The Impacts of Arbitrage Strategy on Price Discovery in Spot and Futures markets：The Case of Taiwan

• Main Authors: Syuan-Kai Wu, 吳烜凱
• Other Authors: 莊忠柱
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/bcqb2u

碩士 === 淡江大學 === 管理科學學系碩士班 === 104 === As the stock and futures prices are deviated from long-run equilibrium relations, there might have arbitrage opportunities between the stock and futures markets. This study use the daily closing price of the Taiwan stock and futures for study samples from July 21, 1998 to December 31, 2015. This study apply the threshold error correction model to explore for the possibilities of arbitrage strategies. Meanwhile,this study apply the common factor weight to explore the role of price discovery for stock and futures. In addition, this study investigate the robust analysis for difference threshold values of arbitrage. This resultants find the stock and futures returns which were influenced by itself and the other for lag-one and lag-two period. Also, the stock and futures returns were influenced by lag-one error correction term. Although there have arbitrage opportunities, different arbitrage strstegies don’t affect the stock and futures returns for robust analysis. Finally, the common factor weight of the stock is bigger than the futures, meaning the stock play an important role during the process of price discovery.