台指選擇權到期日效應與隱含波動度微笑曲線之探討

The Study on The Expiration Day Effect and The Implied Volatility Smile Curve of TXO

林宥辰(You-chen Lin)

指導教授 ： 羅庚辛

國立中央大學/管理學院/企業管理學系/碩士(2007年)

摘要

自衍生性金融商品上市以來，許多探討選擇權與現貨的關係研究不斷地出現。尤其是在衍生性商品的交易對於現貨市場的影響，而到期效應便是其中一個重要課題。故本研究針對台灣加權股價指數為標的的台指選擇權進行研究，探討2002年1月到2006年12月期間，台指選擇權到期對於台灣加權股價指數的報酬、報酬波動、交易量以及是否產生價格反轉現象。本研究的非到期日對照組是選擇到期週前三週的平均。而實證結果為：在報酬方面，到期日與到期日前一天整天皆沒有顯著異常報酬。但是在到期日日內有異常報酬現象；報酬波動方面，到期日前一天與後一天皆有顯著的報酬波動，到期日當天則無；交易量方面，只有結算日開盤後15分鐘有顯著的異常交易量，到期日則無；價格反轉方面，到期日收盤前60分鐘報酬，與到期日收盤至隔天開盤後15分鐘的報酬有較顯著的反轉現象。
此外，本研究更針對到期日前後選擇權隱含波動度微笑曲線微笑程度探討。發現在越接近到期日微笑的程度越大，而可能的原因主要為市場動量變數影響，而買權淨買壓對於買權隱含波動度微笑曲線影響在越接近到期日會有越正向的影響，賣權對於賣權隱含波動度微笑曲線的影響則較不顯著。

關鍵字

到期效應 ； 價格反轉 ； 淨買壓 ； 波動度微笑

並列摘要

There are many researches discussing about the relationship between futures and spot goods since the derivative entered the market, especially the effect of derivative transaction on futures market, and expiration day effects is one of the important issues. Thus, this research paper is aimed at analyzing TXO which uses the Taiwan Stock exchange capitalization weighted stock index(TAIEX) as a target to determine the return of TAIEX, return on volatility and the volume according to expiration of TXO and whether it brings the price reversal phenomenon during the period starting from January, 2002 and ending in February, 2006.The control group of non expiration day is chosen from the average of three weeks before expiration week. The empirical results prove that in terms of return, there is no significance abnormal return in expiration day and the whole day before the expiration day. However, the abnormal return shows in intraday of expiration day. In regards to return volatility, it is significant that before and after the expiration day but not on expiration day. Regarding to volume, the significance abnormal volume only appears within the 15 minute after the opening quotation of settlement. As for price reversal, the significance price reversal phenomenon occurs in the return on the last 60 minutes before the closing quotation and the return on the closing quotation to the 15 minutes after the opening quotation of next day.
Moreover, this research is particularly focused on the curve level of option’s implied volatility smile before and after the expiration day. The smile curve increases as the expiration day approaches, and the possible reason is mainly because of the effect of market momentum variables. Call net buying pressure has more positive effects on call implied volatility smile when the expiration day approaching, while the put has less significance effects on put implied volatility smile.

並列關鍵字

Price Reversal ； Expiration Day Effects ； Volatility Smile ； Net Buying Pressure

參考文獻

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