| Summary: | 碩士 === 國立臺灣大學 === 商學研究所 === 87 === This thesis studies the opportunity of spread trading and the magnitude of profit under different spread trading strategies, which are evaluated from the intraday transaction data of SIMEX and TAIFEX Taiwan index futures and based on the five-minutes intraday data. According to the intermarket situation, this research shows the opportunity of the spread trading through the calculation of the interval in no-arbitrage. Besides, this study introduces the concept of two-variable binomial pricing process to judge the feasibility of spread trading strategy.
The conclusions from introducing the data of future-market history are in the following:
1. In the research period, the opportunity of intermarket
spread arbitrage indeed exists. However, even holding on
maturity, you still could not warranty the minimum profits.
Using more dynamic strategy, such as Early Unwindings and
Rllovers, can reduce the risk of unconvergent situation.
2. Reduction of the uncertain risk happens only after the
“backward spread trading strategy” is executed when SIMEX
is on maturity primarily. Moreover, “forward spread
trading strategy” also needs to be adopted when TAIFEX is
on maturity primarily. When the improper spread trading
direction is accepted, introducing the dynamic strategies
could reduce the damage and also increase the profits.
3. In capital restrictions, using the two-variable binomial
spread arbitrage decision model can provide the useful
suggestions on operating strategy.
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