A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts
碩士 === 東海大學 === 經濟系 === 100 === There are many domestic and foreign scholars tested the arbitrage opportunities of futures and options in different kinds of index markets with put-call-futures parity which proposed by Tucker(1991). This paper was based on the paper of Lee and Nayar(1993), to examine...
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ndltd-TW-100THU003890122015-10-13T21:06:53Z http://ndltd.ncl.edu.tw/handle/31869271053767834517 A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts 台灣金融指數期貨與選擇權套利性之實證研究 Yang, Bo-Cheng 楊博丞 碩士 東海大學 經濟系 100 There are many domestic and foreign scholars tested the arbitrage opportunities of futures and options in different kinds of index markets with put-call-futures parity which proposed by Tucker(1991). This paper was based on the paper of Lee and Nayar(1993), to examine the size of arbitrage opportunities in Taiwan Stock Exchange Finance Stock Index futures and options, and to investigate whether there is any arbitrage opportunity in these markets. The transaction cost is divided into non-transaction cost, professional futures traders and general investors. The Taiwan Stock Exchange Finance Stock Index Futures and Options data were used from January 1, 2009 to December 31, 2009. We found that: (1)The arbitrage opportunity is higher without considering transaction cost than with transaction cost, and the arbitrage opportunity significantly reduced after considering transaction costs.(2)On average, there are 37.21% arbitrage opportunities existed in the opening trading period, and 20.60% arbitrage opportunities existed in the middle of the trading period.(3)The contracts with the longer time to maturity and the higher opportunity to gain arbitrage profit, the larger arbitrage profits could be gained. Hou, Huei-Ling 賀惠玲 2012 學位論文 ; thesis 40 zh-TW |
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碩士 === 東海大學 === 經濟系 === 100 === There are many domestic and foreign scholars tested the arbitrage opportunities of futures and options in different kinds of index markets with put-call-futures parity which proposed by Tucker(1991). This paper was based on the paper of Lee and Nayar(1993), to examine the size of arbitrage opportunities in Taiwan Stock Exchange Finance Stock Index futures and options, and to investigate whether there is any arbitrage opportunity in these markets. The transaction cost is divided into non-transaction cost, professional futures traders and general investors.
The Taiwan Stock Exchange Finance Stock Index Futures and Options data were used from January 1, 2009 to December 31, 2009. We found that: (1)The arbitrage opportunity is higher without considering transaction cost than with transaction cost, and the arbitrage opportunity significantly reduced after considering transaction costs.(2)On average, there are 37.21% arbitrage opportunities existed in the opening trading period, and 20.60% arbitrage opportunities existed in the middle of the trading period.(3)The contracts with the longer time to maturity and the higher opportunity to gain arbitrage profit, the larger arbitrage profits could be gained.
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author2 |
Hou, Huei-Ling |
author_facet |
Hou, Huei-Ling Yang, Bo-Cheng 楊博丞 |
author |
Yang, Bo-Cheng 楊博丞 |
spellingShingle |
Yang, Bo-Cheng 楊博丞 A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts |
author_sort |
Yang, Bo-Cheng |
title |
A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts |
title_short |
A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts |
title_full |
A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts |
title_fullStr |
A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts |
title_full_unstemmed |
A Study Of Arbitrage Efficiency Between Taiwan Stock Exchange Finance Stock Index Futures and Options Contracts |
title_sort |
study of arbitrage efficiency between taiwan stock exchange finance stock index futures and options contracts |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/31869271053767834517 |
work_keys_str_mv |
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