| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 91 === This thesis employs the Put-Call-Futures Parity to investigate the joint pricing efficiency of Taiwan Index Futures and Taiwan Index Options markets during the period of May 2002 to Apr 2003. After taking into account transaction costs, opportunity cost of margins, and differential lending and borrowing rates, we find some economically significant mispricing. This study suggests that the index futures and index options markets in Taiwan are not practically efficient during the sample period, and there are arbitrage opportunities both for market makers and for non-market makers. In addition, the number of profitable opportunities for market makers is larger compared to non-market makers but the average arbitrage profit of market makers is less than that of non-market makers.
From the ex-post and regression analysis, we find that the arbitrage profit positively related to the time to maturity of the options and futures contracts and the volatility of futures. The profit is also higher when the options are farther away from at-the-money. Finally, shorting the futures contract is more profitable than longing the futures contract.
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