台灣金融市場指數選擇權到期效應與波動度 微笑曲線之研究

The Study on Expiration Day Effect of TXO and Volatility Smile

施振祥(Zhen-hsiang Shin)

指導教授 ： 羅庚辛

國立中央大學/管理學院/企業管理學系/碩士(2007年)

摘要

美國金融市場在指數選擇權到期日時有異常的交易價格、交易價格波動較劇烈與異常交易量及價格反轉等到期日效應情形發生，而香港恆生指數則沒有顯著的到期日效應。本文應用Masulis (1980)所用的期間比較法 (CPA)來比較臺灣加權股價指數與臺指選擇權(TXO)在到期日與非到期日價量上的平均數與變異數，來探討臺灣金融市場是否有到期日效應，其分析結果歸納如下：到期日之前一日在報酬波動與微笑曲線上有到期日效應；到期日的報酬、報酬波動、價格反轉與微笑曲線都有到期日效應存在；結算日開盤後15分鐘的報酬波動與交易量有到期日效應現象，表示說臺灣特殊的結算制度會使某些到期日效應移至結算日。隔夜效果只存在於到期日之前一日收盤至到期日開盤期間。

關鍵字

微笑曲線 ； 價格反轉 ； 到期日效應 ； 隔夜效果

並列摘要

Expiration effects, including abnormal trade price, fiercer volatility of trade price, abnormal trading volume and price reversal, occurs on expiration days in the US financial market, but do not significantly take place for Hang Seng Index. This study used Masulis’ CPA to compare means and variations on expiration days and non-expiration days for TAIEX and TXO, to explore whether expiration effects exist in Taiwan financial market. The results of analysis were concluded as following：return volatility and smiling curve displayed expiration effects on days before expiration days, and so did return, return volatility, return reversal as well as smiling curve on expiration days；Return volatility and trading volume 15 minutes after the market opened on settlement days showed expiration effects, which means the particular procedure of settlement in Taiwan moved expiation effects to the settlement day. Overnight effects only existed from the settlement on days before expiration days to the market opening on expiration days.

並列關鍵字

Expiration Day Effect ； Price Reversal ； Smile Curve ； Overnight Effect

參考文獻

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