臺灣博碩士論文加值系統

Abstract

This paper explores the empirical performance of synthetic interest rate of put-call-futures relationship. Empirical analysis of FTSE 100 index option and futures shows that most arbitrage opportunities for non-member investors taking account of transaction costs are small and insignificant, but we found that some results are significant different with zero in member investors. The prediction performance of the put-call-futures parity is compared with benchmark AR model. The synthetic interest rate further be tested the forecasting power by Directional Accuracy (DA) test of Pesaran and Timmermann (1992) and nonparametric market timing test of Henriksson-Merton test (1981). Result further indicates that synthetic based on the nonparametric market timing test perform well than Directional Accuracy (DA). The significant tests also reveal that synthetic interest rate can predict correctly the direction of change in short-term interest rates.

Contents

1. Introduction 1
2. Put-Call-Futures Parity Condition 5
2. Data and methodology 8
3.1 The data 8
3.2 Methodology 9
4. Empirical results 15
4.1 Descriptive statistics 15
4.2 Arbitrage performance 15
4.3 Prediction resul 16
5. Conclusions 20
Appendix 1 21
Appendix 2 22
Appendix 3 23
Appendix 4 24
Appendix 5 26
Appendix 6 27
Reference 29

List of Tables

Table 1 Summary Statistics 32
Table 2a Violations of synthetic t-bill using intraday data Violations of equation(9)(Non-member) 33
Table 2b Violations of equation (10) (Non-member) 34
Table 2c Violations of equation (9) (Member) 35
Table 2d Violations of equation (10) (Member) 36
Table 3a DA test: period: Jun.1996-Apr.2005(daily) 37
Table 3b DA test: period: Jun. 1996-Apr.2005(monthly) 38
Table 4a Nonparametric Market Timing test (Non-member-PCFP) 39
Table 4b Nonparametric Market Timing test (Member-PCFP) 40
Table 4c Nonparametric Market Timing test (AR) 41
Table 5a Regression-based tests for market timing (daily data of non-member-PCFP) 42
Table 5b Regression-based tests for market timing (monthly daily data of non-member-PCFP) 43
Table 5c Regression-based tests for market timing(Daily data of member
-PCFP) 44
Table 5d Regression-based tests for market timing(Daily data of member
-PCFP) 45
Table 5e Regression-based tests for market timing(Daily data of AR) 46
Table 5f Regression-based tests for market timing(monthly data of AR)47



List of Figures

Figure 1 Relationship of cross-market 48
Figure 2Matching procedures of different maturity data of option and futures contract 48
Figure 3 Daily mean and monthly mean of synthetic interest rate 48

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