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題名:The Arbitrage Opportunities, Strategies and Profits of TAIFEX Index Options
書刊名:期貨與選擇權學刊
作者:翁明祥李存修 引用關係
作者(外文):Wang, Ming-hsiangLee, Tsun-siou
出版日期:2008
卷期:1:2
頁次:頁1-45
主題關鍵詞:指數選擇權套利策略提前平倉Index optionArbitrage strategyEarly unwinding
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:0
  • 點閱點閱:30
本研究探討2004年中TAIFEX臺指選擇權之間,以及選擇權與期貨之間的套利機會與獲利狀況。臺指選擇權之間的套利策略包括價差部位、凸性部位以及盒狀部位。選擇權與期貨間之套利策略則由買、賣權平價關係修正而得。 套利部位可視情況提前平倉,以緩和套利者資金有限的問題,這是截至目前為止有關TAIFEX指數商品之套利研究所未考慮到的。針對上述各種套利策略,可提前平倉的套利策略均比持有至最後結算日之獲利來得多。事實上許多套利的部位均可在當日之內即行平倉,使得同一套利資金可以捕捉到更多的套利機會。 套利操作可能面臨的時間落差亦納入考量,以反映套利者不一定能以所觀察到之價格成交的實務問題。影響套利機會與套利利潤的因素亦透過回歸分析加以探討,發現標的物之價格波動性、每日選擇權成交筆數與套利機會、套利利潤均有正向關係,而TAIFEX臺指選擇權龐大的交易量事實上使套利交易更為方面,而非使價格更往無套利的方向靠攏。
This paper examines the arbitrage opportunities and profitability of the options/options strategies and the options/futures strategy among TAIEX Options during 2004. The former include the short spread strategy, the convexity strategy, and the box spread strategy, whereas the latter is extended from the put-call-futures parity. In particular, this paper develops early unwinding strategies that have not yet been studied in Taiwan so far. It reflects the capital rationing of arbitrageurs who are burden with margins and initial outlays. For all four strategies examined in the paper, early unwinding significantly exceeds holding to maturity in profitability, and large portions of arbitrage portfolios are even unwound on the same day. The much shorter holding duration helps to significantly unfreeze the limited capital. Moreover, this paper also focused on the effect of execution lag. Two different execution settings of historical data simulation are made. By comparing the results in realized frequency and profitability, it reveals the misleading nature of naïve price matching criteria which assume arbitrage orders to be dealt at the prevailing mispricing quotes could exist in some previous studies. Finally, regression analyses are performed to capture factors affecting the frequency and profitability of arbitrage trading. The level of stock market volatility and the daily number of index option trades positively enhance the frequency and profitability of arbitrage strategies. It shows that the growing number of trades in TAIEX Options until now may help rather facilitate arbitrage trading than contribute to re-correction of misprices.
期刊論文
1.Cheng, L. T. W.、Fung, J. K. W.、Pang, C.(1998)。Early unwinding strategy in index options-futures arbitrage。Journal of Financial Research,21,447-467。  new window
2.Yadav, Pradeep K.、Pope, Peter F.(1994)。Stock index futures mispricing: profit opportunities or risk premia?。Journal of Banking & Finance,18(5),921-953。  new window
3.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。  new window
4.Bharadwaj, Anu and James B. Wiggins(2001)。Box Spread and Put-Call Parity Tests for the S&P500 Index LEAPS Market。Journal of Derivatives,,Summer,62-71。  new window
5.Fung, Joseph K.W. and Alexander K.W. Fung.(1997)。Mispricing of Futures Contracts: A Study of Index Futures versus Index Options Contracts。Journal of Derivatives,Winter,37-44。  new window
6.Fung, J. K. W. and H. Mok(2003)。Early Unwinding of Options-Futures Arbitrage with Bid-Ask Quotations and Transaction Prices。Global Finance Journal,14,121-133。  new window
7.Helmer, Michael L. and Thomas W. Miller Jr.(1987)。Box Spread Arbitrage Profits Following the 1987 Market Crash: Real or Illusory?。Journal of Financial and Quantitative Finance,32,71-90。  new window
8.Merrick Jr., J.J.(1989)。Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs: Analysis and Implications for Predicting Expiration Day Effects。Joumal of Futures Market,9,101-111。  new window
9.Sofianos, G.eorge.(1993)。Index Arbitrage Profitability。Journal of Derivatives,Fall,6-20。  new window
 
 
 
 
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