(3.235.108.188) 您好!臺灣時間:2021/02/26 17:49
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:許淑鈴
研究生(外文):Shu-Ling Hsu
論文名稱:台灣證交所加權股價指數期貨套利之實證研究:投資組合理論模式
論文名稱(外文):An Empirical Study of Index Arbitrage Profitability in Taiwan Futures Market: A Portfolio Theory Approach
指導教授:王明隆王明隆引用關係
學位類別:碩士
校院名稱:國立成功大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:英文
論文頁數:86
中文關鍵詞:指數套利投資組合
外文關鍵詞:Index ArbitragePortfolio Theory
相關次數:
  • 被引用被引用:13
  • 點閱點閱:193
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
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
English:
1. Andrews, C., D. Ford, and K. Mallison, 1986, The Design of Index Funds and Alternative Methods of Replication, The Investment Analysis, October, 16-23.
2. Benninga, Simon, and Aris Protopapadakis, 1994, Forward and Futures Prices with Markovian Interest-Rate Processes, Journal of Business 67, 401-421.
3. Bhatt, Swati, and Nusret Cakici, 1990, Premiums on Stock Index Futures-Some Evidence, The Journal of Futures Markets 10, 367-375.
4. Billingsley, R., and D. Chance, 1988, The Pricing and Performance of Stock Index Futures Spreads, The Journal of Futures Markets 8, 303-318.
5. Brenner, Menachem, Marti G. Subrahmanyam, and Jun Uno, 1989, The Behavior of Prices in the Nikkei Spot and Futures Market, Journal of Financial Economics 23, 363-383.
6. Brenner, Menachem, Marti G. Subrahmanyam, and Jun Uno, 1990, The Japanese Stock Index Futures Markets: The Early Experience,Japanese Capital Markets: Analysis and Characterics of Equity, Debt, and Financial Futures Markets, Haper and Row, New York, 301-334.
7. Brenner, Menachem, Marti G. Subrahmanyam, and Jun Uno, 1990, Arbitrage Opportunities in the Japanese Stock and Futures Markets, Financial Analysis Journal, March-April, 14-24.
8. Cakici, Nusret, and Sris Chatterjee, 1991, Pricing Stock Index Futures with Stochastic Interest Rates, The Journal of Futures Markets 11, 441-452.
9. Chang, Carolyn W., and Jack S. K. Chang, 1990, Forward and Futures Prices: Evidence from the Foreign Exchange Markets, The Journal of Finance 45, 1333-1336.
10. Chopra, Vijay K., and William T. Ziemba, 1993, The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice, Journal of Portfolio Management 19, 6-11.
11. Chung, Y. Peter, 1991, A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability, The Journal of Finance 46,1791-1809.
12. Cornell, Bradford, 1985, Taxes and the Pricing of the Stock Index Futures: Empirical Results, The Journal of Futures Markets 5, 89-101.
13. Cornell, Bradford, and Kenneth R. French, 1983, The Pricing of Stock Index Futures, The Journal of Futures Markets 3, 1-14.
14. Cornell, Bradford, and Kenneth R. French, 1983, Taxes and the Pricing of Stock Index Futures, The Journal of Finance 38, 675-694.
15. Cornell, Bradford, and Marc R. Feinganum, 1981, Forward and Futures Prices: Evidence from the Foreign Exchange Markets, The Journal of Finance 36, 1035-1045.
16. Cox, John C., Jonathan E. Ingersoll, Jr., and Stephen A. Ross, 1981, The Relation between Forward Prices and Futures Prices, Journal of Financial Economics, 321-346.
17. Elton, Edwin J., and Martin J. Gruber, 1995, Modern Portfolio Theory and Investment Analysis, 5th Edit. New York: John Wiley and Sons.
18. Elton, Edwin J., Martin J. Gruber, and Thomas J. Urich, 1978, Are Betas Best? , The Journal of Finance 33, 1375-.
19. Figlewski, Stephen, 1984, Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium, Financial Analysts Journal, July-August, 43-47.
20. Gastineau, Gary, and Albert Madansky, 1983, S&P 500 Stock Index Futures Evaluation Tables, Financial Analysis Journal, November-December, 68-76.
