Effects of Listed Stock Options on Short Selling and Price Efficiency

股票選擇權上市對放空交易及價格效率之影響

謝舒帆(Shu-Fan Hsieh) ； 林君瀌(Jun-Biao Lin) ； 王玉芬(Yu-Fen Wang)

《證券市場發展季刊》 29卷1期 (2017/03) Pp. 149-182

https://doi.org/10.6529/RSFM.2017.29(1).4

摘要

This paper examines the effects of listed stock options on short selling and price efficiency by sampling the data from 125 listed stock options and short sales from July 1, 2004 through December 31, 2008 on the New York Stock Exchange (NYSE). The results suggest that listed stock options help to mitigate the restrictions on short selling and increase the speed of price adjustments to negative news. Moreover, the short selling on the spots contains information predicative of negative returns in the future. Despite the fact that options listings slightly lower the short restriction, the information contents of shorts in the spot market are not affected by option listings, and the trading of short selling provides more information than put options’ trading. In other words, only a few investors in possession of negative information shift to the option market. Most of them do not change trading behavior simply because of the lower transaction costs in the option market.

關鍵字

Stock Options ； Short Selling ； Price Efficiency

並列摘要

本研究分析股票選擇上市後，對於現貨市場放空交易及價格效率的影響。採用美國紐約證券交易所2004年7月1日至2008年12月31日共125家股票選擇權及現貨市場的放空交易資料，結果發現股票選擇權上市可以相對降低放空限制和提升負面消息的價格調整速度，兩市場為合作關係。此外，我們發現現貨市場的放空交易具有資訊內含，可以預測未來負報酬，而且資訊內含不受選擇權上市的影響。然而，和放空交易相比，選擇權市場較不具有資訊內涵，無法預測未來負報酬，表示具有負面消息的投資人，仍較喜歡在現貨市場做看空交易，不因為選擇權市場的交易成本較便宜，而改變其交易的習慣。

並列關鍵字

股票選擇權 ； 放空交易 ； 價格效率

參考文獻

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