本文主要在探討 2007 年次級房貸風暴前後,臺指選擇權市場活動性(OMA)與臺灣加權股價指數波動性(CMV)間關聯性之研究,分次級房貸風暴前、風暴期間以及風暴結束後三階段進行實證,摘取臺指選擇權市場活動性(OMA)、臺灣加權股價指數波動性(CMV)、臺灣加權股價指數報酬率(TWR)、美國道瓊指數報酬率(USR)等方面共四項變數資料,經由單根檢定、Johansen共整合檢定、向量自我迴歸模型與誤差修正模型、Granger 因果關係檢定以及衝擊反應函數分析等時間序列計量方法,來達成本文之研究目的。 實證結果發現:(1)指數波動性與市場活動性於次貸風暴發生期間是較高的;(2)指數波動性與市場活動性在次貸風暴後呈現大幅右偏之情形;(3)指數波動性與市場活動性在次貸風暴後呈現嚴重高狹之情形;(4)指數波動性與市場活動性具有時間序列的特性;(5)指數波動性與市場活動性皆為恆定序列;(6)市場活動性(OMA)於次貸風暴前受前期之干擾較大,指數波動性(CMV)於次貸風暴後受前期之干擾較大;(7)在次貸風暴前與後,指數波動性對市場活動性具有單向之因果關係具有單向之因果關係。
This study examines the dynamic relationship between option market activity and cash market volatility on the TAIEX index before and after the financial crisis in 2007. We employ OMA、CMV、TWR、USR and analyze them by using Unit Root test, Johensen Co-integration test, VAR model, VECM model, Granger Causality test, and Impulse Response Function. Our empirical results are as below:(1)CMV with OMA occurred during the financial crisis is higher; (2)CMV and OMA showing significantly right distributivity after the financial crisis; (3)CMV and OMA after the financial crisis presents a serious high leptokurtic; (4)CMV with OMA has the characteristics of time series; (5)CMV the OMA are constant series; (6)OMA subject to prior periods prior to the financial crisis interferences, CMV after the financial crisis by the early the interference; (7)before the financial crisis and the OMA, CMV has a one-way causal relationship.