Professional Documents
Culture Documents
TAIFEX
(1)
40.68% 39.72%
53.50%(2)
(3)
(4)
(5)
1997 1 (CME)
(SIMEX)
1998 7 21
(TAIFEX)
(1999 7 21 )
2000 4
(spread trading)
(spread trading)
(1)(intracommodity spread)
(2)(intercommodity spread)
(3)
a.(Butterfly Spreads)
3 9 6
b.(Condor Spreads)
3 12
6 9 c.(Tandem Spreads)
TAIFEX SIMEX
TAIFEX 3 6
SIMEX 3 6
1997 SIMEX
2.6%
0.9%
1999
(2000)
TAIFEX
(2000)
(2000) TAIFEX
Ft
Ft ,T S t (1 r ) D
Ft ,T : t
S t : t
T :
D :
r:
()
(1999)
(1996)
1. 1996 2000
dy
i 1
di
P Qi
n i
Pi
Pi Qi
(1)
i 1
d y :
d i : i
Pi : i
Q i : i
3.
Ft ,T S t (1 r d y ) ( T t ) / 365
Ft ,T : t
S t : t
T :
d y :
T t :
()
1.
2000 5
2000 5
2.
800
3.
( T t ) / 365
1]) /( S t 200)
= ( M [(1 rB )
M :
rB :
T t :
S t : t
C :
C :
0.1425%
0.1425%
0.3%
0.1425%
0.4425%
800
800
0.05%
0.05%
(2)
8% 8%
()
rL : t T t
rB : t T t
()
1.
1
2.
3.
()
1.
2 3
2.
1. 2001
2.
1998 7 867
608 608
3. 1998 7
4.(1996) (1999)
1996 2001
5.
6.
7.
8.
2
11
1.
2.
3.
867
352
166
186
2.09%
0.10%
-0.11%
867
344
185
159
2.58%
0.55%
0.35%
867
354
216
138
4.78%
2.81%
2.62%
867
361
211
150
4.82%
2.88%
2.36%
3.57%
1.58%
1.30%
40.68%
608
223
65
158
5.68%
3.90%
3.72%
608
198
69
129
5.39%
3.63%
3.45%
608
258
125
133
8.54%
6.76%
6.61%
608
287
156
131
8.70%
6.94%
6.47%
7.08%
5.31%
5.06%
5.03%
2.55%
2.39%
39.72%
608
352
215
12
137
608
329
248
81
3.77%
1.32%
1.15%
608
308
181
127
9.73%
7.27%
7.10%
608
312
181
131
10.01%
7.58%
7.08%
7.14%
4.68%
4.43%
53.50%
2
1.
40.68% 39.72% 53.50%
2.
3.
4
8.00%
7.00%
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
-1.00%
4
4.
5.
13
3,200,000
2,844,709
2,800,000
2,400,000
2,000,000
1,600,000
1,200,000
1,339,908
971,578
800,000
684,862
409,706
400,000
0
87,15618,938
1999
389,538
177,175
2000
2001
1997 1 (CME)
(SIMEX)
1998 7 21
(TAIFEX)
(1999 7 21 )
2000 4
SIMEX TAIFEX
14
1997
1996
2000
-
2000
TAIFEX
2000
1997
1997 12
94-98
15
1996Vol. 8,No.3
1993
Cornell, B., and French, K. R., The Pricing of Stock Index Futures, Journal of
Futures Markets, 1983a,Vol.3: 1-14
Cornell, B., and French, K. R., Taxes and the Pricing of Stock Index Futures,
Journal of Futures Markets, 1983b,Vol.38:675-694
Modest, D. M. and Sundaresan, M., The Relationship Between Spot and futures
Prices in Stock Index Futures Markets: Some Preliminary Evidence, Journal of
Futures Markets, 1983,Vol.3:15-41
Kelmkosky, R. C. and Lee, J.H., The Intraday Ex-Post and Ex-Ante Profitability of
Index Arbitrage, Journal of Futures Markets, 1991,Vol.11:291-311
Chang and Loo, Marking-to-Market, Stochastic Interest Rates and Discounts on
Stock Index Futures, Journal of Futures Markets, 1987,Vol.7: 15-20
Figlewski, S., Hedging Performance and Basis Risk in Stock Index Futures, Journal
of Finance, 1984,Vol.39:657-669
Modest, D. M. and Sundaresan, M., The Relationship Between Spot and futures
Prices in Stock Index Futures Markets: Some Preliminary Evidence, Journal of
Futures Markets, 1984,Vol.3:15-41
Randall S. Billingsley and Don M. Chance, The Pricing and Performance of Stock
Index Futures Spreads, The Journal of Futures Markets, 1988,Vol.8:303-318
16