A Study of Arbitrage Efficiency Between the TSE Index Futures and Index Options

[[abstract]]本論文依據Tucker(1991)期貨買賣權評價理論(Put-Call-Futures parity)，在考慮台灣現有交易成本(交易手續費成本，交易稅成本，資金成本)及投資者借貸利率不同等因素，以日內每五分鐘為區間，在一分鐘內配對成交資料，分成賣空避險套利與買進避險套利，以買進持有至到期策略，研究從台股指數選擇權新上市第一年(2002年)期間，台股指數期貨與台股指數選擇權套利機會與市場定價效率性。 研究結論發現，交易手續費成本佔整個交易成本相當大的比率，造成造市者在整個套利過程中套利機會及套利利潤遠大於自然人。台股指數期貨與台股指數選擇權兩市場間，在市場效率性檢定中，造市者仍具有套利機會，獲得套利利潤，就造市者而言，在樣本期間台指期貨與台股選擇權市場定價較不具有效率性。自然人在套利交易中無法賺取超過交易成本套利利潤，在樣本期間就自然人而言，台指期貨與台股選擇權市場定價具有相當高效率性。[[abstract]]The study according to the Put-Call-Futures parity theory by Tucker(1991), considering Taiwan’s present transaction cost (commission, transaction tax, capital cost) and differential rates of lending and borrowing to match the traded prices date within one minute, and the time interval within five minutes intraday. By using the strategy of execute-and-hold divided into the short hedge arbitrage and the long hedge arbitrage, by the strategy of execute-and-hold. The study period from TSE Index option entering to the market in 2002 is focusing on TSE Index future and TSE Index option is trying to find the relationship between arbitrage opportunity and market pricing efficiency. In conclusion, the cost of commission has a greater ratio in all transaction costs, because of the result market maker the arbitrage opportunity and arbitrage profit are greater than a non-market-maker. This study uses the Put-Call-Futures parity to exam- -ine between TSE Index future and TSE Index option contracts, market maker still has arbitrage opportunity to gain arbitrage profit. From market maker point of view, the market is not efficient. A non-market-maker can not gain more than the arbitrage pr- ofit of the transaction costs. From a non-market-maker point of view, the market still has efficiency