台指選擇權市場的效率性之實證研究

Market Efficiency : Evidence from the Taiwan Index Options Market

盧建華(Chang-Hua Lu)

指導教授 ： 黃瑞靜

崑山科技大學/商業管理學院/企業管理研究所/碩士(2004年)

https://doi.org/10.6828/KSU.2004.00051

摘要

本研究以台灣股價指數選擇權為標的採取日內資料來探討選擇權市場的效率性，利用B-S 選擇權評價模式、買賣權平價模式及選擇權價格下限模式等三種模型，而因B-S選擇權評價模式的標準差估計較困難，因此以GARCH(1,1)之波動性估計來取代，衡量及比較理論價格之誤差；另外，在選擇權價格下限模式考慮交易成本與時間延遲限制來對台灣股價指數選擇權進行實證研究，最後本研究得出理論價格與市場價格之誤差在價外比價內或價平來的好；而選擇權價格下限模式在考慮交易成本與時間延遲限制，會使市場更具效率性。

關鍵字

隱含波動率 ； 價差選擇權 ； 台指選擇權 ； 效率市場

並列摘要

The informational efficiency of the market for options on the Taiwan stock index is examined using intraday transactions data. By using B-S pricing model, put-call parity and lower boundary to test. However, volatility estimates difficulty, so proxy by GARCH(1,1) to measure theory price. Additional, the article consider transaction cost for empirical study. Ex-post and ex-ante tests are carried out to simulate trading strategies. The investigation shows that the out-of-money option has lower pricing error. By considering transaction cost, the option market is more efficiency.

並列關鍵字

Taiwan index options ； Implied volatility ； spread options ； efficient market

參考文獻

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