台指選擇權以期報酬率之探討

Expected Returns on TAIEX Options

許溪南(His-Nan Hsu) ； 何怡滿(Emily Ho) ； 許羽呈(Yu-Cheng Hsu)

《證券市場發展季刊》 24卷2期 (2012/06) Pp. 179-214

https://doi.org/10.6529/RSFM.2012.24(2).5

摘要

自CAPM發展至今，鮮少有文獻針對選擇權報酬率與風險之間的關係進行探討，本文以台指選擇權為研究對象，檢驗台指選擇權的報酬率是否符合Coval and Shumway（2001）之弱勢假設，並分析其報酬與風險之間的關係是否符合CAPM理論。實證結果顯示，在排除深度價內與深度價外的情況下，買權與賣權的報酬率大致符合Coval and Shumway（2001）之弱勢假設，即買權的報酬率高於標的資產報酬率，且報酬率隨著履約價的增加而增加；賣權的報酬率低於無風險利率。此外，買權報酬率與β值隨著履約價增加而增加，呈現報酬與風險的抵換關係，符合CAPM理論。2008年發生的全球金融海嘯，是台灣的選擇權市場第一次遭遇到嚴重的市場崩盤，本文進一步比較台指買權與賣權的報酬率在崩盤前與崩盤期間的變化，結果發現買權在崩盤期間的報酬率低於崩盤前；賣權則是在崩盤期間的報酬率高於崩盤前。

關鍵字

台指選擇權 ； 選擇權預期報酬率 ； 槓桿效果 ； 零β跨式策略 ； 金融海嘯

並列摘要

The CAPM has been developed for a long time, but few literature have focused on the risk-return characteristics of options. We use TAIEX options to empirically examine whether option returns are consistent with the weak assumptions derived by Coval and Shumway's (2001). Furthermore, according to CAPM, expected option returns, like those of other risky securities, should be positively related to their systematic risks. We find that while ruling out the deep in-the-money and deep out-of-the-money options, returns on call and put options are generally consistent with the weak assumptions. That is, call options have positive returns that exceed those of the underlying asset, and their returns increase with the strike price; while returns on put options are below the risk-free rate. Furthermore, the returns and beta of call options are positively related. The trade-off between returns and risks of call options are consistent with the CAPM. It is the first time for the Taiwan option market to witness the serious global financial tsunami in 2008. We examine the variation of option returns before and during the global financial tsunami in 2008. The results show that returns on call options before the financial tsunami are greater than those during the financial tsunami; while returns on put options before the financial tsunami are less than those during the financial tsunami.

並列關鍵字

TAIEX Option ； Expected Option Return ； Leverage Effect ； Zero-beta Straddle ； Financial Tsunami

參考文獻

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