| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 99 === If we consider the trading costs between futures and spot market, an arbitrage-free regime would exist between the markets,only when price margin exceeds the arbitrage-free regime and profited after net the total transaction cost. The arbitrage activities and the mean reversion would come into existence and the dynamic adjustment between futures and spot market also come into a long-term balance. Most of the conventional surveys of the relations between index future and spot market emphasized on the price discover function of the lead and lag relationship, in addition, most relations of interactions and dynamics between future and spot market were analyzed by linear module.
The return rate data of future and spot market in this dissertation were from “Taiwan Stock Exchange Weighted Index”, ”Taiwan Stock Exchange Electronic Sector Weighted Index ” and “Taiwan Stock Exchange Financial Sector Weighted Index”. By using the smooth transition autoregressive exogenous (STARX) which argued by McMillan (2001) discussing whether the linear model is more suitable to describe the relation between future and spot market, and their non-linear adjustment bahavior.
The following conclusions can be observed by empirical results of this dissertation. 1) They all reject the null hypothesis. It represents the non-linear adjustment activities existed within them three and also pass the estimate of the ESTARX model. 2) Under different index profits, it’s obvious that lags of the exogenous variables and the convert variables are not extremely the same, it reveals the differences between constituent of indices may have different effects on deferred variable. 3) According to the results of ESTARX estimate, the height sequence of model transfer barriers is “Financial index > Electronic index > Taiwan stock index”. On the other hand, comparing to the historical transaction amount and market share, it can be observed that when the profit rate in future and spot market has discrepancy, the market which has more active trading and more circulation owns higher motivation of arbitrage, and also lower arbitrage return value under required threshold.
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