2008金融海嘯對台股期貨與台股選擇權套利之探討.pdfVIP

2010 两岸经贸与管理学术研讨会 2008 金融海嘯對台股期貨與台股選擇權套利之探討 ∗ 林淑瑛 余宛儒 明新科技大學財務金融系 企業管理研究所 中文摘要: 本研究以賣買權期貨平價理論，探討 2008 年金融海嘯事件對臺股期貨與臺股 選擇權市場效率性之影響，研究期間為2008 年 6 月至 2009 年 1 月，以日內成交資料為主， 藉事後與事前分析探討市場之套利機會與利潤。研究結果顯示，事後分析下之套利利潤顯著 為正，但事前分析在納入交易成本後，市場不存在套利利潤；金融海嘯事件發生期間，套利 利潤顯著增加；距到期日天數及跌幅限制措施均與套利利潤呈正向關係；金融海嘯事件發生 期間，賣出期貨契約有較高之套利利潤。 因此，在政府實施跌幅減半措施期間，市場存在 較高的套利利潤，顯示市場效率性確實會受到人為干預的影響。 關鍵詞：賣買權期貨平價理論、套利分析、漲跌幅縮減 The Influence of 2008 Financial Crisis on the Arbitrage Opportunities of Taifex Shu-Ying Lin, Wan-Ju Yu Department of Finance, Minghsin University of Science Technology Department and Institute of Business Administraton, Minghsin University of Science Technology Abstract ：This study investigates the market efficiency of Taifex during the period of 2008 financial crisis. Based on the put-call-futures parity, we analyze the arbitrage opportunities and profits between the future and option markets by both ex post and ex ante analyses. We use the intraday data in the sample period from June, 2008 to January, 2009. The empirical results show that there exists ex post profits in the market, but does not exist ex ante profits after considering the transaction cost. The arbitrage profits during the period of financial crisis are more than that before the period of financial ∗通訊作者:電子郵件：sylin@must.edu.tw 85 2010 两岸经贸与管理学术研讨会 crisis. Regression analysis shows that the numbers of days to maturity and price limits are positive relationship with the arbitrage profits. During the financial crisis events, short future strategies have higher arbitrage profits than long future strategies. The results also show tha