台指期貨與選擇權市場套利利潤之影響因素

The Determinant of Arbitrage Profits of Index Futures and Options Markets in Taiwan

10.30139/JACG.201006.0004

林問一(Wen-Yi Lin)；蔡佩珊(Pei-Shan Tsai)

賣權買權期貨平價理論 ； 套利機會 ； 市場效率性 ； 事前套利利潤 ； Put-call-futures parity ； Arbitrage opportunity ； Market efficiency ； Ex-ante arbitrage profits

會計與公司治理

7卷1期（2010 / 06 / 01）

85 - 103

繁體中文

本研究選定2005年1月17日至2009年2月為研究期間，以台股指數期貨與台股指數選擇權為研究對象，探討這二個市場所形成的市場是否具有套利機會與效率性。結果發現，不論有無考慮交易成本，利用賣權買權期貨平價理論，對台股指數期貨與指數選擇權進行套利，在事前檢定或事後檢定上，都可以賺得顯著的套利利潤，代表台股指數期貨與指數選擇權所形成的市場並不具有效率性。進一步，我們將有事後套利利潤的樣本分為正價差、逆價差，進而探討在正價差和逆價差下，何者的套利利潤較高，接著，再以迴歸分析證實何者賺得的事前套利利潤較多。結果發現，不論有無考慮交易成本，在逆價差情況下，套利利潤較大，而迴歸分析也印證此結果，表示投資人可將逆價差視為進場操作的參考指標，以賺取較高的事前套利利潤。

The main purpose of this research is to examine the arbitrage opportunity and market efficiency of the TAIEX index futures (TX) and the TAIEX index options (TXO) contracts for the period January 17, 2005 to February, 2009. The results show that whether taking into account transaction costs or not, investors could proceed arbitrage trading between the TAIEX index futures and the TAIEX index options by Put-Call-Futures Parity to earn significant ex-ante and ex-post arbitrage profits. This represents the market constituted by the TAIEX index futures and index options is inefficient. Furthermore, we divide the samples which exist ex-post arbitrage profits into two groups which are positive basis group and negative basis group, so as to examine which one has the higher arbitrage profits. Subsequently, we demonstrate the issue by regression analysis. The results indicate whether taking into account transaction costs or not, the negative basis has higher the arbitrage profits. However, the results are also addressed by regression analysis. These imply that investors could regard the negative basis as an arbitrage indicator to earn more ex-ante arbitrage profits.

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