本研究旨在探討選擇權上市後對現貨市場之影響,研究中主要以TGARCH模型分析台指選擇權與電子選擇權上市後,現貨市場報酬的波動性及不對稱性是否會改變。此外,亦將樣本分爲中期(±300天)、中長期(±500天)與長期(±1200天)進行分析比較,探討是否會因爲觀察樣本期間的不同而產生不一致的結果。台股指數的研究期間爲1997年6月20日起至2006年10月24日,電子類股指數的研究期間爲2003年3月26日起到2007年4月2日。研究之實證結果發現,台指選擇權上市後,在中長期與長期的樣本下,台股指數報酬的波動性顯著的下降,而不對稱性的效果則只有在長期的樣本下顯著降低。電子選擇權上市後,對各樣本期間電子類股指數報酬的波動性皆無顯著影響,不對稱性的效果方面,只有在中長期的樣本下,電子選擇權上市後,顯著的增加了電子類股指數報酬波動的不對稱性。
The purpose of this study is to evaluate impact upon the spot market when options was introduced, and what change for the volatility and asymmetric effect of spot market return after the listing of Taiwan stock index options (TXO) and Electronic stock index options (TEO) by means of the model TGARCH. Additionally, the study also investigates about what difference of the result will be when the sample was divided into three parts. The sample period of Taiwan stock index is from June 20, 1997 to October 24, 2005, and of Electronic stock index is from March 26, 2003 to April 2, 2007. The empirical conclusions regard as the following: When TXO listed, Taiwan stock index return volatility is significantly decreased in the case of mid-long term and long term, and the asymmetric effect also decreased in long term. When TEO listed, there was no significant effect to Taiwan stock index return volatility in those three periods, but the asymmetric effect of Electronic stock index return is significant increased in the long term.