台灣股價指數與股票選擇權上市後對股市的影響之探討

The Impact of the Listing of Taiwan Stock Index Options & Equity Options on the Taiwan Stock Market

簡春旺(CHUN-WANG CHIEN)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300521

摘要

論文摘要

本研究主要探討在台灣加權股價指數選擇權與股票選擇權上市後對標的資產價量的影響。結論於下：
1.本研究發現，台股股價指數選擇權的上市，能降低標的資產價與量之波動性。但在股票選擇權上市後，雖對現貨與期貨的價格方面具有波動增加的效果，但在成交量上卻仍具有波動降低效果。在交叉比對後，發現股價指數選擇權上市後，不論是價或量的影響強度方面，現貨均大於期貨﹔而在股票選擇權上市後的影響強度方面，則對現貨的價之影響大於期貨，但對現貨之量的影響則小於期貨。
2. 在選擇權與標的資產間的相關性方面，本研究發現指數選擇權的買權(CALL)與臺灣加權股價指數期貨之相關性較高﹔但指數選擇權的賣權(PUT)卻與臺灣加權股價指數現貨的相關性較高﹔此外，實證結果顯示，有關指數選擇權與其標的間相關性方面，價內選擇權通常會高於價外選擇權。而在股票選擇權與其標的資產間之價格領先與落後關係方面，本研究發現買權(CALL)一般具有落後效果，但賣權(PUT)卻則具有領先效果﹔不過均未發現兩者間的領先與落後關係會達一日以上。
3. 本研究針對選擇權與標的資產間之套利機會進行分析，發現在樣本期間70個交易日中，正向套利機會有19日次，表示約3.68天可出現一次，各履約價平均約為5.43%﹔而反向套利機會則出現2日次，亦即約35天可出現一次負向套利機會，各履約價平均約0.57%。此外，本研究以樣本期間70交易日之樣本統計量，取中位數與標準差，對日後進行套利機會點估計，發現正向套利機會最高的為價平+2檔機率為12.76%﹔反向套利機會最高的為價平-2檔機率為3.597%。

關鍵字

價格領先或落後關係 ； 波動性 ； 套利交易 ； 選擇權

並列摘要

Abstract
This study explores the causation and correlation of the publicing listing derivatives and their underlying assets. This work targets TAIEX, index option, Taiwan capitalization weighted stock index, equity options, and their underlying assets. The empirical results are obtained as follows:
1. Regarding the impact of the public listing of Taiwan stock index option and equity option on the price and trading volume of the underlying assets, the empirical result indicates that the listing of Index option reduces the volatility of the price and trading volume of the underlying assets. However, the listing of the equity option deceases the volatility of trading volume, yet increases the volatility of price of Taiwan Capitalization Weighted Stock Index (Spot Index) and TAIEX Index Futures. This work also found that the volatility of price and trading volume of Spot Index is greater than that of TAIEX Index Futures, no matter whether the listing of TAIEX Index Options or not. However, after the public listing of equity options, this study found that the volatility of price of Spot Index is greater than that of TAIEX Index Futures, but the volatility of trading volume of Spot Index is smaller than that of TAIEX Index Futures.
2. Regarding the relationship between equity options and their underlying assets, the result demonstrates that the call option of TAIEX index option has higher correlation coefficient with TAIEX index futures than the other underlying targets while the put option of TAIEX index options has higher correlation coefficient with spot index than any other underlying targets. In general, this study found that the correlation coefficient between TAIEX index option and its related underlying assets is higher when the option was in-the-money positions than it was out-the-money positions. Concerning the leading and lagged relationship between stock option and their underlying assets, this investigation indicates that, the call options have lagged effect while the put options have the leading effect. Yet the time of leading and lagged period is shorter than one day.
3. Regarding the arbitrage opportunity between equity options and their underlying assets, this work found that in 70 trading-day example, the “positive arbitrage opportunity” occurred 19 times between TAIEX Index Option and TAIEX Index Futures, which indicates that the positive arbitrage opportunity appeared once in every 3.68 days and the net rate of return is 5.43%. In the same 70 trading-day example, the negative arbitrage opportunity happened 2 times, which represented that the negative arbitrage appeared once in every 35 days. The net rate of return is about 0.57%. In addition, after calculating the median and standard deviation of the statistics of this 70 trading-day samples, the result showed that the highest arbitrage probability in positive direction is 12.76% which occurred at ATM Options plus 2 levels of strike prices, which the highest arbitrage probability in negative direction is 3.597% which appered at ATM Options minus 2 levels of strike prices.

並列關鍵字

leading relationship ； Arbitrage ； Derivatives ； Options and Volatility ； lagged relationship

參考文獻

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