets, 14, 957-962.
Fung, J. K. W., & Fung, A. K. W. (1997). Mispricing of futures contracts: A study of index futures versus index options contract. Journal of Derivatives, 5(2), 37-44.
Klemkosky, R. C., & Lee, J. H. (1991). The intraday ex post and ex ante profitability of index arbitrage. Journal of Futures Markets, 11, 291-311.
Merrick, J. J. (1989). Early unwinding and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects. Journal of Futures Markets, 9, 101-111.
指導教授 張傳章、朱雲鵬
(Chuang-chang Chang、Yun-peng Chu)
審核日期 2008-10-9
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