股票期貨與股票選擇權對個股信用交易之替代與互補效果

The Substitution and Complementary Effects of the Introduction of Stock Future and Option on Margin Trading of Individual Stocks

王明昌(Ming-Chang Wang) ； 鄭揚耀(Lee-Young Cheng) ； 丁裕家(Yu-Jia Ding)

《證券市場發展季刊》 27卷1期 (2015/03) Pp. 33-70

https://doi.org/10.6529/RSFM.2015.27(1).2

摘要

本研究以台灣期貨交易所發行234檔股票期貨與43檔股票選擇權之上市(櫃)公司為研究樣本，探討股票期貨與股票選擇權上市後對個股信用交易活動的影響。我們發現股票期貨與股票選擇權上市後對標的個股融資與融券交易活動皆顯著存在替代與互補效果。此外，以市值規模、股價淨值比、週轉率等公司特徵變數來捕捉槓桿交易的替代程度與效率性提升幅度，衡量其替代效果與互補效果的大小，實證結果顯示不同特徵的標的公司其替代與互補效果具顯著差異。

關鍵字

股票期貨 ； 股票選擇權 ； 信用交易 ； 替代效果 ； 互補效果

並列摘要

This study aims at to investigate the influence of the introduction of stock future and option on margin trading of individual stocks. Using the underlying stocks of 234 stock futures and 43 stock options listed on Taiwan Futures Exchange, our findings show that there significantly exists the substitution and complementary effects of margin financing trading and margin short trading for the introduction of stock future and option. Additionally, by applying firm size, market-to-book ratio and turnover rate to separately capture the magnitude of substitution and complementary effects according to the substitution level of leverage trading and the enhancement of market efficiency, our results show the significant difference in substitution and complementary effects among the underlying stocks with different characteristics.

並列關鍵字

Stock Future ； Stock Option ； Margin Trading ； Substitution Effect ； Complementary Effect

參考文獻

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