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題名 摩根台股指數期貨套利策略之研究
Arbitrage Strategies of MSCI Taiwan`s Stock Index Futures
作者 繆文娟
Miao, Wen-Chuan
貢獻者 顏錫銘
Yen,S.H.
繆文娟
Miao,Wen-Chuan
關鍵詞 套利
期貨
台股指數
Arbitrage
Futures
Stock Index
日期 1998
上傳時間 21-四月-2016 17:06:13 (UTC+8)
摘要 本研究鑑於八十六年一月上市的摩根台股指數期貨，市場價格與理論價格發生頗大幅度的乖離，故以日成交量資料綜觀此市場實際狀況後，擷取最近月和部份次近月的五分鐘資料進行實證研究。
This paper is induced by the serious mispricing of MSCI Taiwan index futures,listed in January 1997. The empirical evidence is based on five minutes intraday data of nearby and far nearest futures contracts.
參考文獻 中文部份：
王隆盛, 運用啟發式演算法於股價指數套利投資組合模式之建立,
交通大學資訊管理研究所未出版碩士論文,民國86年。
林文政、臧大年, 台股指數期貨定價與套利實務問題探討,國科會研究
計劃 NSC-84-2416-H-194-004 A3,民國85年。
李存修, 指數型基金,股價指數期貨與股票市場間的互動關係,證券分
析簡訊,民國83年。
吳雲龍, 台股指數套利研究,台灣大學財務金融學研究所未出版碩士
論文,民國87年。
陳其緯, 台股指數期貨套利之實證分析,台灣大學商學研究所未出版
碩士論文,民國86年。
英文部份：
Andrews,C.W., Ford,D.,and Mallison,K.,“The Design of Index Fund and Alternative Methods of Replication.” The Investment Analyst,
Vol.82, 1986 ,pp13-16.
Antoniou,A.,and Holmes,P.“Futures market efficiency, the unbiasedness hypothesis and variance-bounds tests”, Bulletin of Economic
Research, Apr, 1996 ,pp115-128.
Board,J.,and Sutcliffe,C. “The dual listing of stock index futures : Arbitrage,Spread arbitrage,and currency risk”, The Journal of Futures
Markets,Vol.16,No.1, 1996 ,pp29-54.
Brennan,M.J.,and Schwartz,E.S.,“Arbitrage in Stock Index Futures”,
Journal of Business,Vol.63,No.1, 1990 ,S7-S31.
Brenner,M., Subrahmanyam,M.G.,and Uno,J.,“Arbitrage Opportuni-ties in the Japanese Stock and Futures Markets”, Financial Analysts
Journal,March-April, 1990 ,pp14-24.
Bühler,W.,and Kempf,A.,“Dax index futures : Mispricing and arbitrage in German markets”, The Journal of Futures Markets, Vol.15, No.7,
1995 ,pp833-859.
Chung,P.Y.,“A Transaction Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, The Journal of Finance,
Vol.46,No.5,December, 1991 ,pp1791-1809.
Chung,P.Y.,and Chan,K.,“Intraday Relationships among Index Arbitrage ,Spot and Futures Prices Volatility,and Spot Market Volume:A Transaction Data Test”, Jounal of Banking and Finance,
Vol.17, 1993 ,pp663-687.
Cornell,B., “Taxes and the Pricing of Stock Index Futures:Empirical
Results”,The Jounal of Futures Market,Vol.5,No.1, 1985 ,pp89-101.
Cornell,B.,and French,K.R., “Taxes and the Pricing of Stock Index
Futures”,The Journal of Finance, Vol.38, 1983 ,pp675-694.
Cox,J.C., Ingersoll,J.E.,and Ross,S.A., “The Relation between Forward
Prices and Futures Prices”, Journal of Financial Economics,
Vol.9,No.4,December, 1981 ,pp.321-346.
Eytan,T.H.,and Harpaz,G., “The Pricing of Futures and Options Contracts on Value Line Index”, The Journal of Finance, Vol.41,
No.4,September, 1986 ,pp843-855.
Figlewski,S., “Hedging Performance and Basis Risk in Stocks Index Futures: Empirical Results”, The Journal of Finance, Vol.39, 1984 ,
pp657-669.
Figlewski,S., “Explaining the Early Discounts on Stock Index Futures:The Case for Disequilibrium”, Financial Analysts Journal ,
July-August, 1984 ,pp43-47.
Harris,L., Sofianos,G.,and Shapiro,J.E., Program Trading and
Intraday Volatility ,NYSE Working Paper #90-03,March,1990,51pp.
