綜觀國內台股指數選擇權定價的相關研究,幾乎皆忽略現金股利的計算,然而,每年台灣上市公司發放現金股利的比重卻逐年提高,近年來幾乎已達90%以上。這樣的現況更突顯出現金股利估計定價模式的重要性。本研究欲以長期資料並針對交易成本的不同將投資者分為三種類型:一般投資人、外資與自營商,觀察其對市場效率性影響,並採用買賣權等價理論檢驗台股指數選擇權定價效率是否隨著時間增加而更具效率性。此外,再加入買賣權期貨等價理論做比較,驗證是否兩者結果會相同,亦或期貨所得結果較為優良,再對於影響定價誤差的變數進行迴歸分析,以釐清變數與定價誤差之關連性。在定價誤差方面,研究結果顯示不論在何種類型交易者與履約價格下,選擇權定價市場隨著時間的增加,定價行為的確有趨於成熟的趨勢;在實證迴歸方面,可發現契約到期日、流動性、波動性與未平倉量與定價誤差存在影響性,除此之外,從實證結果也可看出,現金股利的確影響定價誤差,表示在現金股利發放比重增大之下,現貨指數在定價上的確造成影響,此外,在精確股利模型估計之下,本研究所計算後之理論價格能更貼近於實際價格。
Looking at the past research of TAIEX index options, we find that almost all ignore the estimation of cash dividends; however, the proportion of cash dividends per year of listed companies has gradually increased, almost reaching 90% in recent years. This situation appears more prominent that the importance of cash dividends estimated. In this study, we want to use long-term data to test the efficiency of TAIEX index options pricing and according to the different transaction costs, we will divide investors into three different types: general investor, foreign institution and dealer. Besides, we will use Put-Call Parity (PCP) and Put-Call-Futures Parity (PCFP) as models to examine whether TAIEX index options pricing efficiency will increase over time, and to compare if the results will be the same. Then, we use the regression model to testify which dependent variables will affect pricing error. In terms of pricing error, the result shows that no matter in what types of investor and the moneyness, the option pricing efficiency increases over time, and proves that the pricing behavior does have a trend to mature. In terms of regression, we find that the pricing error is associated with maturity date, cash dividend, liquidity, volatility and open interest (OI). Furthermore, we can also see clearly from the result that there is a connection between cash dividends and pricing error. It means that under the proportion of cash dividends increased, there is an impact on TAIEX index pricing. Furthermore, under accurate dividend model, the theoretical price can be closer to the actual market price.
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