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研究生： 周銘羣
Ming-Chun Chou
論文名稱： 外匯市場三角套利策略之分析
Analysis of Triangular Arbitrage in Foreign Exchange Markets
指導教授： 高櫻芬
Yin-Feng Gau
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系在職專班
Executive Master of Finance
論文出版年： 2021
畢業學年度： 109
語文別： 中文
論文頁數： 41
中文關鍵詞： 三角套利 、外匯市場
外文關鍵詞： triangular arbitrage, foreign exchange market
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    • 本文探討外匯市場上三角套利 (triangular arbitrage)機會的形成，並比較外匯市場不同交易時段之套利機會與套利利潤。以2020年的外匯市場日內報價資料為研究樣本，研究結果顯示三角套利機會分散在一天的24小時中，在交易較熱絡的GMT 8:00 - 20:00時段，因外匯交易量大，造成外匯市場之價格效率相對較高，所以套利機會明顯較GMT 20:00 - 8:00時段短暫，但GMT 8:00 - 20:00時段的套利利潤比較大。另本文亦發現紐約倫敦重疊交易時段之三角套利機會與其他時段相比，並無顯著差異。

    This thesis studies the opportunity of triangular arbitrage in the foreign exchange market. Using the data of intraday quotes of three triangles of currencies: EUR-USD-JPY, EUR-USD-CHF, and EUR-USD-GBP, we find that the arbitrage opportunities occur over the 24 hours in one day. We compare the triangular opportunities across different trading periods. The results show that the period of GMT 8:00 - 20:00, which is more liquid than the period of GMT 20:00 - 8:00, has less arbitrage opportunity than the period of GMT 20:00 - 8:00. However, the profit of triangular arbitrage is higher in the period of GMT 8:00 - 20:00 than in the period of GMT 20:00 - 8:00.

    摘要 i Abstract ii 誌謝 iii 目錄 iv 表目錄 vi 圖目錄 vii 第一章 緒論 1 1.1研究背景 1 1.2研究動機 1 1.3研究目的 3 1.4研究方法 3 1.5章節架構 4 第二章 文獻回顧與假說建立 5 2.1三角套利的機會與利潤 5 2.2 外匯市場之交易概況 6 2.3 匯率 7 2.4三角套利機會之假說 8 第三章 樣本選擇與研究方法 9 3.1外匯市場之運作 9 3.2資料來源 10 3.3研究樣本 11 3.4研究方法 12 3.4.1三角套利機會計算方法 12 3.4.2三角套利利潤計算方法 13 3.5 資料處理方法 14 第四章 實證分析 15 4.1分析結果 15 4.2實證分析 16 4.3小結 23 第五章　結論與建議 25 5.1結論 25 5.2建議 26 參考文獻 27

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