Hemler,M.L.,and Longstaff,F.A., “General Equilibrium Stock Index Futures Prices:Theory and Empirical Evidence, Journal of Financial and Quantitative Analysis,Vol.26,No.3,September, 1991 ,pp287-308.
Kempf,A. “Short Selling,Unwinding,and Mispricing”,The Jounal of
Futures Market,Vol.18,No.8, 1998 ,pp903-923.
Klemkosky,R.C.,and Lee,J.H., “The Intraday Ex Ante Profitability of Index Arbitrage”, The Jounal of Futures Market,Vol.11,No.3, 1991 ,
pp291-311.
Kuserk,G.J.,Locke,P.R.,and Sayers,C.L.“The Effects of Amendments to Rule 80a Liquidity,Volatility and Price Efficiency in the S&P500 Futures”, The Jounal of Futures Market,Vol.12,No.4, 1992 , pp383-
409.
Mackinlay,A.C. ,and Ramaswamy,K. “Indea-Futures Arbitrage and the Behavior of Stock Index Futures Prices”, The Review of
Financial Studies,Vol.1,No.2, 1988 ,pp137-158.
Meade,N.,and Salkin,G.R., “Index Fund Construction and Performance Measurement”, Journal of Operational Research Society,
Vol.40, 1989 ,pp871-879.
Merrick,J.J., “Early Unwinding and Rollovers of Stock Index Futures Arbitrage programs:Analysis and Implications for Predicting Expiration Day Effect”, The Jounal of Futures Market,Vol.9,No.2,
1989 ,pp101-111.
Miller,M.H., “Volatility,Episodic Volatility and Coordinated Circuit Breakers”, Pasific Basin Capital Market Research,Vol.3, 1992 ,
pp11-21.
Miller,M.H., Muthuswamy,J.,and Whaley,R.E., “Mean Reversion of Standard & Poor’s 500 Index Basis Changes:Arbitrage-induced or Statistical Illusion”, The Journal of Finance, Vol.49,No.2 June,
1994 , pp479-513.
Modest,D.M.,and Sundaresan,M, “The Relationship between Spot and Futures Prices in Stock Index Futures Markets:Some Preliminary Evidence”, The Jounal of Futures Market,Vol.3,No.1,
1983 ,pp15-41.
Roll,R., “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market”, The Journal of Finance, Vol.39, 1984 ,
pp1127-1139.
Rudd,A., “Optimal Selection of Passive Portfolios”,Financial
Management,Spring, 1980 ,pp57-66.
Shyy,G., Vijayraghavan,V., Scott-Quinn,B., “A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France”,
The Jounal of Futures Market,Vol.16,No.4, 1996 ,pp405-420.
Sofianos,G., “Index Arbitrage Profitability”, The Journal of Derivatives,
Vol.1, 1993 ,pp6-20.
Stoll,H.R.,and Whaley,R.E., “The Dynamics of Stock Index and Stock Index Futures Returns”, Journal of Financial and Quantitative
Analysis,Vol.25,No.4,December, 1990 ,pp441-468.
Stoll,H.R.,and Whaley,R.E., “Stock Market Structure and Volatility”,
The Review of Financial Studies, Vol.3, No.1, 1990 ,pp37-71.
Sutcliffe,C.M.S., Stock Index Futures:Theories and International
Evidence, Chapman and Hall, First edition, 1993 , pp69-130.
Theobald,M., Yallup,P. “ Settlement,tax and non-synchronous effects in the basis of U.K. stock index futures”, Journal of Banking &
Finance, Vol 20, 1996 ,pp1509-1530.
Twite,G.J., SPI Futures Contracts:Effect of Stochastic Interest Rates ,Australian Graduate School of Management,University of
New South Wales,Working Paper 90-011,March, 31pp.
Yadav,P.K., Pope,P.F., “ Stock Index Futures Arbitrage:International Evidence”,The Jounal of Futures Market,Vol.10,No.6, 1990 ,pp573-
603.
Yadav,P.K., Pope,P.F., “ Stock Index Futures Mispricing : Profit Opportunities or Risk Premia?, Journal of Banking & Finance,
Vol.18, 1994 ,pp921-953.
