臺灣指數期貨與臺灣指數選擇權套利行為之小時效應之探討

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Title:	臺灣指數期貨與臺灣指數選擇權套利行為之小時效應之探討
Other Titles:	THE INVESTIGATION ABOUT HOUR EFFECTS OF ARBITRAGE BEHAVIOR BETWEEN INDEX FUTURES AND INDEX OPTIONS IN TAIWAN
Authors:	郭毓芬 Guo, Yu-fen
Contributors:	財務金融學系財務管理碩士班白宗民 Tzung-min Pai
Keywords:	臺灣指數期貨;臺灣指數選擇權;成交量;套利機會;星期效應 TAIEX index futures;TAIEX options;arbitrage opportunities;volume;weekday effect
Date:	2012
Issue Date:	2015-01-08 09:06:02 (UTC+8)
Abstract:	本文欲研究在臺灣衍生性商品市場中，臺灣指數期貨與臺灣指數選擇權套利行為的影響因子，以臺灣指數期貨與臺灣指數選擇權近月份契約之秒資料作為研究對象，研究時間為2010年1月至12月，並分別對日內套利行為與每日套利行為進行探討，以OLS迴歸分析。我們可以由實證結果得出幾個結論，第一，在每日套利行為中，套利次數和每次套利報酬率存在小時效應，且每次套利報酬率與距到期日天數和點差有關。第二，在每日套利行為中，日套利平均報酬率有星期效應且受日成交量影響。而日套利次數有星期效應且受距到期日天數影響。　　The paper wants to study the arbitrage behavior for TAIEX index futures and TAIEX options in Taiwan derivatives market. We used the second data from January, 2010 to December, 2010 to analyze the intraday arbitrage behavior and the daily arbitrage behavior by OLS regression. The empirical results indicated the followings: First, both the arbitrage frequency and the rate of each arbitrage returns had first hour effect, and the rate of each arbitrage returns affected by the time to maturity and spreads in intraday arbitrage behavior. Second, the average rate of daily arbitrage returns had weekday effect and affected by the daily volume and the daily arbitrage frequency had weekday effect and affected by the time to maturity.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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