A Study on the Impact of Introducing Taiwan 50 Tracker Fund to TAIEX Index Option

• Main Authors: Wu Chi-Ju, 吳季儒
• Other Authors: Chin-Horng Chan
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/40176094471909213558

碩士 === 長庚大學 === 企業管理研究所 === 94 === The first ETF, Taiwan Top 50 Tracker Fund, was formally introduced on June 30, 2003 in Taiwan. The ETF have some special transaction characteristics. For example, the market investors can buy or sell ETF as the spot portfolio more easily, no limitation on short sale restriction and less transaction cost. Therefore, the purpose of this study is to examine if the ETF can solve the problem of constructing the spot portfolio in the past, and then enhanced the TAIEX index option and stock market efficiency after launching ETF. This study will estimate the frequency and magnitude of violations of boundary conditions and Put-Call Parity. Furthermore, we examine the average time span of these violations. The empirical result shows the frequency, magnitude and the time span of these violations significantly diminish in short arbitrage strategy, but do not obviously diminish in long arbitrage strategy. Nonetheless, all the simulated arbitrage profit of ex ante decrease in short and long arbitrage strategy after launching ETF. The reason may be because the ETF allows quick transactions in the spot index, thereby reducing the execution lags of arbitrage process.