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研究生:胡雅婷
研究生(外文):Hu, Ya-Ting
論文名稱:美元計價台股指數期貨契約規格設計與套利之研究
論文名稱(外文):Research on Contract Specifications and Arbitrage Opportunities of US Dollar-Denominated Taiwan Stock Index Futures
指導教授:林筠林筠引用關係
指導教授(外文):Lin,Yun
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:78
中文關鍵詞:股價指數期貨契約設計套利機會
外文關鍵詞:Stock Index FuturesContract SpecificationsArbitrage Opportunities
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1997年1月9日,新加坡國際金融交易所(SIMEX)推出摩根台股指數期貨,台灣期交所則於民國87年7月21日推出發行量加權台股指數期貨,合計台灣與新加坡兩地的台指期貨交易量,僅佔現貨市場交易量的10%,因此預期未來成長空間仍廣;且在新台幣外匯期貨尚未開放之際,美元台指期貨亦可提供部分匯率期貨之功能,故本研究參考相關文獻與國內外經驗,設計一美元計價之台股指數期貨,並對其可採取之操作策略與獲利機會作一探討。

SIMEX introduced MSCI Taiwan index futures on Jan 9 1997,and TAIMEX introduced Taiwan Stock Exchange Capitalization Weighted Stock Index futures (TAIEX Futures) on Jul 21 1998. The sum of Taiwan index futures trading volumes in Taiwan and Singapore is only 10% of spot market volumes, and we believe that it still has great potential for long-term growth . US dollar-denominated Taiwan stock index futures may act as a partial substitute for NT-dollar foreign exchange futures when NT-dollar foreign exchange futures not be introduced.The main purpose of this study are to discuss the contract specifications and arbitrage opportunities of US dollar-denominated Taiwan stock index futures.

第一章 緒論1
第一節研究背景與研究動機1
第二節研究目的3
第三節研究架構4
第二章 股價指數期貨7
第一節股價指數期貨簡介7
第二節股價指數期貨之沿革10
第三節台股指數期貨之發展11
第三章 指數期貨契約設計之理論與文獻探討19
第一節影響期貨契約成敗的因素19
第二節契約規格20
第三節最小跳動點21
第四節保證金水準23
第五節漲跌幅限制31
第四章 美元計價台指期貨契約設計結果35
第一節契約規格35
第二節最小跳動點37
第三節保證金水準39
第四節漲跌幅限制44
第五章 期貨間套利之探討47
第一節相關理論與文獻47
第二節相同標的期貨契約間價差操作50
第三節匯率價差操作60
第六章 結論與建議66
第一節研究結論66
第二節研究限制與建議68
附錄:台灣期貨交易所股份有限公司台灣證券交易所股價指數期貨契約結算保證金收取方式及標準70
參考文獻72

一、中文部分
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25. Harris, L.E.(1994):“Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes,” The Review of Financial Studies, Vol.7, No.1, p.149-178,1994 Spring.
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