描述 碩士
國立政治大學
財務管理研究所
85357011
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001503
資料類型 thesis
dc.contributor.advisor 顏錫銘zh_TW
dc.contributor.advisor Yen,S.H.en_US
dc.contributor.author (作者) 繆文娟zh_TW
dc.contributor.author (作者) Miao,Wen-Chuanen_US
dc.creator (作者) 繆文娟zh_TW
dc.creator (作者) Miao, Wen-Chuanen_US
dc.date (日期) 1998en_US
dc.date.accessioned 21-四月-2016 17:06:13 (UTC+8)-
dc.date.available 21-四月-2016 17:06:13 (UTC+8)-
dc.date.issued (上傳時間) 21-四月-2016 17:06:13 (UTC+8)-
dc.identifier (其他 識別碼) B2002001503en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85932-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 85357011zh_TW
dc.description.abstract (摘要) 本研究鑑於八十六年一月上市的摩根台股指數期貨，市場價格與理論價格發生頗大幅度的乖離，故以日成交量資料綜觀此市場實際狀況後，擷取最近月和部份次近月的五分鐘資料進行實證研究。zh_TW
dc.description.abstract (摘要) This paper is induced by the serious mispricing of MSCI Taiwan index futures,listed in January 1997. The empirical evidence is based on five minutes intraday data of nearby and far nearest futures contracts.en_US
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001503en_US
dc.subject (關鍵詞) 套利zh_TW
dc.subject (關鍵詞) 期貨zh_TW
dc.subject (關鍵詞) 台股指數zh_TW
dc.subject (關鍵詞) Arbitrageen_US
dc.subject (關鍵詞) Futuresen_US
dc.subject (關鍵詞) Stock Indexen_US
dc.title (題名) 摩根台股指數期貨套利策略之研究zh_TW
dc.title (題名) Arbitrage Strategies of MSCI Taiwan`s Stock Index Futuresen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部份：
王隆盛, 運用啟發式演算法於股價指數套利投資組合模式之建立,
交通大學資訊管理研究所未出版碩士論文,民國86年。
林文政、臧大年, 台股指數期貨定價與套利實務問題探討,國科會研究
計劃 NSC-84-2416-H-194-004 A3,民國85年。
李存修, 指數型基金,股價指數期貨與股票市場間的互動關係,證券分
析簡訊,民國83年。
吳雲龍, 台股指數套利研究,台灣大學財務金融學研究所未出版碩士
論文,民國87年。
陳其緯, 台股指數期貨套利之實證分析,台灣大學商學研究所未出版
碩士論文,民國86年。
英文部份：
Andrews,C.W., Ford,D.,and Mallison,K.,“The Design of Index Fund and Alternative Methods of Replication.” The Investment Analyst,
Vol.82, 1986 ,pp13-16.
Antoniou,A.,and Holmes,P.“Futures market efficiency, the unbiasedness hypothesis and variance-bounds tests”, Bulletin of Economic
Research, Apr, 1996 ,pp115-128.
Board,J.,and Sutcliffe,C. “The dual listing of stock index futures : Arbitrage,Spread arbitrage,and currency risk”, The Journal of Futures
Markets,Vol.16,No.1, 1996 ,pp29-54.
Brennan,M.J.,and Schwartz,E.S.,“Arbitrage in Stock Index Futures”,
Journal of Business,Vol.63,No.1, 1990 ,S7-S31.
Brenner,M., Subrahmanyam,M.G.,and Uno,J.,“Arbitrage Opportuni-ties in the Japanese Stock and Futures Markets”, Financial Analysts
Journal,March-April, 1990 ,pp14-24.
Bühler,W.,and Kempf,A.,“Dax index futures : Mispricing and arbitrage in German markets”, The Journal of Futures Markets, Vol.15, No.7,
1995 ,pp833-859.
Chung,P.Y.,“A Transaction Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, The Journal of Finance,
Vol.46,No.5,December, 1991 ,pp1791-1809.
Chung,P.Y.,and Chan,K.,“Intraday Relationships among Index Arbitrage ,Spot and Futures Prices Volatility,and Spot Market Volume:A Transaction Data Test”, Jounal of Banking and Finance,
Vol.17, 1993 ,pp663-687.
Cornell,B., “Taxes and the Pricing of Stock Index Futures:Empirical
Results”,The Jounal of Futures Market,Vol.5,No.1, 1985 ,pp89-101.
Cornell,B.,and French,K.R., “Taxes and the Pricing of Stock Index
Futures”,The Journal of Finance, Vol.38, 1983 ,pp675-694.
Cox,J.C., Ingersoll,J.E.,and Ross,S.A., “The Relation between Forward
Prices and Futures Prices”, Journal of Financial Economics,
Vol.9,No.4,December, 1981 ,pp.321-346.
Eytan,T.H.,and Harpaz,G., “The Pricing of Futures and Options Contracts on Value Line Index”, The Journal of Finance, Vol.41,
No.4,September, 1986 ,pp843-855.
Figlewski,S., “Hedging Performance and Basis Risk in Stocks Index Futures: Empirical Results”, The Journal of Finance, Vol.39, 1984 ,
pp657-669.
