第五章 結論與建議
5.2 未來研究建議
由於一週到期台指選擇權推出的時間並不長，而近期台灣期貨交易所又即將推出一 週到期的小型台指期貨，未來可以在明年八月之後，當樣本數已經同樣累積一年後比較 台指期貨與台指選擇權及一週到期小型台指期貨與一週到期台指選擇權兩個市場間誰 的效率較高。甚至可以兩兩組成套利組合，形成四組套利關係（台指期貨與台指選擇權、
台指期貨與一週到期台指選擇權、台指期貨與一週到期小型台指期貨、一週到期小型台 指期貨與一週到期小型台指選擇權），研究不同的市場組合間市場效率不存在的原因為 何。而期交稅的進一步調降（由十萬分之四調整成十萬分之二），相信對增進市場效率，
降低無套利空間會有更明顯的幫助。尤其是造市者對市場效率的提升，在成本降低了約 1/3後，無套利空間的範圍更小。未來在根據兩兩比對下的樣本研究結果，可以更確實的 推論套利空間在何種狀況下會有更顯著的降低，進一步提升市場的效率。
29
30
12. 翁明祥，2005 年，「The Arbitrage Opportunities and Strategies of Index Options – The Case of TAIFEX Index Options」，國立台灣大學財務金融 所碩士論文。
13. 簡于倢，2006 年，「台指選擇權價格效率性與市場流動性之關聯分析」，國 立交通大學財務金融所碩士未出版論文。
14. 賴柏尹，2008 年，「期貨與選擇權市場套利機會之實證研究」，國立台北大 學企業管理學系碩士未出版論文。
15. 耿世鈞，2008 年，「台指選擇權與台指期貨間對價關係與套利機會之檢測」，
私立銘傳大學財務金融學系碩士在職專班未出版論文。
二、 英文部分
1. Anthony, J. H., 1988, The Interrelation of Stock and Option Market Trading-Volume Data.” Journal of Finance, 43, 949-964.
2. Bae, K. H., K. Chan, and Y. L. Cheung, 1998, “The Profitability of Index Futures Arbitrage: Evidence from Bid-Ask Quotes.” Journal of Futures Market, 18, 743-763.
3. Bharadwaj, Anu and James B. Wiggins, 2001, “Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPs Market.” Journal of Derivatives.
4. Black, Fischer and Myron Scholes, 1973, “ The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, 81(3), 637-654.
5. Brunetti, Marianna, and Costanza Torricelli, 2007, “ The Internal and Cross Market.” Applied Financial Economics, 17(1), 25-33.
6. Chance, D. M., 1987, “Parity Tests of Index Options,” In Advances in Futures and Options Research, 2, Greenwich, Conn: JAI Press.
31
7. Cheng, L. T. W., J. K. W. Fung, and K. C. Chan, 1997, “The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets.” The Journal of Futures Markets, 17(7), 797-815.
8. Chiou, Jong Rong, Wen-Liang Gideon Hsieh and Yuan Yi Lin, 2007, “ The Impact of Execution Delay on the Profitability of Put-Call Futures Trading Strategies-Evidence From Taiwan.” Journal of Futures Markets, 27(4), 361-385.
9. Chou, R. K. and J. H. Lee, 2002, “The Relative Efficiencies of Price Execution Between The Singaport Exchange and The Taiwan Futures Exchange.” The Journal of Futures Markets, 22(2), 173-176.
10. Cornell, B. and K. R. French, 1983, “The Pricing of Stock Index Futures.” The Journal of Futures Markets, (3), 1-14.
11. Draper P., and J. K. W. Fung, 2002, “A Study of Arbitrage Efficiency Between THE FTSE-100 Index Futures and Options Contracts.” The Journal of Futures Markets, 22(1), 31-58.
12. Fleming, J., and A. Rudd, 1985, “Index Options: The Early Evidence.” Journal of Finance, 40, 743-756.
13. Fung, J. K. W., and K. C. Chan, 1994. “On the Arbitrage-Free Pricing Relationship between Index Futures and Index Options: A Note.” Journal of Futures Markets, 14, 957-962.
14. Fung J. K. W., L. T. W. Cheng, and K. C. Chan, 1997, “The Intraday Pricing Efficiency of Hang Seng Index Options and Futures Markets.” Journal of Futures Markets, 17, 327-331.
15. Fung, J. K. W., L. T. W. Cheng, and C. Pang, 1998, “Early Unwinding Strategy in Index Option-Futures Arbitrage.” The Journal of Financial Research, 21(4), 447-467.
