在傳統指數期貨套利的實證研究中,大多利用持有成本模型求算出期貨理論,藉由實際的期貨價 格偏誤作為套利執行的準則,由於期貨理論價格必須高於期貨價格,通常只有反向買進套利機會 的存在,缺乏正向買進套利機會,其套利來回操作缺乏明確的交易策略,而且套利部位必須持有 至到期日。 本研究以香港期貨交易所上市的恆生指數期貨作為研究對象,在各種風險與假定的交易成本區間 的考量下,分析基套利機會發生之頻率、獲利幅度以及平倉策略之運用。本研究根據市場實際狀 況分析套利交易所面臨的風險與限制,假定指數期貨與現貨間基差套利的成本區間,當基差負值 在成本區間以下,可藉由正向買進套利策略來進行套利交易;反之,當基差正值在成本區間之上, 套利者可將原先部位提前平倉,並且執行反向買進套利策略,並探討實證之結果: 1.在本研究的方法結構下,指數期貨確實存在基差套利機會,且正向與反向買進套利策略能相互 運用,且交易策略相當明確。 2.套利者可以藉由正向(反向)買進套利策略提前平倉或進行換倉交易以維持利潤水準。 3.在估算的基差無套利區間情況下,HKFE恆生指數期貨的平均獲利能力為4,400~5,500元港幣不 等(每一口合約)。

Most of previous empirical studies of index futures arbitrage emphasized on "cost-of carry model", which serves futures mispricing as a principle of arbitrage . Generally, theoretical futures prices should be higher than spot prices, and there are more opportunities of cash and carry arbitrage than those of reverse cash and carry arbitrage. We need a definite trading strategy for arbitrage. For empirical study, Hang Seng index futures traded on Hong Kong Futures Exchange (HKFE) is selected. Under consideration of all exposures and hypothetical costs, the frequency of basis arbitrage, profitability and offsetting strategies are analyzed. This article constructs an arbitrage-free interval according to exposures and limits of actual transaction. When actual basis is below the lower boundary of arbitrage-free interval, we can take "cash and carry arbitrage" strategy; on the other hand, we acn take "reverse cash and carry arbitrage" strategy. For empirical study, there are following findings: 1.There are exactly opportunities for basis arbitrage, including "cash and carry " and "reverse cash and carry " arbitrage. 2.Arbitrageurs can offset their positions by early-unwindings and roll-overs to promote performance. 3.Under hypothetical costs, the average profitability is about HK$4,400~HK$5,500 (per contract).