Improving the Market Quality of Underlying Securities: Alternative Issuing Choices of Single Stock Derivatives

提升股票現貨市場交易品質：股票衍生性商品發行模式選擇

王明昌(Ming-Chang Wang) ； 丁裕家(Yu-Jia Ding)

《財務金融學刊》 27卷2期 (2019/06) Pp. 121-156

https://doi.org/10.6545/JFS.201906_27(2).0004

摘要

We set out to investigate the impacts on spot market quality arising from various issuing models of single stock derivatives, examining the following three issuing models used by the Taiwan Futures Exchange (TAIFEX): (i) individual issuance of single stock options, (ii) individual issuance of single stock futures, and (iii) simultaneous issuance of single stock options and futures. We aim to identify any improvements in the market quality of single stock spots attributable to the three issuing models and identify the optimal issuing model. Our results can help the competent authorities to determine the optimal issuing model of single stock derivatives.

關鍵字

Market quality ； single stock options ； single stock futures ； issuing models

並列摘要

本研究旨在探討各股票衍生性金融商品發行模式對個股現貨市場交易品質的影響，以臺灣期貨交易所股票衍生性商品的三種發行模式為研究樣本，分別為單獨發行股票選擇權、單獨發行股票期貨及股票選擇權與股票期貨同時發行。檢定發行模式對個股現貨市場交易品質的改善程度，研究結果可供主管機關決定股票衍生性商品最佳發行模式。

並列關鍵字

市場品質 ； 股票選擇權 ； 股票期貨 ； 發行模式

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