操作工具選擇權、個股期貨於面對金融海嘯週期績效分析

近期新興市場貨幣大幅貶值市場氛圍似金融風暴即將重演,故研究探討能以少許資金投資,低風險、高獲利的金融市場新興商品選擇權與個股期貨之投資決策,期能於面臨金融海嘯時達到薪資之外的報酬。過去對於選擇權與個股期貨文獻多研究與股票價格之關聯性、隱含波動率、價量關係而對於該投資工具之面臨金融海嘯時的投資組合與報酬研究，則較為少見。本論文從選擇權買買(賣)權及個股期貨大立光與台積電報酬，探討選擇權、個股期貨投資組合報酬差異。研究方式採模擬方式透過選擇權－台股指數，個股期貨以大立光與台積電股票為研究對象，二種投資工具衍生四種操作策略整合為一資料庫，並研究透過歷史檔案股價取樣並模擬金融海嘯時波段起伏,藉由T檢定、ANOVA檢定分析，得出相對優勢之投資操作策略與報酬。計算結果顯示，買進賣(買)權，金融海嘯時期指數波動大、獲利佳，但權利金價格甚高，整體獲利相較其他操作策略並不高。金融海嘯時期台指期跌幅深，買進賣權500點縱使12期中損失8期獲利4期，但獲利仍有75％，證實選擇權以小博大，損失有限、獲利無限。個股期貨於金融海嘯時期，下跌段賣空單大立光，高價股跌幅深，為獲利最佳策略。上升段買多單台積電，低價股成長快速、回升速度快報酬率高，為最佳投資績效組合。

關鍵字

金融海嘯；選擇權；個股期貨；買進買權；買進賣權

並列摘要

Emerging markets are facing a crisis situation with the recent sell-off in emerging market currencies. This paper analysis the low risk, high profit investing instruments and the trading strategies on options and stock futures during the economic downturn. A lot of past studies emphasize on options and stock futures’ pricing theory and implied volatility, however, there are relatively few studies devoted to an investigation of trading strategies and performance analysis during financial crisis. This paper examines the trading strategies of options and stock futures and the performance of LARGAN Precision Co., Ltd (LARGAN) and Taiwan Semiconductor Manufacturing Co., Ltd (TSMC) during financial crisis. 　　This study proposed simulation approach which models the historical pricing volatility of options and stock futures of the LARGAN and TSMC during financial crisis. Afterward, we conduct T-test and ANOVA analysis to assess the trading strategies and its performance. 　　The calculation results show that the buying and selling (buying) rights, the index fluctuations during the financial tsunami period, the profit is good, but the premium price is very high, the overall profit is not higher than other operating strategies. During the financial tsunami period, the Taiwan referee period fell sharply. If the purchase price was 500 points, even if there were 4 losses in the 12th period, the profit will be 4 times, but the profit will still be 75%. It confirms that the choice is small and the loss is limited and the profit is unlimited. During the financial tsunami period, individual stock futures were short-selling in the downtrend, and high-priced stocks fell sharply, making it the best strategy for profit. The upselling segment buys more than one TSMC, and the low-priced stocks grow fast, and the rebound rate is fast, and the return rate is high, which is the best investment performance combination.