本篇研究利用期貨與買賣權平價模式，考慮持有成本後，針對每一筆樣本，建立其無套利區間的上下限，並將投資人分類為自然人與法人，分析兩者在SIMEX台股期貨與期貨選擇權市場中，使用持有到期買進與賣空套利策略之獲利情形，以分析SIMEX台股指數期貨與期貨選擇權市場兩者間之日內定價效率性。研究期間從摩根台股指數期貨在1997年1月到1998年12月底為止共兩年期間，利用事後檢定(假設馬上成交)與事前檢定(假設交易有時間落差)兩種方法，將期貨與選擇權買賣權三種商品在1分鐘以內配合者，作為研究之樣本。結論如下：

1. 在交易成本方面，一般來說，自然人交易成本在100到140美元之間，而法人則在10到50美元之間，兩者之差約在90美元。

2. 在事後檢定中，在買進避險套利策略共有1,293個樣本，賣空避險套利策略有1,323個樣本，平均結果皆有損失，只有少數樣本考慮交易成本後能獲得利潤，平均值T檢定皆為顯著小於0，證明法人與自然人在市場上無法套利。在市場日內定價效率性方面，買進與賣出策略獲利平均值均顯著小於0，且所有時段的T檢定值均落於拒絕區內，平均值為顯著小於0，所以對自然人與法人而言，SIMEX台股指數期貨與台股指數期貨選擇權間的定價具有效率性。

3. 在事前檢定方面，在買進策略有77筆、賣出策略有81筆成交資料，自然人與法人獲利的樣本比例有明顯增加，大多數樣本的時間落差在30分鐘以上。檢定結果平均值皆為負值，自然人與法人亦無套利利潤，也支持市場日內定價具有效率性。

4. 迴歸分析中，事前檢定結果支持市場效率性的假設，期貨與買賣權平價模式在法人與自然人均有良好的解釋力，因此在套利活動上，運用此平價理論，結合市場交易成本之影響，應可做為套利策略是否進場套利的判斷準則。

5. 事後檢定樣本中，賣空套利策略有較佳的績效表現，相反的，事前檢定中，買進套利策略有較佳的表現。

6. 在時間落差影響方面，獲利利潤並無明顯隨著落差時間增加而減少的現象。

7. 考慮匯率變動因素之後，事後與事前檢定的樣本中，原本套利損失，經過匯率兌換後，可能變為獲利，但是在事前檢定賣空策略中，有2個樣本原先有套利利潤，經匯率兌換後，反變為損失的情況，可見匯率因素亦相當重要。

第一章、緒論 1

第一節、研究背景與動機 1

第二節、研究範圍 4

第三節、研究目的 5

第四節、研究假設與限制 6

第二章、文獻探討 9

第一節、新加坡SIMEX摩根台股指數期貨與期貨選擇權市場簡介 9

第二節、國外相關文獻 17

第三節、國內相關文獻 27

第三章、研究方法 31

第一節、套利理論與市場效率性 31

第二節、無套利區間與交易成本之估算方式 33

第三節、事後(EX POST)與事前(EX ANTE)檢定 39

第四節、資料收集 44

第五節、研究架構 45

第四章、實證結果 47

第一節、交易成本與無套利區間之估算 47

第二節、事後檢定 52

第三節、事前檢定EX-ANTE TEST 72

第四節、匯率變動對獲利之影響 82

第五章、結論與建議 86

第一節、結論 86

第二節、建議 89

參考文獻 90

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