台股現貨與衍生性商品市場之價格發現與流動性----322事件分析

Price discovery and liquidity in Taiwan spot market and Derivatives—An Empirical Study of 322

劉宜明(Yi-Ming Liu)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00074

摘要

3月22日股市、期市已跌停，無法發揮價格發現功能，而台指選擇權尚具價格發現能力。本文利用Kleidon and Whaley（1992）提出之應用選擇權價格，以非線性回歸模擬隱含指數，藉以探知股市跌停當天指數應有的水準與瞭解選擇權市場與其他市場間價格發現能力發揮程度。期盼透過了解歷史事件，以及建議市場結構改善的方向，以因應未來可能發生的市場巨幅變動。 實證結果發現，選擇權市場由於有較寬鬆的漲跌幅度，在現貨漲跌停板時，可以發揮「價格發現」的功能，也就是揭露當時市場認定的「公平指數水準」。另外，股票鎖住之後就不再有交易，而選擇權市場找到公平價格之後仍有流通性。當市場處於穩定狀態，即跌停前319波動性不高時，以交易量大的選擇權具有較佳的價格發現能力；然而，若市場波動性跳空升高，甚至現貨指數跌停不具參考價值時，則以接近價平之選擇權契約序列具有較佳的價格發現功能，揭露訊息的能力較佳。 本文建議應放寬市場漲跌幅限制，可使市場更具效率性，以及有重大訊息發生時，使價格發現過程更為迅速與精準，並發揮提供流動性的應有功能。因價格限制只是延緩價格發現的過程，使得未反應的資訊遞延到下一期，只會使下一期的股價波動性增加。

關鍵字

非線性回歸 ； 價格發現 ； 流動性

並列摘要

On March 22, the Taiwan Stock Index, Futures had fallen stop, couldn’t display
the price discovery, but the Taiwan Stock Index Options still had the price discovery
ability. This article applied the non-linear regression of Kleidon and Whaley( 1992) to
simulate the implied index in order to explore the true index and price discovery
ability between options, futures and spot market.
Empirical results indicate that out-of-the-money options have a better price
discovery ability than near-the-money options, when markets are on normal condition.
However, when markets become fluctuating, near-the-money options have a better
price discovery ability.
This article suggested we should relax the price limit to make the market more
efficiently and let the price discovery process more rapidly and accurately when some
media events happened.

並列關鍵字

Nonlinear Regression ； Price discovery ； Liquidity

參考文獻

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