This research analyzes the arbitrage opportunities associated with TSE Index Futures and TSE Index Options. The results indicate that arbitrage opportunities in both markets exist even after we control for transaction costs. Arbitrage profits in both markets decrease as estimated transaction costs increase. This research also reveals that a reduction in the taxes imposed on the futures trading can increase the average arbitrage profit. Furthermore, buying futures arbitrage strategy generates a higher profit than does selling futures arbitrage strategy. Among all the selling futures strategies, the 21-due-days strategy offers the largest profit, whereas the 0-to-10-due-days buying strategy generates the highest profit among all the buying futures strategies.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0730107-190424 |
| Date | 30 July 2007 |
| Creators | Li, Jin-ing |
| Contributors | Xiu-ren Guo, Yuan-xing Liao, Zhen-cong Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0730107-190424 |
| Rights | not_available, Copyright information available at source archive |
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