Examining The Efficiency Of The Intraday Data Of Various Strike Price Between Taiwan Index Options and Futures By Put-Call-Futures Parity

• Main Authors: Shu-Chien Hsu, 許書杰
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/82462702218016709432

碩士 === 逢甲大學 === 經營管理碩士在職專班 === 93 === Abstract This thesis proposes a put-call-futures parity model with different exercise prices. The intraday tick data are from October 1, 2004 to March 31, 2005. This investigation uses 30 minutes closing prices of the Mini-TAIEX futures and the TAIEX call options and TAIEX put options to test for the existence of possible arbitrage opportunities under considering the transaction costs and volume. The above test is defined as the Ex-ante Test. Form another perspective, under the arbitrage opportunities this study uses 30 minutes opening prices of the Mini-TAIEX Futures and the TAIEX call options and TAIEX put options to examine whether the arbitrage will disappear within 60 minutes. The above test is defined as the Ex-post Test. The test results show that the Mini-TAIEX futures and TAIEX options markets are efficient. When the strike price of the call option is lower four ticks than the cash settlement and the strike price of the put option is lower three ticks than the cash settlement, the arbitrage opportunities will existed. The profit of the arbitrage will not disappear within 60 minutes. Meanwhile, the large volatility of the index results in positive or negative spreads, and increases the arbitrage opportunities. Key words: Put-call-futures parity、Ex-post Test、Ex-ante Test、 Arbitrage opportunity、Market efficiency.