Arbitrage Research of Taiwan Single Stock Futures and Spot Prices
Date Issued
2015
Date
2015
Author(s)
Chien, Chen-Hsun
Abstract
Taiwan futures exchange provided more single stock futures commodities these years. So investors in Taiwan have more choices to make investments. Also, more derivatives could facilitate liquidity of the capital market. Through past researches, most of papers focused on Taiwan index futures because this kind of futures was traded most frequently in Taiwan. And there were less researches for single stock futures (SSF). So I tried to do the research about arbitrage for single stock futures in Taiwan. My thesis’s participants were 43 stocks from Taiwan 50 and 57 stocks from non-Taiwan 50 so participants total 100 stocks. And my study had three purposes： (1)According to liquidity cost, I let 100 stock futures (participants) divide 4 groups (Q1 Q2 Q3 Q4) with ascending liquidity cost. And I wanted to research whether higher liquidity cost had higher futures mispricing or not. (2)Did the stocks futures belonging Taiwan 50 have larger futures mispricing than stocks from non-Taiwan 50? (3)Could We infer the no arbitrage interval for single stock futures ? My result of study could be described below: (1)Higher liquidity cost stocks indeed had higher mispricing. (2)There was no definite answer that stocks from Taiwan 50 have larger mispricing than stocks from non-Taiwan 50. (3)With principal component analysis, we found that the smaller period between the futures contracts and their delivery days, the larger the no arbitrage interval was.
Subjects
single stock futures
arbitrage
liquidity cost
mispricing
no arbitrage interval
principal component analysis
Type
thesis
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