Figlewski,S., “Explaining the Early Discounts on Stock Index Futures:The Case for Disequilibrium”, Financial Analysts Journal ,
July-August, 1984 ,pp43-47.
Harris,L., Sofianos,G.,and Shapiro,J.E., Program Trading and
Intraday Volatility ,NYSE Working Paper #90-03,March,1990,51pp.
Hemler,M.L.,and Longstaff,F.A., “General Equilibrium Stock Index Futures Prices:Theory and Empirical Evidence, Journal of Financial and Quantitative Analysis,Vol.26,No.3,September, 1991 ,pp287-308.
Kempf,A. “Short Selling,Unwinding,and Mispricing”,The Jounal of
Futures Market,Vol.18,No.8, 1998 ,pp903-923.
Klemkosky,R.C.,and Lee,J.H., “The Intraday Ex Ante Profitability of Index Arbitrage”, The Jounal of Futures Market,Vol.11,No.3, 1991 ,
pp291-311.
Kuserk,G.J.,Locke,P.R.,and Sayers,C.L.“The Effects of Amendments to Rule 80a Liquidity,Volatility and Price Efficiency in the S&P500 Futures”, The Jounal of Futures Market,Vol.12,No.4, 1992 , pp383-
409.
Mackinlay,A.C. ,and Ramaswamy,K. “Indea-Futures Arbitrage and the Behavior of Stock Index Futures Prices”, The Review of
Financial Studies,Vol.1,No.2, 1988 ,pp137-158.
Meade,N.,and Salkin,G.R., “Index Fund Construction and Performance Measurement”, Journal of Operational Research Society,
Vol.40, 1989 ,pp871-879.
Merrick,J.J., “Early Unwinding and Rollovers of Stock Index Futures Arbitrage programs:Analysis and Implications for Predicting Expiration Day Effect”, The Jounal of Futures Market,Vol.9,No.2,
1989 ,pp101-111.
Miller,M.H., “Volatility,Episodic Volatility and Coordinated Circuit Breakers”, Pasific Basin Capital Market Research,Vol.3, 1992 ,
pp11-21.
Miller,M.H., Muthuswamy,J.,and Whaley,R.E., “Mean Reversion of Standard & Poor’s 500 Index Basis Changes:Arbitrage-induced or Statistical Illusion”, The Journal of Finance, Vol.49,No.2 June,
1994 , pp479-513.
Modest,D.M.,and Sundaresan,M, “The Relationship between Spot and Futures Prices in Stock Index Futures Markets:Some Preliminary Evidence”, The Jounal of Futures Market,Vol.3,No.1,
1983 ,pp15-41.
Roll,R., “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market”, The Journal of Finance, Vol.39, 1984 ,
pp1127-1139.
Rudd,A., “Optimal Selection of Passive Portfolios”,Financial
Management,Spring, 1980 ,pp57-66.
Shyy,G., Vijayraghavan,V., Scott-Quinn,B., “A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France”,
The Jounal of Futures Market,Vol.16,No.4, 1996 ,pp405-420.
Sofianos,G., “Index Arbitrage Profitability”, The Journal of Derivatives,
Vol.1, 1993 ,pp6-20.
Stoll,H.R.,and Whaley,R.E., “The Dynamics of Stock Index and Stock Index Futures Returns”, Journal of Financial and Quantitative
Analysis,Vol.25,No.4,December, 1990 ,pp441-468.
Stoll,H.R.,and Whaley,R.E., “Stock Market Structure and Volatility”,
The Review of Financial Studies, Vol.3, No.1, 1990 ,pp37-71.
Sutcliffe,C.M.S., Stock Index Futures:Theories and International
Evidence, Chapman and Hall, First edition, 1993 , pp69-130.
Theobald,M., Yallup,P. “ Settlement,tax and non-synchronous effects in the basis of U.K. stock index futures”, Journal of Banking &
Finance, Vol 20, 1996 ,pp1509-1530.
Twite,G.J., SPI Futures Contracts:Effect of Stochastic Interest Rates ,Australian Graduate School of Management,University of
New South Wales,Working Paper 90-011,March, 31pp.
Yadav,P.K., Pope,P.F., “ Stock Index Futures Arbitrage:International Evidence”,The Jounal of Futures Market,Vol.10,No.6, 1990 ,pp573-
603.
Yadav,P.K., Pope,P.F., “ Stock Index Futures Mispricing : Profit Opportunities or Risk Premia?, Journal of Banking & Finance,
Vol.18, 1994 ,pp921-953.		zh_TW