The Arbitrage Opportunities and Arbitrage Profit of the Taiwan Stock Index Futures and Options

[[abstract]]本研究以小型台指期貨與台指選擇權近月份契約之價格為研究對象，檢驗兩者間是否符合買權賣權期貨平價理論，並探討兩市場是否存在套利機會及是否為效率市場。實證結果顯示，無論是造市者或非造市者均存在套利機會，而造市者的可套利機會及總套利利潤均較非造市者為多，但平均套利利潤則不如非造市者。對造市者而言，當選擇權距到期日愈遠，平均套利利潤愈大；對非造市者而言，在賣出期貨套利策略下，最大的平均套利利潤則出現於11～20天。當選擇權履約價格離價平程度愈遠，平均套利利潤愈大，而套利機會愈少。選擇權的最大平均套利利潤發生在中波動性的情況下，其次為大波動性，小波動性的平均套利利潤最少，波動性與平均套利利潤大致上仍呈現正相關。買進期貨套利策略發生的頻率較賣出期貨套利策略發生的頻率為高，但平均利潤卻相對較低。無論對造市者、非造市者而言，套利機會隨台指選擇權推出的時間增長而日漸減少，每月平均套利利潤亦有下降的趨勢，表示兩市場已愈來愈有效率了。[[abstract]]This study examines whether Taiwan stock index futures and Taiwan stock index options are suitable for put-call-futures parity or not. In addition, we examine the arbitrage opportunity and market efficiency of the Taiwan stock index futures and options contracts for the period of January 2, 2002 to September 17, 2003. The empirical results show that both market maker and non-market maker have arbitrage opportunity. However, the arbitrage opportunities and total profits of market maker are higher than that of non-market maker. In addition, the arbitrage opportunity becomes fewer and profitability has declined as time passes. This indicates that Taiwan stock index futures and option markets are more efficient than before