臺指選擇權市場之套利效率

Arbitrage Efficiency Tests of the TAIEX Index Option Market

周恆志(Heng-Chih Chou) ； 杜玉振(Yu-Chen Tu)

《管理與系統》 12卷3期 (2005/07) Pp. 1-26

摘要

本文採用數個無套利關係式來檢測臺指選擇權市場的套利效率，並探討選擇權交易成本降低之後，市場套利效率的變化。檢測結果發現，整體而言臺指選擇權市場內部的套利效率頗佳，但是臺指選擇權市場與標的股票市場之間的跨市場套利效率較差；交易成本與股票市場的放空成本僅能部份解釋股票市場與臺指選擇權市場之間的無效率。相對而言，臺指期貨市場與臺指選擇權市場的套利效率顯著較佳。在選擇權交易成本降低之後，市場的套利機會與套利報酬皆顯著下降，顯示選擇權市場的套利效率確有進一步的提高。此外，本文發現臺指選擇權市場對資訊的反應顯著領先股票市場，而且在選擇權交易成本降低之後，更延長了臺指選擇權市場的領先時間。

關鍵字

臺指選擇權 ； 套利效率 ； 無套利關係式 ； 交易成本 ； 放空限制

並列摘要

This article applies several no-arbitrage conditions to examine the arbitrage efficiency of the TAIEX index option (TXO) market. We also explore the impact of the transaction costs on arbitrage efficiency. Overall, the average size of violation is not large awl few arbitrage opportunities exist when the arbitrage conditions are formed without the underlying index. However, there are a significant number of violations in no-arbitrage conditions when the conditions involve both options and the underlying index. Both transaction costs and short sales costs account for only part of the observed violations. When the index futures are put into the no-arbitrage condition, violations are obviously fewer. After the option market decreases transaction costs, arbitrage efficiency is improved significantly. Meanwhile, the option market leads the stock market, and the time lead of options is longer after the transaction costs has been lowered down.

並列關鍵字

TXO ； arbitrage efficiency ； no-arbitrage conditions ； trading costs ； short sales constraints

參考文獻

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