臺灣博碩士論文加值系統

本文對台灣現行股票以及股價指數的放空管道分別就法令限制與成本予以探討。在個股放空管道方面，由於金管會大力改革，使得大部分不合時宜的舊法規限制都有了開放，無論是平盤以下不得放空，或是融券、借券的理由規範，都有開放性的改革，而金管會的改革猶在持續中，本文目前歸納出的現況，或許在短時間之內又會有一翻新面貌出現；本文也對個股各放空管道之成本做了統整。
就股價指數而言，本文就台股期貨與台指選擇權的交易制度、法規與成本作一檢視。然而，由於加權股價指數包含600多檔發行量差距極大的股票，所以在現貨市場根本就沒有現貨可供買賣，這也使得是否能夠就無套利關係式去複製股價指數或複製放空股價指數有了疑問。指數期貨持有成本理論、指數買賣權平價理論以及指數買賣權期貨平價理論是否適用於台灣股市?本文以台灣股市2005年1月到5月到期的股價指數期貨與股價指數選擇權的每筆交易資料作實證，獲得了以下的論述：

台股期貨的確反映出基差中市場對指數未來的預期，而不僅是無風險報酬
台指選擇權反映出指數期貨的價格，而不是指數本身的價格

論文摘要 2
第一章 緒論 3
第二章 文獻回顧 6
第三章 個股放空管道 8
第一節 融券 8
第二節 借券 15
第三節 股票選擇權 20
第四章 股價指數放空管道 27
第一節 股價指數商品 27
第二節 台股指數期貨 27
第三節 台指選擇權 29
第五章 無套利關係式 33
第一節 無套利關係式 33
第二節 期貨持有成本理論 38
第三節 買賣權平價理論 47
第四節 買賣權期貨平價理論 53
第五節 指數複製成本分析 56
第六章 結論 59
參考文獻 65
附錄 68

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