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題名 SIMEX摩根台股指數期貨與期貨選擇權日內定價效率性之研究
作者 林萬里
Lin, Money W.L.
貢獻者 顏錫銘 ; 黃國誠
林萬里
Lin, Money W.L.
關鍵詞 期貨
選擇權
摩根台股指數
定價
效率性
套利
SIMEX
future
option
arbitrage
pricing
efficiency
MSCI
日期 1998
上傳時間 20-四月-2016 16:47:05 (UTC+8)
摘要 　　本篇研究利用期貨與買賣權平價模式，考慮持有成本後，針對每一筆樣本，建立其無套利區間的上下限，並將投資人分類為自然人與法人，分析兩者在SIMEX台股期貨與期貨選擇權市場中，使用持有到期買進與賣空套利策略之獲利情形，以分析SIMEX台股指數期貨與期貨選擇權市場兩者間之日內定價效率性。研究期間從摩根台股指數期貨在1997年1月到1998年12月底為止共兩年期間，利用事後檢定(假設馬上成交)與事前檢定(假設交易有時間落差)兩種方法，將期貨與選擇權買賣權三種商品在1分鐘以內配合者，作為研究之樣本。結論如下：
參考文獻 BAE,K.H., K. Chan and Y.L. Cheung,"The Profitability of Index Futures Arbitrage：Evidence from Bid-Ask Quotes," The Journal of Futures Markets, Vol.18,No. 7, 1998,pp. 743-763.
     Ball, C. A., and W. N. Torous,"Futures Options and the Volatility of Futures Prices,Journal of Finance ,Vol.41(4), September 1986, pp.857-870.
     Brenner,M., M.G. Subrahmanyam, and J. Uno,"Arbitrage Opportunities in the Japanese Stock and Futures Markets," Financial Analysts Journal,March-April 1990,pp.14-24.
     Chiang, Raymond, Ho, Richard,and Wong, Eric,"Hang Seng Index Option：The Efficiency of a New Market,"working paper,Chinese University of Hong Kong,1993.
     Chiras, Donald P.,"The Information Content of Option Prices and a Test of Market Efficiency," Journal of Financial Economics , Vol.6,No.2/3, June/Sept. 1978, pp. 213-234.
     Cornell,B., and K. R. French,"Taxes and the Pricing of Stock Index Futures," The Journal of Finance, Vol.38, 1983, pp.675-694.
     Figlewski,S.,"Explaining the Early Discounts on Stock Index Futures：The Case for Disequilibrium," Financial Analysts Journal,July-Auguest 1984,pp.43-47.
     Followill, R. A., and B. P. Helms,"Put-Call-Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts." The Journal of Futures Markets, Vol.10(4),1990, pp.339-352.
     Frans, D. R.,"Put-call parities and the value of early exercise for put options on a performance index," The Journal of Futures Markets,Vol.16,No.1, Feb. 1996,pp. 71-80.
     Frans, D.R. and Chris Veld,"Put-Call Parities and The Value Of Early Exercise For Put Options On A Performance Index," The Journal of Futures Markets, Vol 16, No. 1,1996, pp.71-80.
     Fung ,Joseph K.W. and K. C. Chan,"On The Arbitrage-Free Pricing Relationship Between Index Futures and Index Options：A Note,"The journal of Futures Markets, Vol.14 , 1994, pp.957-962.
     Fung,Joseph K.W., T.W. Louis Cheng, Kam C. Chan,"The Intraday Pricing Efficiency Of Hong Kong Hang Seng Index Option And Futures Markets," The Journal of Futures Markets, Vol.17, 1997, pp.797-815.
     Gould,J.P.,and Dan Galai.,"Transactions Costs and the Relationship Between Put and Call Prices," Journal of Financial Economics,Vol.1,No,2,July 1974,pp.107-129.
     Jordan, J. V., and W. E. Seale,"Transactions Data Tests of Minimum Prices and Put-Call Parity for Treasury Bond Futures Options,"Advances in Futures and Options Research, 1,Part A, 1986, pp.63-87.
     Lee,J. H. and N. Nayar,"A Transactions Data Analysis of Arbitrage between Index Options and Index futures," The Journal of Futures Markets, Vol.13,No. 8, 1993, pp.889-902.
     Mackinlay,A.C. and K. Ramaswamy,"Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices," Riview of Financial Studies,Vol.1,No.2,Summer 1988,pp.137-158.
