臺指週選擇權引入後對臺指選擇權及臺指期貨之替代互補效果與市場交易品質分析

The Substitution and Complementary Effects & Market Transaction Quality Analysis after the Introduction of Weekly TAIEX Options

陳婉琦(Wan-Chi Chen)

指導教授 ： 王明昌

國立中正大學/管理學院/企業管理學系/碩士(2014年)

摘要

本研究以臺灣期貨交易所發行之臺指選擇權及臺指期貨日內交易資料為研究樣本，探討臺指週選擇權導入後對臺指選擇權及臺指期貨交易活動之影響，主要目的在於瞭解臺指週選擇權對成交量及市場交易品質的影響。研究發現週選擇權引入後對臺指選擇權及臺指期貨之成交量皆存在顯著的替代效果，而與股市大盤成交量間則產生明顯的互補效果。研究並發現，若以買賣價差、市場深度及暫時波動性等特性來定義市場品質，分析週選擇權引入後對臺指選擇權及臺指期貨之市場交易品質的影響，則實證結果顯示，週選擇權引入後，短期內臺指選擇權及臺指期貨之市場交易品質並沒有明顯的改善，但相對市場深度則有逐漸提升的趨勢。本研究結果顯示短期商品可活絡證期市場，但在開發時仍應考量商品間的替代性。

關鍵字

週選擇權 ； 互補效果 ； 替代效果 ； 市場交易品質

並列摘要

Intraday data were used to investigate the substitution and complementary effects after the introduction of the weekly TAIEX options in this research. The results showed that there existed substitution effect to the trading volume of the TAIEX options and the TAIEX futures, and there also existed complementary effect to the underlying securities trading volume after the introduction of the weekly TAIEX options. Furthermore, by using the bid-ask spread, market depth and transient volatility as the proxy variables of the market transaction quality, our empirical results revealed that neither the option market transaction quality nor the future market transaction quality had been improved after the introduction of the weekly TAIEX options. Yet, the relative market depth had the trend of increasing. This research concludes that the short term index option could improve the efficiency to the underlying securities yet it's substitution effects with other existing products should be evaluated before it issues.

並列關鍵字

weekly options ； substitution effect ； complementary effect ； market transaction quality

參考文獻

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