台指選擇權與現貨市場之正向價格回饋行為研究：隱含波動值指標和未平倉口數之應用

Positive Feedback Trading across Taiwan Index Option and Cash Markets: An Analysis of Implied Volatility Index and Open Interest

李進生(Chin-Shen Lee) ； 袁淑芳(Shu-Fang Yuan)

《經營管理論叢》 2005特刊 (2005/12) Pp. 191-206

https://doi.org/10.6872/OMR.200512/SP.0013

摘要

本文目的在分析台股現貨指數與選擇權市場間的短期價格序列相關特性，並以隱含波動度與未平倉口數變動率做為選擇權市場價格變動的表徵因子。根據本文研究結果，發現表徵選擇權市場價格變動壓力的變數存在較明顯的自我相關現象，意謂選擇權市場本身存在正向回饋的交易行為。至於在跨市的研究，發現當賣權波動度及賣、買權未平倉口數差異出現極端高值時，未來1－5日的現貨市場將出現負報酬表現，據此說明在空頭市場，選擇權市場與現貨市場短期存在正向回饋的交易行為，且在訊息傳遞過程，選擇權市場具有領先的地位。

關鍵字

隱含波動度 ； 未平倉口數 ； 正向回饋交易行為

並列摘要

The article investigates the time-series and cross-correlation between the Taiwan index option and the cash markets, and it uses the implied volatility index and open interest to measure the price pressure in the options market. This paper finds evidence of a negative 1-5 days return on cash index are associated with an increasing in the open interest spread, i.e. the difference between open interest of puts and calls, and the implied volatility of puts. This suggests that it exists the positive feedback trading behavior across cash and options markets, and the open interest spread and implied volatility of puts have some incremental information regarding the price change in cash index market.

並列關鍵字

Implied Volatility ； Open Interest ； Positive Feedback Trading