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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Ming-Yu Huang | en |
| dc.contributor.author | 黃銘裕 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:21:37Z | - |
| dc.date.copyright | 2005-07-28 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-07-26 | |
| dc.identifier.citation | 1. Bae, K., K. Chan and Y. Cheung, 1998, The profitability of index futures arbitrage: Evidence from bid-ask quotes, Journal of Futures Markets, Vol. 18, 743-763.
2. Ball, C. A., and Torous, W. N., 1986, Futures Options and the Volatility of Futures Prices, Journal of Finance, September, 41(4): 857–870. 3. Bhatt, S. and N. Cakici, 1990, Premiums on stock index futures –Some evidence, Journal of Futures Markets, Vol. 10, 367-375. 4. Brailsford, T. and A. Hodgson, 1997, Mispricing in stock index futures: A reexamination using the SPI, Australian Journal of Management, Vol. 22, 21-45. 5. Brenner, M., Courtadon, G., Subrahmanyam, M., 1985. Options on the Spot and Options on Futures. Journal of Finance 40, 1303-1317. 6. Buhler, W. and A. Kempf, 1995, DAX index futures: Mispricing and arbitrage in German markets, Journal of Futures Markets, Vol. 15, 833-859. 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. Chung, Y. P., 1991, A transactions data test of stock index futures market efficiency and index arbitrage profitability, Journal of Finance, Vol. 46, 1791-1809. 9. Cornell, B., and French, K. R., 1983, Taxes and the Pricing of Stock Index Futures, The Journal of Finance, 38:675–694. 10. Cornell, B. and K. R. French, 1983, The Pricing of Stock Index Futures. The Journal of Futures Markets, (3), 1-14. 11. Figlewski, S., 1984a, Hedging performance and basis risk in stock index futures, Journal of Finance, Vol. 39, 657-669. 12. Figlewski, S., 1984b, Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium. Financial Analysts Journal, 40, 43-47. 13. Figlewski, S. and G. P. Webb, 1993, Options, short sales, and market completeness, Journal of Finance 48, 761-777. 14. Followill, R. A., and Helms, B. P., 1990, Put–Call–Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts, The Journal of Futures Markets, 10(4): 339–352. 15. Fung, J.K.W., and K.C. Chan, 1997, On the Arbitrage-Free Pricing Relationship between Index Futures and Index Options, Journal of Futures Markets, 17 (1997), pp. 797-815. 16. Kamara, A. and T.W. Miller, Jr., 1995, Daily and Intradaily Tests of European Put-Call Parity, Journal of Financial and Quantitative Analysis 30, 519-539. 17. Klemkosky, R. C. and J. H. Lee, 1991, The intraday ex post and ex ante profitability of index arbitrage, Journal of Futures Markets, Vol. 11, 291-311. 18. Lee, J. H., and Nayar, N., 1993, A Transactions Data Analysis of Arbitrage between Index Options and Index Futures, The Journal of Futures Markets, Vol. 13, 889–902. 19. MacKinlay, A. C. and K. Ramaswamy, 1988, Index-futures arbitrage and the behaviour of stock index futures prices, Review of Financial Studies, Vol. 1, 137-158 20. Miller, M. H., J. Muthuswamy and R. E. Whaley, 1994, Mean reversion of Standard & Poor’s 500 index basis changes: Arbitrage-induced or statistical illusion?, Journal of Finance, Vol. 49, 479-513. 21. Ofek, E., Richardson, M., Whitelaw, R.F., 2004. Limited arbitrage and short sales restrictions: evidence from the options markets. Journal of Financial Economics 74, 305-3 22. Sharpe W. and G. Alexander, 1990, Investments, 4th edition (Prentice Hall) 23. Stephen A. Easton, 1998, Put-call parity with futures-style margining, The Journal of Futures Markets, Vol. 17, 2, 215 - 227 24. Stoll, H., 1969, “The Relationship between Put and Call Option Price”, Journal of Finance, 24, 319–332. 25. Tucker, A. L. (1991). Financial Futures, Options, and Swaps. West Publishing Company, St. Paul, MN. 26. Twite, G. J., 1992, Effect of stochastic interest rates on the pricing of SPI futures contracts, Australian Journal of Management, Vol. 17, 259-269. 27. Yadav, P. and P.F. Pope, 1990, Stock index futures arbitrage: International evidence, Journal of Futures Markets, Vol. 10, 573-603. 28. Yadav, P. and P.F. Pope, 1994, Stock index futures mispricing: Profit opportunities or risk premia ?, Journal of Banking and Finance, Vol. 18, 921-953. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24313 | - |
| dc.description.abstract | 本文對台灣現行股票以及股價指數的放空管道分別就法令限制與成本予以探討。在個股放空管道方面，由於金管會大力改革，使得大部分不合時宜的舊法規限制都有了開放，無論是平盤以下不得放空，或是融券、借券的理由規範，都有開放性的改革，而金管會的改革猶在持續中，本文目前歸納出的現況，或許在短時間之內又會有一翻新面貌出現；本文也對個股各放空管道之成本做了統整。
就股價指數而言，本文就台股期貨與台指選擇權的交易制度、法規與成本作一檢視。然而，由於加權股價指數包含600多檔發行量差距極大的股票，所以在現貨市場根本就沒有現貨可供買賣，這也使得是否能夠就無套利關係式去複製股價指數或複製放空股價指數有了疑問。指數期貨持有成本理論、指數買賣權平價理論以及指數買賣權期貨平價理論是否適用於台灣股市?本文以台灣股市2005年1月到5月到期的股價指數期貨與股價指數選擇權的每筆交易資料作實證，獲得了以下的論述： 台股期貨的確反映出基差中市場對指數未來的預期，而不僅是無風險報酬 台指選擇權反映出指數期貨的價格，而不是指數本身的價格 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:21:37Z (GMT). No. of bitstreams: 1 ntu-94-R92723021-1.pdf: 1330817 bytes, checksum: 16a95973fabbb60aa1a0ba0b3647687a (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | 論文摘要 2
第一章 緒論 3 第二章 文獻回顧 6 第三章 個股放空管道 8 第一節 融券 8 第二節 借券 15 第三節 股票選擇權 20 第四章 股價指數放空管道 27 第一節 股價指數商品 27 第二節 台股指數期貨 27 第三節 台指選擇權 29 第五章 無套利關係式 33 第一節 無套利關係式 33 第二節 期貨持有成本理論 38 第三節 買賣權平價理論 47 第四節 買賣權期貨平價理論 53 第五節 指數複製成本分析 56 第六章 結論 59 參考文獻 65 附錄 68 | |
| dc.language.iso | zh-TW | |
| dc.subject | 放空 | zh_TW |
| dc.subject | Short Sell | en |
| dc.title | 臺灣股市放空管道與指數期貨市場特性之研究 | zh_TW |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 郭維裕,莊益源,龔尚智 | |
| dc.subject.keyword | 放空, | zh_TW |
| dc.subject.keyword | Short Sell, | en |
| dc.relation.page | 115 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2005-07-27 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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