     Merrick,J.J.,"Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs：Analysis and Implication for Predicting Expiration Day Effects," The Journal of Futures Markets,Vol.9,No.2, 1989,pp.101-111.
     Merton,Robert C.,"Theory of Rational Option Pricing," Bell Journal of Economics Management Science,Vol.4,No.1,Spring 1973,pp.141-183.
     Modest, D. M. and M. Sundaresan,"The Relationship Between Spot and Futures Prices in Stock Index Futures Markets：Some Preliminary Evidence," Journal of Futures Markets, Vol.3,No.3, 1983,pp.15-41.
     Sofianos,G.,"Index Arbitrage Profitability," The Journal of Derivatives,Fall 1993,pp.7-20.
     Stephen, A.Easton,"Put-call parity with futures-style margining," Journal of Futures Markets ,Vol. 17,No. 2, Apr. 1997,pp. 215-227 (13 pages).
     Stoll, Hans R.,"Index Futures, Program Trading, and Stock Market Procedures.," Journal of Futures Markets, Vol.8,No.4, Aug. 1988, pp. 391-412 (22 pages).
     Stoll, Hans R.,"The Relationship Between Put and Call Options Prices.," Journal of Finance, Vol.24,No.5,May 1969, pp.319-332.
     Tucker,A. L.,"Financial Futures, Options, and Swaps," West Publishing Company,1991.
     Fleming ,J.,O. Barbara,.and E.W. Robert,"Trading Costs and The Relative Rates Of Price Discovery In Stock, Futures, and Option Markets," The Journal of Futures Markets, Vol. 16, No. 4,1996,pp.353-387.
描述 碩士
國立政治大學
企業管理學系
86355038
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001355
資料類型 thesis
dc.contributor.advisor 顏錫銘 ; 黃國誠zh_TW
dc.contributor.author (作者) 林萬里zh_TW
dc.contributor.author (作者) Lin, Money W.L.en_US
dc.creator (作者) 林萬里zh_TW
dc.creator (作者) Lin, Money W.L.zh_TW
dc.date (日期) 1998en_US
dc.date.accessioned 20-四月-2016 16:47:05 (UTC+8)-
dc.date.available 20-四月-2016 16:47:05 (UTC+8)-
dc.date.issued (上傳時間) 20-四月-2016 16:47:05 (UTC+8)-
dc.identifier (其他 識別碼) B2002001355en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85757-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 86355038zh_TW
dc.description.abstract (摘要) 　　本篇研究利用期貨與買賣權平價模式，考慮持有成本後，針對每一筆樣本，建立其無套利區間的上下限，並將投資人分類為自然人與法人，分析兩者在SIMEX台股期貨與期貨選擇權市場中，使用持有到期買進與賣空套利策略之獲利情形，以分析SIMEX台股指數期貨與期貨選擇權市場兩者間之日內定價效率性。研究期間從摩根台股指數期貨在1997年1月到1998年12月底為止共兩年期間，利用事後檢定(假設馬上成交)與事前檢定(假設交易有時間落差)兩種方法，將期貨與選擇權買賣權三種商品在1分鐘以內配合者，作為研究之樣本。結論如下：zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001355en_US
dc.subject (關鍵詞) 期貨zh_TW
dc.subject (關鍵詞) 選擇權zh_TW
dc.subject (關鍵詞) 摩根台股指數zh_TW
dc.subject (關鍵詞) 定價zh_TW
dc.subject (關鍵詞) 效率性zh_TW
dc.subject (關鍵詞) 套利zh_TW
dc.subject (關鍵詞) SIMEXen_US
dc.subject (關鍵詞) futureen_US
dc.subject (關鍵詞) optionen_US
dc.subject (關鍵詞) arbitrageen_US
dc.subject (關鍵詞) pricingen_US
dc.subject (關鍵詞) efficiencyen_US
dc.subject (關鍵詞) MSCIen_US
dc.title (題名) SIMEX摩根台股指數期貨與期貨選擇權日內定價效率性之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) BAE,K.H., K. Chan and Y.L. Cheung,"The Profitability of Index Futures Arbitrage：Evidence from Bid-Ask Quotes," The Journal of Futures Markets, Vol.18,No. 7, 1998,pp. 743-763.
     Ball, C. A., and W. N. Torous,"Futures Options and the Volatility of Futures Prices,Journal of Finance ,Vol.41(4), September 1986, pp.857-870.
