股票與股票期貨的套利機會研究

Abstract

自2010年1月25日以來，台灣期貨交易所開始推出單一股票期貨交易，使得台灣投資者又可多利用一項投資工具交易。而台灣期貨交易的業務由台灣期貨交易所管理，推出新型的期貨投資標的物，目的之一當然也是希望促進資金市場的流通及減少股票市場的波動。 雖然理論上，早期期貨的發展起初是為了避險使用，但隨著金融業務的發達及資訊科技的進步，使得期貨能交易的標的物種類是越來越多，而交易電子化後，交易成本的減少更是促進期貨市場的蓬勃發展。 本篇研究想要探討台灣市場單一股票期貨(SSF)的套利機會，其研究方式主要是想以市場的流動性成本去探討股票期貨的套利機會，研究對象以台灣50(43檔)股票期貨及非台灣50(57檔)股票期貨共100檔股票期貨作為研究對象。研究目的可分為以下3點： (1)依流動成本分類的股票期貨，流動成本高的股票期貨其價差比率是否也較高呢? (2)台灣50股票期貨套利機會較非台灣50股票套利價差比率高嗎? (3)是否可求得無套利空間大小? 經由許多資料的統計分析，實證結果發現： (1)流動成本較高的股票期貨其價差比率高於流動成本較低的股票期貨。 (2)台灣50成份股股票期貨不一定價差比率高於非台灣50股票期貨，故在套利擇股時，不能依期貨標的物是否為台灣50成份股股票去選股。 (3)依流動成本的主成份分析法(PCA)，發現越接近期貨契約到期日，投資者所需承擔系統性風險越高，套利空間越小，故隱含著距到期天數與股票期貨價差比成正比的概念。 此篇研究受限於缺少股票期貨交易的日內資料，研究資料主要來自台灣經濟新報(TEJ)及台灣期貨交易所，故我們建議，若後進者想增加研究的準確性，可利用股票期貨日內交易資料來做研究分析，可使研究結果更加準確。

Taiwan futures exchange provided more single stock futures commodities these years. So investors in Taiwan have more choices to make investments. Also, more derivatives could facilitate liquidity of the capital market. Through past researches, most of papers focused on Taiwan index futures because this kind of futures was traded most frequently in Taiwan. And there were less researches for single stock futures (SSF). So I tried to do the research about arbitrage for single stock futures in Taiwan. My thesis’s participants were 43 stocks from Taiwan 50 and 57 stocks from non-Taiwan 50 so participants total 100 stocks. And my study had three purposes： (1)According to liquidity cost, I let 100 stock futures (participants) divide 4 groups (Q1 Q2 Q3 Q4) with ascending liquidity cost. And I wanted to research whether higher liquidity cost had higher futures mispricing or not. (2)Did the stocks futures belonging Taiwan 50 have larger futures mispricing than stocks from non-Taiwan 50? (3)Could We infer the no arbitrage interval for single stock futures ? My result of study could be described below: (1)Higher liquidity cost stocks indeed had higher mispricing. (2)There was no definite answer that stocks from Taiwan 50 have larger mispricing than stocks from non-Taiwan 50. (3)With principal component analysis, we found that the smaller period between the futures contracts and their delivery days, the larger the no arbitrage interval was.