An Application of GARCH, SSVR and Grey Theorem on Taiwan Single Stock Futures Arbitrage

• Main Authors: Tai-Jui Huang, 黃泰瑞
• Other Authors: Shang-Wu Yu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/09532973336937967314

碩士 === 國立臺灣科技大學 === 資訊管理系 === 99 === Single-stock futures(SSFs) are futures contracts on individual stocks. Since its launch in the beginning of 2010 in Taiwan, it was once touted as fresh, attracted both investors and arbitrageurs. The advantage of trading SSFs for arbitrage is that it eliminates the tracking error so we can easily make an arbitrage on one investment target. The samples are taken from February 23, 2010 to December 15, 2010. We use cost-of-carry model to find out feasible times for arbitrage. And based on the expectation theory, we assist arbitrageurs to determine the time to enter the market by predicting the tendency of next basis. We adopt GARCH, SSVR and Grey theorem as our tools for the implementation of arbitrage. And findings are: 1.Most of the arbitrage opportunities are observed for buying the future and selling the stock; moreover, to select the target with a high stock price can lead larger spreads. And the opportunities will gradually decrease as the market mature. Besides, the stock quote performs that it doesn’t converge with the future quote on the expired date. 2.Using predictive tools on our basis time selection strategy can help arbitrageurs get a good return. On the accuracy of predicting, SSVR outperforms other models, and GARCH is better than FGM. To examine the return rate, applying SSVR can provide the most stable return, and applying GARCH is slightly prior to FGM as well.