| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 87 === This study uses daily closing prices and every 5 minutes intraday data of spot index and futures prices to examine the arbitrage condition for Taiwan Stock Exchange Capital Weighted Index Futures (TAIEX Futures). The basic cost-of-carry model is adapted to incorporate transaction costs and different borrowing and lending rate. This produces a no-arbitrage windows to examine the opportunities, frequency and persistence of index arbitrage. Three arbitrage strategies are considered to analyze the arbitrage profits. This study construct a arbitrage portfolio which can efficiently simulate the spot index.
During empirical study period, the results of this study are the following:
1.The arbitrage portfolios using quadratic programming model
to construct only need 45 to 49 stocks. During the
simulation period, the average tracking error is about
0.3544%.
2.The futures prices are lower than the spot index prices in
the initial months of trading, but almost in premium market
over time.
3.Arbitrage opportunities almost appear for the first few days
of trading and persist for a long time. When arbitrage
opportunities disappear, there are few arbitrage
opportunities before the expiration day of the futures
contract. After the introduction of stock index futures
contracts in Taiwan markets in July 21, 1998,only the first
two futures contracts are underpriced.
4.General investors’ no-arbitrage windows are wider than those
of institutional investors. So, general investors have less
arbitrage opportunities than institutional investors.
5.As the Taiwan future market become liquid, arbitrage
opportunities and profits have obviously diminished.
6.The early unwinding strategy can increase arbitrage profits,
but it is not necessary to execute the rollover strategy
during empirical study period.
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