指數選擇權與期貨之隨機優越套利投資組合

Abstract

此篇論文延伸Post and Longarela (2021) 建立的二階隨機優越套利的指數選擇權投資組合，納入交易指數期貨並考量交易成本。論文有三個主要貢獻：一、在理論和實證上皆證明套利投資組合確實有使用選擇權合成期貨。此現象不僅導致投資組合效率不彰，亦可能扭曲潛在的套利機會，而納入期貨市場交易則能有效解決此問題。二、小投資人傾向賣出深度價外賣權為主導的策略以進行套利，大投資人因流動性限制無法大規模的交易該策略而轉向保守的避險策略。此發現與先前文獻主流的買權上界違反較為普遍的觀點並不一致 ; 三、即便考慮期貨市場，在全樣本期間內，都沒有顯著證據證明套利投資組合有異常報酬。但在市場恐慌程度較低的時期，小規模投資人得以取得略具統計顯著性的超額報酬。

This paper extends the second-order stochastic dominance arbitrage index option portfolio framework established by Post and Longarela (2021) by incorporating index futures and explicit transaction costs. The thesis has three primary contributions. First, it is demonstrated both theoretically and empirically that arbitrage portfolios indeed use options to replicate synthetic futures. This phenomenon causes portfolio inefficiency and the potential distortion of arbitrage opportunities, an issue that can be effectively mitigated by the inclusion of a futures market. Second, small investors tend to favor strategies by selling deep out-of-the-money puts for arbitrage, while large investors, due to portfolio constraints, are unable to trade this strategy at scale and turn to a conservative hedging strategy. This finding contrasts with previous literature suggesting that violations of the call upper bound are more prevalent. Third, even with the inclusion of the futures market, there is no significant evidence of abnormal returns from the arbitrage portfolios over the full sample period. However, during periods of low market volatility, the outperformance of small investors is weakly significant from a statistical standpoint.