台指選擇權的效率性研究－利用賣買權評價理論分析

A Study on Taiwan Stock Index Options Efficiency －Apply the Put-Call Parity Theory Analysis

黃升源(Sheng-yuan Huang)

指導教授 ： 陳建宏 ； 洪志興

朝陽科技大學/管理學院/財務金融系/碩士(2011年)

摘要

本研究期間為2009年4月到2010年3月共計一年，246個交易日，並以每日內在一分鐘裡同時有買權及賣權成交的資料為研究對象。使用賣權買權期貨平價模式(Put Call Futures Parity)之公式，推導各個選擇權履約價的關係式。使用研究方法裡的最小平方法(least square method)來進行迴歸分析，檢測台灣加權股價指數選擇權各履約價的權利金變動是否存在效率性。以及應用價差交易策略的分析，驗證台灣的選擇權市場是否為效率市場。
透過實證之結果得到各買權的履約價權利金變動較賣權的履約價權利金變動慢，即賣權策略效率較好。買權價差交易策略較賣權價差交易策略價差為大，較具套利機會，但因無法涵蓋交易成本，故無法從事套利交易。其次從檢驗結果得知不管是買權之權利金或是賣權之權利金，都隨時緊跟著市場的變動呈現及時的動態平衡，如此也說明台灣的選擇權市場為一效率市場。

關鍵字

賣權買權期貨平價模式 ； 效率市場 ； 台指選擇權

並列摘要

The data involved in this research were recorded form April 2009 to March 2010, during which 246 trade dates were marked. The transaction data with call options and put options at the same time within one minute in a day are the subject of this thesis. The "Put Call Futures Parity" pattern is employed to deduce the relations among option striking prices. "Least squares method" is then applied to conduct regression analysis, examining if efficiency exists regarding the fluctuation of striking prices in Taiwan Stock Index. Moreover, through spread strategy analysis, whether Taiwan Stock Index Options market is efficient is determined.
Empirical results deomnstrate that the fluctuation of call option striking prices is slower than that of put option premiums. That is, put strategy shows greater efficiency. Spreads of call stragegy are wider than those of put strategy. As a result, interest arbitrage for call spread strategy is more likely to occur. Yet the transaction cost would not be covered, thus diminishing the possibility. The same results also indicate that both call and put striking prices are closely linked to the changes of the market, showing instantaneous dynamic equilibrium. This also proves that options market in Taiwan is efficient.

並列關鍵字

Put Call Futures Parity ； Efficient Market ； Taiwan Stock Index Options

參考文獻

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