21. Hill, Joanne M., Anshuman Jain, and Robert A. Wood, Jr., Insurance: Volatility Risk and Futures Mispricing, Journal of Portfolio Management 14, 23-29.
22. Kawaller, Ira G., Paul D. Koch, and Timothy W. Koch, 1987, The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index, The Journal of Finance 42, 1309-1329.
23. Kawaller, Ira G., 1991, Determining the Relevant Fair Value(s) of S&P 500 Futures: A Case Study Approach, The Journal of Futures Markets 11, 453-460.
24. Klemkosky, Robert C., and Jae Ha Lee, 1991, The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage, The Journal of Futures Markets 11, 291-311.
25. MacKinlay, Craig, and Krishna Ramaswamy, 1988, Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices, The Review of Financial Studies 1, 137-158.
26. Markowitz, Harry, 1952, Portfolio Selection, The Journal of Finance, 77-91.
27. Markowitz, Harry, 1987, Mean-Variance Analysis in Portfolio Choice and Capital Markets, 1st Edit. Basil Blackwell Ltd New York.
28. Meade, N., G. R. Salkin, 1989, Index Funds-Construction and Performance Measurement, Journal of Operational Research 40, 871-879.
29. Merrick, Jr., John J., 1989, Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs: Analysis and Implications for Predicting Expiration Day Effects, The Journal of Futures Markets 9, 101-111.
30. Modest, David M., 1984, On the Pricing of Stock Index Futures, Journal of Portfolio Management 10, 51-57.
31. Modest, David M., and Mahadevan Sundaresan, 1983, The Relationship between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence, The Journal of Futures Markets 3, 15-41.
32. Rudd, A., 1980, Optimal Selection of Passive Portfolios, Financial Management, Spring, 57-66.
33. Saunders, Jr., Edward M., and Arvind Mahajan, 1988, An Empirical Examination of Composite Stock Index Futures Pricing, The Journal of Futures Markets 8, 211-228.
34. Yadav, Pradeep K., and Peter F. Pope, 1990, Stock Index Futures Arbitrage: International Evidence, The Journal of Futures Markets 10, 573-603.
Chinese:
1. Chen, Chris W., 1997, Stock Index Futures Arbitrage in Taiwan, Unpublished Graduation Thesis, Graduate Institute of Business Administration, National Taiwan University.
2. Ho, Tzung-Lin, 1998, The Pricing of Stock Index Futures and Index Arbitrage: An Empirical Study of SIMEX MSCI Taiwan Index Futures, Unpublished Graduation Thesis, Graduate Institute of International Business, National Cheng Kung University.
3. Hsu, Ching Chien, 1994, The Construction and Performance Measurement of Taiwan Stock Index Fund, Unpublished Graduation Thesis, Graduate Institute of Finance, National Sun Yat-Sen University.
4. Kao, Shih-Tung , 1998, Constructing Index Fund: Using Markowitz''s Mean-Variance Theory, Graduate Institute of Business Administration, National Cheng Kung University.
5. Lai, Vincent, 1996, Mean-Variance Portfolio Theory Empirical Research on Taiwan Stock Market, Unpublished Graduation Thesis, Graduate Institute of Business Administration, National Cheng Kung University.
6. Lin, Wen-Cheng, and Tzang, Dah-nein, 1996, A Study on Pricing and Arbitrage Opportunities of Stock Index Futures in Taiwan, Review of Securities and Futures Markets 8, 1-31.
7. Tzeng, Wen Hwang, 1997, The Analysis and Simulation of Stock Index Futures, Unpublished Graduation Thesis, Graduate Institute of Accounting, National Cheng Kung University.
8. Ueng, Shen-Shih, 1994, The Characteristic and Design of Taiwan Stock Index Fund, Unpublished Graduation Thesis, Graduate Institute of Finance, National Taiwan University.
9. Wu, A Chou, 1995, The Analysis of Nikkei 225 Index Futures Markets'' Efficiency and Arbitrage Opportunity, Unpublished Graduation Thesis, Graduate Institute of Finance, Fu-Jen Catholic University.
10. Wu, Yung-Hsing, 1996, The Construction and Empirical Study of Stock Index Fund: Applying Mean-Variance Model, Unpublished Graduation Thesis, Graduate Institute of Industrial Management Science, National Cheng Kung University.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