台灣選擇權市場交易活動之實證研究：文獻回顧與展望

A Survey of Empirical Studies on Trading Activities in the Taiwan Index Options Market

張傳章(Chuang-Chang Chang) ； 謝佩芳(Pei-Fang Hsieh)

《經濟論文叢刊》 44卷1期 (2016/03) Pp. 57-75

https://doi.org/10.6277/TER.2016.441.2

摘要

台灣期貨交易所自2001年12月推出臺指選擇權以來，其交易量逐年增加，至2006年時，台指選擇權已成為全球前五大交易頻繁之選擇權商品，因此以台指選擇權為對象之實證研究益顯得重要。本文撰寫之目的在於有系統地彙整以台灣選擇權市場為研究對象之代表性文章，並以選擇權商品交易量之資訊內涵為主軸加以回顧整理希望能有助於國內學者了解並深化研究台灣選擇權市場之相關重要議題。

關鍵字

資訊內涵 ； 行為財務學 ； 台指選擇權 ； 實證研究 ； 文獻回顧

並列摘要

An index option was launched in December 2001 by the Taiwan Futures Exchange, and became one of the world’s top five trading index options in terms of trading frequency in 2006. Therefore, many scholars have done empirical studies on the Taiwan index option over the past few years. The purpose of this study is to systematically investigate representative articles that focus on the Taiwan options market data. We hope that this survey article can help scholars understand and do further interesting research on the Taiwan options market.

並列關鍵字

Information Content ； Behavior Finance ； Taiwan Index Options ； Empirical Study

參考文獻

Anand, Amber,Chakravarty, Sugato(2007).Stealth Trading in Options Markets.Journal of Financial and Quantitative Analysis.42,167-188.

Anthony, Joseph H.(1988).The Interrelation of Stock and Options Market Trading-Volume Data.Journal of Finance.43,949-964.

Back, Kerry(1993).Asymmetric Information and Options.Review of Financial Studies.6,435-472.

Barclay, Michael J.,Warner, Jerold B.(1993).Stealth and Volatility: Which Trades Move Prices?.Journal of Financial Economics.34,281-306.

Black, Fischer(1975).Fact and Fantasy in the Use of Options.Financial Analysts Journal.31,36-41+61-72.