選擇權到期效果之研究-以台灣市場為例

A Study of Option-Expiration Effects-The Case of Taiwan

吳孟憲(Mong-Hsien Wu)

指導教授 ： 陳思寬

國立臺灣大學/管理學院/國際企業學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.00076

摘要

本論文將探討台灣股票市場是否有選擇權到期效果的情形。根據過去文獻指出，到期效果的定義為期貨與選擇權商品在接近到期日時，現貨市場發生異常現象的情形。本研究針對台指及個股選擇權標的物的報酬率(return)、條件變異數(conditional volatility) 和成交量(trading volume)三項指標進行到期效果分析，希望能以此研究的結果，對投資大眾及相關機構在選擇權操作上有所幫助。以下為本論文根據三項變數所探討之到期效果所得到的結論：
1.報酬率：台灣加權指數報酬率在選擇權到期日附近，並沒有顯著的異常現象發生；而個股方面，根據不同的GARCH模型，在對稱GARCH(1,1)模型下，南亞日報酬率在到期日當天有相當顯著的正向到期效果存在，而在不對稱GJR模型，則是中鋼在到期日當天具有負向到期效果。
2.條件變異數：在條件變異數方面，台指不論在對稱及不對稱模型下皆具有明顯的異常波動增加效果。而個股方面則是南亞及中鋼具有波動性異常效果，其中又以中鋼在所有虛擬假設下皆為顯著。此結果代表大盤指數、南亞及中鋼在到期日附近都有異常波動性增加的現象存在。
3.交易量：台指選擇權在到期日當天有異常大量的交易筆數存在於現貨市場，而在到期日前兩天則是有交易量大幅減少的現象；而個股選擇權方面，只有台積電在到期日當天，有正向的交易量異常現象。
以上結果代表著我們假設的選擇權到期效果確實是存在於台灣股票市場之中，本文並針對可能造成此現象的原因，於結論之中提出說明。

關鍵字

選擇權 ； 到期日 ； 到期效果

並列摘要

This thesis analyzes the effect of the expiration of TAIEX Options, as well as the first five equity options traded in the Taiwan Futures Exchange, on the return, conditional volatility, and trading volume of the underlying assets. The aim of the results of this thesis is to help investors and institutions to develop strategies of investing options. The results are as follows:
1. Return: Results from TAIEX indicate no effects on the returns at expiration date. But there are significant effects in individual stocks on expiration date. The first model used is the GARCH (1,1) Model. NAN YA has significant positive effect at expiration date, and in the second model, GJR model, Chain steel has negative effect at expiration date.
2. Conditional volatility: No matter the symmetric or the asymmetric model, there is abnormal increase on volatility on TAIEX. And there is still significant abnormal effect in NAN YA and Chain steel. The results mean there are actually the effect of expiration date on the conditional volatility on TAIEX、NAN YA and Chain steel.
3. Trading volume: There is a significant increase on the trading volume on the expiration day on TAIEX, and a significant decrease on the trading volume on the two day before the expiration day. The aspect of individual stocks, there is just only a abnormal increase on trading volume at expiration date on TSMC.
Thus, the hypothesis, option-expiration effect, really exists in Taiwan stock market, and the reasons resulting in this effect are described in the chapter of conclusion.

並列關鍵字

GARCH(1,1) ； GJR Model

參考文獻

Chou, R. Y., J. H. Lee and C. C. Wu, (1999), The Effect of Futures Introduction on Market Volatility and Information Transmission. Working Paper.

Andersen, T. G. (1996) Return volatility and trading volume: An information .flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.

Antoniou, A., & Holmes, P. (1995) Futures trading, information and spot price volatility: evidence for the FTSE-100 Stock index futures contract using GARCH. Journal of Banking &Finance, 19, 117-129.

Cinar, E. M., &Vu, J. (1987, January-February). Evidence on the effect of option expirations on stock prices. Financial Analysts Journal, 55-57.

Corredor, P., Lechon, P. and Santamaria, R., (2001), Option-Expiration Effects in Small Markets: The Spanish Stock Exchange. Journal of Future Markets, 21(10), 905-928