本研究計算出了六種台灣加權指數選擇權波動性偏態指標來研究對台指報酬率的關係。全樣本期間的波動性偏態指標和台指報酬率的迴歸分析結果均顯著,且方向除了RVIV1與RVIV2指標其他皆符合本研究的預期。本研究進而將樣本期間拆成台指週選擇權上市前後,發現在週選擇權上市前的結果和全樣本一致,但週選擇權上市後的結果卻有SKEWOTMP、SKEWATM和SKEWOTMC三種指標不顯著,表示在這個時期選擇權市場已開始改變。在週選的樣本中SKEWOTMC並不顯著,且SKEWOTMP、SKEWATM和∆SKEWATM的方向和全樣本及同期間的選擇權樣本不一致,表示週選擇權的市場型態和一般選擇權不同。最後將樣本分成景氣低迷和熱絡期間做穩健性測試,發現在低迷期間的結果和前述一致,但熱絡期間的結果則有些差異,表示景氣熱絡對結果的影響較大。
In order to investigate the relationship between TAIEX return and the implied volatility of Taiwan Index Options, this paper use the methodology of the past studies, and calculate 6 volatility skew measures of Taiwan Index Options market.During the all sample period and before the weekly options is listed,the coefficient of the volatility skew measures is significant, except for RVIV1 and RVIV2. However, after the weekly options is listed, the coefficients of SKEWOTMP、SKEWATM and SKEWOTMC are little statistically significant. Show that the market has been changed during this period.The coefficient of SKEWOTMC is not significant and the directions of SKEWOTMP、SKEWATMand ∆SKEWATM for weekly option market are not consist with the option market.Finally divided the sample into economic recession and expansion period and find that the effect of expansion is more than recession.