32
16. Fung, J. K. W., L. T. W. Cheng, and K. C. Chan, 2000, “Pricing Dynamics of Index Options and Index Futures in Hong Kong Before and During the Asian Financial Crisis.” The Journal of Futures Markets, 20(2), 145-166.
17. Figlewski, S., 1984, “Explainging the Early Discounts on Stock Index Futures:
The Case for Disequilibrium.” Financial Analysts Journal, 40, 43-47.
18. Gwilym, O., M. Buckle, & S. Thomas, 1997, “The Intra Day Behavior of Bid-Ask Spreads, Returns, and Volatility for FTSE-100 Stock Index Options.” Journal of Derivatives, 4(4), 20-32.
19. Klemkosky, R. C. and B. G. Resnick, 1980, “An Ex Ante Analysis of Put-Call Parity.” The Journal of Financial Economics, (8), 363-378.
20. Klemkosky, R. C. and J. H. Lee, 1991, “The Intraday Ex Post and Ex Ante Probability of Index Arbitrage.” The Journal of Futures Markets, 11(3), 291-311.
21. Lee, J. H. and N. Nayer, 1993, “A Transaction Data Analysis of Arbitrage between Index Options and Index Futures.” The Journal of Futures Markets, 13(8), 899-902.
22. Manster, S., and R. J. Rendleman, 1982, “Option Prices as Predictors of Equlibrium Stock Prices.” Journal of Finance, 42, 1035-1048.
23. Merton, Robert C., 1973, “The Relationship between Put and Call Option Prices:
Comment.” Journal of Finance, 28(1), 183-184
24. Modest, D. M., and M. Sundaresan, 1983, “The Relationship between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence.” The Journal of Futures Market, 3(1), 15-41.
25. Roll, R., E. Schwartz, and A. Subrahmanyam, 2005, “Liquidity and the Law of One Price: the Case of the Futures/Cash Basis.” Working Paper, UCLA.
26. Stoll, H., 1969, “The Relationship between Put and Call Option Prices.” Journal of Finance, 24, 801-822.
33
27. Tucker, A. L., 1991, “Financial Futures, Options, and Swaps.” Minneaplois, MN:
West Punlishing..
34
附表一 台指期貨與台指選擇權價平迴歸結果
價平 初始模型 調整變數:D1<13.75% 調整變數:D1<13.75%;D3<85500
變數 係數 t 統計量 P 值 係數 t 統計量 P 值 係數 t 統計量 P 值
價內一檔 初始模型 調整變數:D1<13.75% 調整變數:D1<13.75%;D3<85500
變數 係數 t 統計量 P 值 係數 t 統計量 P 值 係數 t 統計量 P 值
價內兩檔 初始模型 調整變數:D1<13.75% 調整變數:D1<13.75%;D3<85500
變數 係數 t 統計量 P 值 係數 t 統計量 P 值 係數 t 統計量 P 值
35
附表四 台指期貨與台指選擇權價外一檔迴歸結果
價外一檔 初始模型 調整變數:D1<13.75% 調整變數:D1<13.75%;D3<85500
變數 係數 t 統計量 P 值 係數 t 統計量 P 值 係數 t 統計量 P 值
價外兩檔 初始模型 調整變數:D1<13.75% 調整變數:D1<13.75%;D3<85500
變數 係數 t 統計量 P 值 係數 t 統計量 P 值 係數 t 統計量 P 值
36
37
38 f 1314990 2.695255 0.0523678 2.468953 2.944683
t 1314990 6.851178 5.927158 0 24
L 1314990 0.0052961 0.0043538 0 0.332394
39
f 377531 2.873696 0.0611002 2.674456 3.165699
t 377531 8.499073 5.720421 0 24
f 346417 2.520444 0.0686802 2.139505 2.732008
t 346417 9.85589 6.038165 0 24
40
41
附圖一 台指期貨與台指選擇權價平套利空間、成本、距到期日天數與價內外程度分布 圖
附圖二 台指期貨與台指選擇權價內一檔套利空間、成本、距到期日天數與價內外程度 分布圖
42
附圖三
台指期貨與台指選擇權價內兩檔套利空間、成本、距到期日天數與價內外程度 分布圖附圖四
台指期貨與台指選擇權價外一檔套利空間、成本、距到期日天數與價內外程度分 布圖43
附圖五
台指期貨與台指選擇權價外兩檔套利空間、成本、距到期日天數與價內外程度 分布圖附圖六
台指期貨與一週到期台指選擇權價平價差空間、成本、距到期日天數與價內外 程度分布圖44