An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures
碩士 === 國立成功大學 === 企業管理學系 === 87 === Theoretically, the operation of index needs to buy (or sell) all the underlying stocks in an index. This perfect arbitrage is almost unfeasible practically. In practice, a representative portfolio is formed to track the index. However, methods in literature from t...
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ndltd-TW-087NCKU01210322015-10-13T17:54:34Z http://ndltd.ncl.edu.tw/handle/18818939930330204234 An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures TAIMEX台股指數期貨之正(逆)價差與套利探討 Tzu-Hua Hsu.. 徐子華 碩士 國立成功大學 企業管理學系 87 Theoretically, the operation of index needs to buy (or sell) all the underlying stocks in an index. This perfect arbitrage is almost unfeasible practically. In practice, a representative portfolio is formed to track the index. However, methods in literature from tracking the index are all complicated and tedious. The purpose of this paper is to provide a simple method for replicating the index. This paper applies the cost of carry method to decide no-arbitrage intervals, and then tests the market efficiency of TAIMEX stock index futures. Whenever, arbitrage opportunities are founded, we design an arbitrage portfolio to arbitrage and estimate the profits. The empirical test covers the period August 1998 — January 1999. Results indicate that (1) there exists a lot of arbitrage opportunities in the stage of the introduction of TAIMEX Stock Index futures, and these arbitrage opportunities would not disappear immediately. This implies that the market is inefficient. (2) The average tracking error is 0.64% for our arbitrage portfolio, and the correlation coefficients between the arbitrage portfolio and the underlying spot index in each period are greater than 0.93. This indicates that the designed arbitrage portfolio should lock the profits whatever arbitrage opportunities appear. (3) Arbitrage opportunities gradually decrease as the futures approaches to its maturity dates. 許溪南 張海青 1999 學位論文 ; thesis 68 zh-TW |
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碩士 === 國立成功大學 === 企業管理學系 === 87 === Theoretically, the operation of index needs to buy (or sell) all the underlying stocks in an index. This perfect arbitrage is almost unfeasible practically. In practice, a representative portfolio is formed to track the index. However, methods in literature from tracking the index are all complicated and tedious. The purpose of this paper is to provide a simple method for replicating the index.
This paper applies the cost of carry method to decide no-arbitrage intervals, and then tests the market efficiency of TAIMEX stock index futures. Whenever, arbitrage opportunities are founded, we design an arbitrage portfolio to arbitrage and estimate the profits. The empirical test covers the period August 1998 — January 1999. Results indicate that (1) there exists a lot of arbitrage opportunities in the stage of the introduction of TAIMEX Stock Index futures, and these arbitrage opportunities would not disappear immediately. This implies that the market is inefficient. (2) The average tracking error is 0.64% for our arbitrage portfolio, and the correlation coefficients between the arbitrage portfolio and the underlying spot index in each period are greater than 0.93. This indicates that the designed arbitrage portfolio should lock the profits whatever arbitrage opportunities appear. (3) Arbitrage opportunities gradually decrease as the futures approaches to its maturity dates.
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author2 |
許溪南 |
author_facet |
許溪南 Tzu-Hua Hsu.. 徐子華 |
author |
Tzu-Hua Hsu.. 徐子華 |
spellingShingle |
Tzu-Hua Hsu.. 徐子華 An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures |
author_sort |
Tzu-Hua Hsu.. |
title |
An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures |
title_short |
An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures |
title_full |
An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures |
title_fullStr |
An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures |
title_full_unstemmed |
An Investigation of the Spread and Arbitrage of the TAIMEX stock Index Futures |
title_sort |
investigation of the spread and arbitrage of the taimex stock index futures |
publishDate |
1999 |
url |
http://ndltd.ncl.edu.tw/handle/18818939930330204234 |
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