| Summary: | 碩士 === 明新科技大學 === 企業管理研究所 === 98 === Abstract
This study investigates the market efficiency of Taifex during the period of 2008 financial crisis. Based on the put-call-futures parity, we analyze the arbitrage opportunities and profits between the future and option markets by both ex post and ex ante analyses. We use the intraday data in the sample period from June, 2008 to January, 2009. The empirical results show that there exists ex post profits in the market, but does not exist ex ante profits after considering the transaction cost. The arbitrage profits before the period of financial crisis are more than that during the period of financial crisis. Regression analysis shows that the numbers of days to maturity and price limits are positive relationship with the arbitrage profits. During the financial crisis events, long future strategies are negative relationship with the arbitrage profits. The results also show that the reduction of decline price limitation by government does influence the market efficiency and cause the market higher arbitrage profit.
Keywords：put-call-futures parity, arbitrage analysis, reduced decline limitation
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