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題名:以買權賣權期貨平價理論探討臺指期貨與臺指選擇權之套利機會與套利利潤
書刊名:輔仁管理評論
作者:黃玉娟 引用關係余尚恩黃可欣謝秀沄
作者(外文):Huang, Yu-chuanYu, Shang-enHuang, Ke-hsinHsieh, Hsiu-yun
出版日期:2005
卷期:12:3
頁次:頁1-21
主題關鍵詞:買權賣權期貨平價理論套利機會效率市場Put-call-futures parityArbitrage opportunityEfficient market
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:20
  • 點閱點閱:52
本研究以小型臺指期貨與臺指選擇權近月份契約之價格為研究對象,檢驗兩者間是否符合買權賣權期貨平價理論,並探討兩市場是否存在套利機會及是否為效率市場。實證結果顯示,無論是造市者或非造市者均存在套利機會,而造市者的可套利機會及總套利利潤均較非造市者為多,但平均套利利潤則不如非造市者。對造市者而言,當選擇權距到期日愈遠,平均套利利潤愈大;對非造市者而言,在賣出期貨套利策略下,最大的平均套利利潤則出現於11~20天。當選擇權履約價格離價平程度愈遠,平均套利利潤愈大,而套利機會愈少。選擇權的最大平均套利利潤發生在中波動性的情況下,其次為大波動性,小波動性的平均套利利潤最少,波動性與平均套利利潤大致上仍呈現正相關。買進期貨套利策略發生的頻率較賣出期貨套利策略發生的頻率為高,但平均利潤卻相對較低。無論對造市者、非造市者而言,套利機會隨臺指選擇權推出的時間增長而日漸減少,每月平均套利利潤亦有下降的趨勢,表示兩市場已愈來愈有效率了。
This study examines whether Taiwan stock index futures and Taiwan stock index options are suitable for put-call-futures parity or not. In addition, we examine the arbitrage opportunity and market efficiency of the Taiwan stock index futures and options contracts for the period of January 2, 2002 to September 17, 2003. The empirical results show that both market maker and non-market maker have arbitrage opportunity. However, the arbitrage opportunities and total profits of market maker are higher than that of non-market maker. In addition, the arbitrage opportunity becomes fewer and profitability has declined as time passes. This indicates that Taiwan stock index futures and option markets are more efficient than before.
期刊論文
1.Cheng, L. T. W.、Fung, J. K. W.、Chan, K. C.(2000)。Pricing Dynamics of Index Options and Index Futures in Hong Kong before and during the Asian Financial Crisis。Journal of Futures Markets,20(2),145-166。  new window
2.Fung, J. K. W.、Chan, K. C.(1994)。On the Arbitrage-Free Pricing Relationship between Index Options and Index Futures: A Note。Journal of Futures Markets,14(8),957-962。  new window
3.Ackert, L. F.、Tian, Y. S.(1998)。The Introduction of Toronto Index participation Units and Arbitrage Opportunities in the Toronto 35 Index Option Market。Journal of Derivatives,5(4),44-53。  new window
4.Cheng, L. T. W.、Fung, J. K. W.、Chan, K. C.(1997)。The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets。The Journal of Futures Markets,17(7),797-815。  new window
5.Easton, S. A.(1997)。Put-Call Parity with Futures-Style Margining。Journal of Futures Markets,17(2),215-227。  new window
6.余尚武、楊政麟(19980000)。運用類神經網路於股價指數之套利--以日經225指數為例。證券市場發展,10(4)=40,111-149。new window  延伸查詢new window
7.Lee, J. H.、Nayar, N.(1993)。A Transactions Data Analysis of Arbitrage between Index Options and Index Futures。Journal of Futures Markets,13(8),889-902。  new window
8.Fung, J. K. W.、Mok, H. M. K.(2001)。Index Options-Futures Arbitrage: A Comparative Study with Bid-Ask and Transaction Data。Financial Review,36(1),71-94。  new window
9.Frans, D. R.、Chris, V.(1996)。Put-Call Parities and The Value of Early Exercise for Put Options on A Performance Index。Journal of Futures Markets,16(1),71-80。  new window
10.Fung, J. K. W.、Fung, A. K. W.(1997)。Mispricing of Index Futures Contracts: A Study of Index Futures Versus Index。Journal of Derivatives,5(2),37-45。  new window
11.Bae, K. H.、Chan, K.、Cheung, Y. L.(1998)。The Profitability of Index Futures Arbitrage: Evidence from Bid-Ask Quotes。Journal of Futures Markets,18(7),743-763。  new window
12.Stoll, H. R.(1969)。The Relationship Between Put and Call Options Prices。The Journal of Finance,24(5),319-332。  new window
13.黃玉娟、徐守德(19990900)。股價指數期貨定價之研究--新加坡摩根臺指期貨之實證。亞太管理評論,4(3),255-269。new window  延伸查詢new window
14.黃玉娟、郭照榮、徐守德(19980000)。摩根臺股指數期貨的市場效率與套利機會之研究。證券市場發展季刊,10(3)=39,1-29。new window  延伸查詢new window
15.Draper, Paul、Fung, Joseph K. W.(2002)。A Study of Arbitrage Efficiency Between The FTSE-100 Index Futures and Options Contracts。Journal of Futures Markets,22(1),31-58。  new window
研究報告
1.Chiang, R.、Ho, R.、Wong, E.(1993)。Hang Seng Index Option: The Efficiency of a New Market。Chinese University of Hong Kong。  new window
學位論文
1.傅琡珺(2003)。臺灣期貨與選擇權市場之套利分析--以選擇權與期貨平價理論為例(碩士論文)。國立中山大學。  延伸查詢new window
2.許琬琳(1999)。台股指數期貨套利分析與類神經網路之應用(碩士論文)。國立中山大學。  延伸查詢new window
3.陳嘉添(2002)。買權賣權評價理論之套利研究:臺指選擇權對臺指期貨與交易所買賣基金對台指選擇權(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Tucker, A. L.(1991)。Financial Futures, Options, and Swaps。St. Paul, MN:West Publishing Company。  new window
2.Fama, Eugene F.(1976)。Foundations of Finance: Portfolio Decisions and Securities Prices。Basic Books。  new window
 
 
 
 
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