選擇權價格領先股票價格嗎？－新興市場的實證研究

Does Option Price Lead Stock Price?: The Case of an Emerging Market

張志向(Chih-Hsiang Chang) ； 陳麗娟(Li-Chuan Chen)

《Asian Journal of Management and Humanity Sciences》 1卷3期 (2006/10) Pp. 422-433

https://doi.org/10.6413/AJMHS.200610.0422

摘要

由於新興衍生性商品市場的低流動性可能導致其價格反應新資訊的效率性較低，因此探討新式衍生性商品的價格發現功能，將有助於瞭解新興衍生性商品市場的資訊效率性。本研究以每隔15分鐘的日內交易資料探討台股指數現貨與選擇權市場的領先落後關係。相較於過去的文獻，本研究著重於分析選擇權內含價值與權利類型對領先落後關係的影響。實證結果發現台指現貨價格領先價平買權價格與價外一檔買權價格15分鐘；而不同內含價值的選擇權與不同權利類型的選擇權，其價格反應資訊的速度不一。

關鍵字

新興市場 ； 日內交易資料 ； 領先落後關係 ； 內含價值 ； 權利類型

並列摘要

Emerging derivatives markets may be less efficient in incorporating new information because they experience low liquidity. Focusing on the function of price discovery of new stock index derivatives gives us a complete picture of the informational efficiency of these markets. This study investigates the lead-lag relationships between the cash and the option markets on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) by using 15-minute intraday data. In contrast to prior research, we examine the effect of the intrinsic value of options and the types of options on the lead-lag relationships between the stock and the option markets. The empirical results indicate that the cash index leads at-the-money call options and out-of-the-money call options by up to 15 minutes. There is an obvious difference between the speed of price reaction to new information in TAIEX options of different intrinsic values compared to the reaction time of other types of options..

並列關鍵字

emerging market ； intraday data ； lead-lag relationship ； intrinsic value ； types of option