An Empirical Analysis of Arbitrage between Taiwan Stock Index Futures, Options, and Taiwan Top 50 Tracker Fund Markets

• Main Authors: Ming-Yu Kao, 高明鈺
• Other Authors: Nen-Jing Chen
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/22553883427370144135

碩士 === 輔仁大學 === 經濟學研究所 === 93 === For the period of January 2, 2004 to December 31, 2004, this paper uses Put and Call Price Lower Bound, Put-Call Parity, Put-Call-Futures Parity, Put-Call Spread, Box Spread, Butterfly Spread and Cost-of-Carry theory to examine the market efficiency of Taiwan stock Index, futures and options markets. For the 1st, 2nd, and 7th test under transaction cost, this paper uses Taiwan Top50 Tracker Fund in the place of stock index to estimate and calculate the arbitrage profit after obtaining an arbitrage signal. Trading at Taiwan Stock Exchange starts from 9:00 to 13:30. In order to explore the intraday distribution of the arbitrage opportunities and profits, we divide the trading day into eighteen 15-min intervals. Finally, this study reveals that the opportunity and profit of arbitrage indicate a smile intraday pattern. This result can provide suggestions of arbitrage strategy for investors.