本論文運用Markowitz的投資組合理論模式，針對台灣期貨市場上第一個期貨契約-台股指數期貨進行指數套利的實證研究。
首先，我們使用每5分鐘的日內資料觀察套利機會存在與否，再運用Markowitz的投資組合理論模式，在現貨市場中建構一個套利投資組合用以模擬台灣證交所加權股價指數，最後則以開、收盤的資料對指數套利的獲利結果進行實證研究。
本論文的研究期間是從民國87年7月21日到民國88年4月21日，本論文的結論如下:
1. 在研究期間中，開、收盤的套利機會約有28%。
2. 在每5分鐘的日內資料中，其套利機會則與當日開、收盤的套利機會息息相關。
3. 本論文所選取的套利投資組合約含20支左右的股票，其與市場指數的相關程度頗高，相關係數約在94%到96%之間。
4. 在研究期間中，平均的年度化套利報酬約為52.27%。

Abstract
This paper applies Markowitz''s "Mean-Variance" methodology to construct a portfolio mimicking the TSE (Taiwan Stock Exchange) Capital Weighted Index. Five-minute tick-by-tick data is used to detect the frequencies of arbitrage opportunity, but only the closing and opening data is used to empirically investigate the profitability of a buy-and-holding arbitrage trading.
Our researching period is from July 21,1998 through April 21,1999. The conclusions in this paper are as follows:
1. Arbitrage opportunities occur at either stock market opening or closing time for 28% of time during our researching period.
2. Intraday arbitrage opportunities are highly related to that of opening and closing time.
3. The arbitrage portfolio that we selected in this paper contains about 18 to 23 stocks, which can fluctuate around the underlying index and they are highly correlation. The correlation coefficient between arbitrage portfolio and stock market is about 94% to 96%.
4. The average annual return ratio of arbitrage trading is about 52.27% during our researching period.

ABSTRACTI
TABLE OF CONTENTSII
LIST OF TABLESIV
LIST OF FIGURESV
CHAPTER 1PURPOSE AND ORGANIZATION1
I. INTRODUCTION1
I.A. Researching Motive1
I.B. Researching Purpose3
II. ORGANIZATION OF THIS PAPER AND RESEARCHING PROGRAM4
II.A. Organization of this Paper4
II.B. Researching Program5
CHAPTER 2REVIEW OF THE LITERATURE6
I. TAIEX INDEX FUTURES6
I.A. Development of Taiwan Futures Market6
I.B. Current Situation of Taiwan Sock Market8
I.C. TAIEX Index Futures10
I.D. Current Situation of TAIEX Index Futures14
II. THE PRICING OF STOCK INDEX FUTURES17
II.A. Cost-of-Carry model (The Perfect Markets Model)17
II.B. The Imperfect Market Model (With Transaction Costs)20
III. STOCK INDEX FUTURES ARBITRAGE IN EMPIRICAL RESEARCHES25
III.A. The Price of Stock Index Futures isn''t equal to its Theoretical Price25
III.B. The Frequency of Arbitrage Opportunities28
IV. THE WAYS TO SIMULATE STOCK INDEX29
IV.A. Stratification and Sampling Model30
IV.B. Optimization Model30
IV.C. Meade and Salkin Model31
IV.D. Markowitz Model33
CHAPTER 3METHODOLOGY35
I. LIMITATION AND ASSUMPTION OF THE STUDY35
I.A. Limitation of the Study35
I.B. Assumption of the Study38
I.C. The Data39
II. RESEARCHING METHODOLOGY40
II.A. Estimating No-Arbitrage Bounded Interval40
II.B. Arbitrage Portfolio Selection46
II.C. Empirical Research on Arbitrage53
CHAPTER 4RESULTS OF THE EMPIRICAL RESEARCH ON ARBITRAGE55
I. NO-ARBITRAGE BOUNDED INTERVAL OF TAIEX INDEX FUTURES55
I.A. Estimating Transaction Costs55
I.B. Estimating Discrete Dividend56
I.C. Estimating no-arbitrage bounded interval at 9 o''clock and 12 o''clock58
I.D. Empirical result of intraday prices using five-minute tick-by-tick data65
II. ARBITRAGE PORTFOLIO SELECTION66
II.A. Selecting Arbitrage Portfolio66
II.B. Effectiveness of Arbitrage Portfolios72
III. EMPIRICAL RESEARCH ON ARBITRAGE73
CHAPTER 5SUMMARY AND CONCLUSIONS77
I. CONCLUSIONS77
I.A. Arbitrage Opportunity exists or not77
I.B. Arbitrage Portfolio Selection78
I.C. Effectiveness of Arbitrage Trading79
II. SUGGESTION80
II.A. Suggestion for Researchers80
II.B. Suggestion for Financial Institutions81
REFERENCES82

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