- 學位論文
台指買權流動性探析－存貨理論與資訊不對稱理論之驗證
The Explanation for Liquidity of TXO Call Options －Inventory Risk v.s. Asymmetric Information
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摘要
根據市場微結構觀點，流動性主要論點包括存貨理論與資訊不對稱理論，兩者產生的原因與衍生的風險是有差異的。若不了解選擇權市場之影響因素，將可能使得投資人做出非期望之投資策略，或買入存有流動性風險之衍生性金融商品，造成投資人承擔非預期之風險，而高估可能的獲利。 本研究將依價性做為樣本之控制變數，再依交易間隔將樣本細分為價平(快/中/慢)、價內(快/中/慢)與價外(快/中/慢)九組子樣本，探討各因子與流動性之關聯可歸因於存貨理論或是資訊不對稱理論。由實證得知，到期期限較長之近月份選擇權契約，不論價性為何，皆有存貨風險。而到期期限較短之近月份選擇權契約，依價性的不同，價平與價外附近之選擇權契約，將會吸引資訊交易者進入市場，而降低流動性。
並列摘要
Recently the financial studies find that option pricing model should contain liquidity risk factor. According to market microstructure view, inventory risk and information asymmetry are the two major explanations for liquidity. If investors do not understand the determinants of liquidity and the effects generated by these factors, they may make the wrong investment decisions. Moreover, they will bear undesired risks and overestimate the expected profits. This study uses moneyness and the measure of trading intensity (i.e. duration between transactions) as the control variables to classify the whole sample into 9 sub-samples: at-the-money (fast/medium/slow), in-the-money (fast/medium/slow) and out-of-the-money (fast/medium/slow). By examining the relation between each factor and the liquidity measure, we may identify whether market illiquidity is caused by inventory risk or asymmetric information. We find that: (1) the longer the nearly month option contract’s time to maturity, the more possibly inventory risks exist. (2) If nearly month option contract’s time to maturity is shorter, the at-the-money option and out-of-the-money option will attract informed traders into option market, and lead to lower market liquidity.
參考文獻
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