美國、英國及臺灣指數選擇權與現貨市場間之波動外溢效果

The Volatility Spillover Effect between Index Options and Their Underlying Markets: Evidence from the U.S., U.K., and Taiwan

陳鴻旻(Hong-Min Chen)

指導教授 ： 詹佳縈 ； 王銘駿

元智大學/管理學院/財務金融學系/碩士(2009年)

https://doi.org/10.6838/YZU.2009.00117

摘要

本論文研究美國、英國和臺灣共五個指數選擇權和現貨市場間波動外溢的現象，並且把可能的跨市場財務槓桿效果納入考量。實證結果顯示，在五個指數選擇權市場都可以觀察到雙向的波動外溢效果，以及跨市場的槓桿效果。此結果支持選擇權在價格發現過程中扮演重要地位的觀點。本論文進一步分析不同的市場背景是否會影響波動外溢效果的形式，發現現貨市場的新資訊影響指數選擇權市場隔天波動的頻率較高，唯一的例外是那斯達克100指數選擇權，我們認為可能是由於那斯達克交易所股票的平均波動較低的緣故。

關鍵字

波動外溢效果 ； 槓桿效果 ； bivariate GARCH-BEKK

並列摘要

The volatility spillover effect between S&P 500, Dow Jones Industrial Average, Nasdaq-100, FTSE-100, TAIEX index options and their underlying markets is examined in the study. The possible cross-market leverage effect is also considered. Empirical results indicate that bidirectional volatility spillover effect as well as cross-market leverage effect exists between index options and their underlying markets. This finding supports the hypothesis that option market plays an important role in the process of price discovery. We further examine whether pattern of volatility spillover effect is related to specific market setting. We find that in general innovations in underlying market are more predictive for the next day’s volatility in options market than the other way round, except for Nasdaq-100. We attribute the phenomenon to the lower average volatility for the stocks in Nasdaq.

並列關鍵字

volatility spillover ； leverage effect ； bivariate GARCH-BEKK

參考文獻

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Booth, G.., Martikainen, T., and Tse, Y., 1997, “Price and volatility spillovers in Scandinavian stock market,” Journal of Banking and Finance, 21, 811-823