金融危機下投資銀行與商業銀行選擇權與股票市場間效率性

Investment Bank and Commercial Bank Market Efficiency between Option and Stock Markets in Financial Crisis

吳昇融(Sheng-Jung Wu)

指導教授 ： 蘇永成

共同指導教授 ： 王耀輝(Yaw-Huei Wang)

國立臺灣大學/管理學院/財務金融學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.01031

摘要

無資料

關鍵字

市場效率性 ； 選擇權 ； 股票

並列摘要

The concept of market efficiency has brought a great amount of research and debate ever since Eugene F. Fama published the famous “Efficient Capital Markets” in 1969. There are different kinds of market anomalies and behavioral finance linked to psychology has been revealed. Nevertheless, these conflicts can be harmonized by the concept of “aggregation” which means all the investors taken together will push the market toward efficiency that no one can earn abnormal return by any trading strategy. In the real world, however, efficiency cannot happen instantaneously. The central purpose of this thesis is to investigate the linkage and efficiency between option and stock market during financial tsunami in 2008.
First of all, we selected largest financial institution in the U.S. from June 2008 to December 2008 as our study sample to examine the relation between return and order imbalances by applying the OLS method. The empirical result shows that the contemporaneous imbalances in stock market have a significant impact on returns in the option market, and the lagged-one imbalances also have significantly positive impact on the Call option but not significant on the Put option. After we condition on the contemporaneous imbalances, the impacts of lagged-one imbalances on the Call option are still positive. Similarly, we used the GARCH model to test the relation between order imbalance in the stock market and return as well as volatility in the option market, and it shows that there is also significant relation between contemporaneous imbalances and returns.
Finally, we developed an imbalance-based trading strategy aimed at earning positive profit. Our strategy was to long Call when observing the first buyer-initiated order-imbalance and short back the underlying when the order imbalance turn into seller- initiated. Similarly, we long Put when observing the first seller-initiated order-imbalance and short back the underlying when the order imbalance turn into buyer- initiated. This trading strategy outperformed the original buy and hold rate of return.

並列關鍵字

Market efficiency ； option ； stock

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