Arbitrage Relationship Between Stock Index Futures and Exchange Traded Funds

• Main Authors: Hsin-I Hsiao, 蕭新怡
• Other Authors: 林蒼祥
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/58619723008974566804

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === The thesis uses the mechanism of spread arbitrage by exchange traded funds and index futures in Taiwan and America, and demonstrates that spreads between them can be constructed so as to result in riskless arbitrage. And the empirical result is pointed out, two sets of spread trading combination in this study are found to be cointegrated and the spreads derived from the cointegration relationships are mean-reverting. So we can use index futures and exchanged traded funds in two markets to carry on spread arbitrage. The simulation results of two markets before transaction costs is that arbitrage trading is profitable. Simulation results reveal that arbitrage trading is profitable given that average profits of American markets under different filters are all significantly greater than zero after transaction costs. Secondly, this research suggests that the trading strategy with greater filter threshold is superior to lower filters in terms of the risk-reward characteristics. Finally, Taiwan market gets the maximum rates of return under the maximum filter threshold but American market gets the maximum rates of return under the second filter threshold in terms of rates of return of arbitrage trading.