A Study on Index Arbitrage during the Asian Financial Crisis

[[abstract]]本研究是以亞洲金融危機期間的日本Nikkei 225、香港Hang Seng指數以及韓國KOSPI 200作為研究對象。研究期間為1997年7月1日到1999年12月31日的日資料，並且研究期間分為亞洲危機期間與危機之後期間，再運用事後套利以及迴歸分析的方法，來檢測亞洲金融危機的發生對於期貨定價與指數套利的影響。 關於本研究的實證結果如下：1.亞洲金融危機期間，不論是日本Nikkei 225、香港Hang Seng指數還是韓國KOSPI 200都顯示期貨定價誤差有擴大的跡象。2.在指數套利方面，亞洲金融危機的發生將使得各期貨市場的套利機會與套利利潤增加。3.相較於香港Hang Seng指數期貨及韓國KOSPI 200指數期貨，市場完美性較大的日本Nikkei 225指數期貨，在亞洲金融危機期間有較小的定價誤差。[[abstract]]This thesis employs ex-post test of arbitrage and regression analysis to examine the extents of mispricings and arbitrage profits during the Asian financial crisis period. The empirical evidence is based on three stock index futures contracts: the Nikkei 225 index futures contract, the Hang Seng index futures contract, and the KOSPI 200 (South Korean composite stock index 200) index futures contract. The study period covers July 1, 1997 to December 31, 1999. The empirical results can be summarized as follows: The degrees of mispricings and arbitrage profits are greater during the Asian crisis period than in the other periods for the three index futures. Additionally, the degree of mispricing for the Nikkei 225 index futures is significantly smaller compared to the Hang Seng and the KOSPI 200 index futures