臺灣期貨交易所股價指數期貨間套利交易研究

Abstract

由於現貨市場套利常受制度限制與非價格風險影響，實務操作上困難重重；相較之下，期貨間套利可避開現貨市場的諸多限制，並具備無追蹤誤差、可現金結算等優勢。然而，由於不同股價指數間通常不具明確的等式關係，過去文獻多僅依據高度相關性進行價差交易分析，難以達成真正無風險之套利。 本研究以臺灣期貨交易所之股價指數期貨為對象，透過數學方程式推導指數期貨間之理論關係，建立具理論依據之套利策略架構。在資金有限的前提下，本文進一步探討於相同保證金條件下，搭配不同出場策略時之最佳進場條件，期能提升單位資金之報酬效率。實證結果顯示，所構建之套利策略具備理論可行性與實務操作潛力，對市場參與者具參考價值。

Due to institutional constraints and non-price-related risks, arbitrage in the spot market is often difficult to execute in practice. In contrast, arbitrage between index futures avoids many of these limitations and offers advantages such as the absence of tracking error and the use of cash settlement. However, since different stock indices typically lack clearly defined mathematical relationships, previous studies have mainly focused on spread trading based on high correlation, which makes true risk-free arbitrage difficult to achieve. This study focuses on stock index futures traded on the Taiwan Futures Exchange. By deriving the theoretical relationships between index futures through mathematical equations, it constructs a theoretically grounded framework for arbitrage strategies. Under the assumption of limited capital, the study further explores optimal entry conditions under uniform margin requirements and different exit strategies, aiming to enhance capital efficiency. Empirical results demonstrate that the proposed arbitrage strategy is both theoretically sound and practically feasible, offering valuable insights for market participants.