     Brenner,M., M.G. Subrahmanyam, and J. Uno,"Arbitrage Opportunities in the Japanese Stock and Futures Markets," Financial Analysts Journal,March-April 1990,pp.14-24.
     Chiang, Raymond, Ho, Richard,and Wong, Eric,"Hang Seng Index Option：The Efficiency of a New Market,"working paper,Chinese University of Hong Kong,1993.
     Chiras, Donald P.,"The Information Content of Option Prices and a Test of Market Efficiency," Journal of Financial Economics , Vol.6,No.2/3, June/Sept. 1978, pp. 213-234.
     Cornell,B., and K. R. French,"Taxes and the Pricing of Stock Index Futures," The Journal of Finance, Vol.38, 1983, pp.675-694.
     Figlewski,S.,"Explaining the Early Discounts on Stock Index Futures：The Case for Disequilibrium," Financial Analysts Journal,July-Auguest 1984,pp.43-47.
     Followill, R. A., and B. P. Helms,"Put-Call-Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts." The Journal of Futures Markets, Vol.10(4),1990, pp.339-352.
     Frans, D. R.,"Put-call parities and the value of early exercise for put options on a performance index," The Journal of Futures Markets,Vol.16,No.1, Feb. 1996,pp. 71-80.
     Frans, D.R. and Chris Veld,"Put-Call Parities and The Value Of Early Exercise For Put Options On A Performance Index," The Journal of Futures Markets, Vol 16, No. 1,1996, pp.71-80.
     Fung ,Joseph K.W. and K. C. Chan,"On The Arbitrage-Free Pricing Relationship Between Index Futures and Index Options：A Note,"The journal of Futures Markets, Vol.14 , 1994, pp.957-962.
     Fung,Joseph K.W., T.W. Louis Cheng, Kam C. Chan,"The Intraday Pricing Efficiency Of Hong Kong Hang Seng Index Option And Futures Markets," The Journal of Futures Markets, Vol.17, 1997, pp.797-815.
     Gould,J.P.,and Dan Galai.,"Transactions Costs and the Relationship Between Put and Call Prices," Journal of Financial Economics,Vol.1,No,2,July 1974,pp.107-129.
     Jordan, J. V., and W. E. Seale,"Transactions Data Tests of Minimum Prices and Put-Call Parity for Treasury Bond Futures Options,"Advances in Futures and Options Research, 1,Part A, 1986, pp.63-87.
     Lee,J. H. and N. Nayar,"A Transactions Data Analysis of Arbitrage between Index Options and Index futures," The Journal of Futures Markets, Vol.13,No. 8, 1993, pp.889-902.
     Mackinlay,A.C. and K. Ramaswamy,"Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices," Riview of Financial Studies,Vol.1,No.2,Summer 1988,pp.137-158.
     Merrick,J.J.,"Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs：Analysis and Implication for Predicting Expiration Day Effects," The Journal of Futures Markets,Vol.9,No.2, 1989,pp.101-111.
     Merton,Robert C.,"Theory of Rational Option Pricing," Bell Journal of Economics Management Science,Vol.4,No.1,Spring 1973,pp.141-183.
     Modest, D. M. and M. Sundaresan,"The Relationship Between Spot and Futures Prices in Stock Index Futures Markets：Some Preliminary Evidence," Journal of Futures Markets, Vol.3,No.3, 1983,pp.15-41.
     Sofianos,G.,"Index Arbitrage Profitability," The Journal of Derivatives,Fall 1993,pp.7-20.
     Stephen, A.Easton,"Put-call parity with futures-style margining," Journal of Futures Markets ,Vol. 17,No. 2, Apr. 1997,pp. 215-227 (13 pages).
     Stoll, Hans R.,"Index Futures, Program Trading, and Stock Market Procedures.," Journal of Futures Markets, Vol.8,No.4, Aug. 1988, pp. 391-412 (22 pages).
     Stoll, Hans R.,"The Relationship Between Put and Call Options Prices.," Journal of Finance, Vol.24,No.5,May 1969, pp.319-332.
     Tucker,A. L.,"Financial Futures, Options, and Swaps," West Publishing Company,1991.
     Fleming ,J.,O. Barbara,.and E.W. Robert,"Trading Costs and The Relative Rates Of Price Discovery In Stock, Futures, and Option Markets," The Journal of Futures Markets, Vol. 16, No. 4,1996,pp.353-387.		zh_TW