臺灣指數與期貨受限於漲(跌)幅限制之下,選擇權價格發現探討

The Price Discovery of Options in Taiwan Index Market subject to the Price Limit in Index and Futures

尤庭育(Ting-Yu Yu)

指導教授 ： 林允永

共同指導教授 ： 林苑宜(Yuan-Yi Lin)

淡江大學/商學院/財務金融學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00398

摘要

本篇文章研究主要探討當臺灣股價指數和期貨位於漲(跌)停價位時，臺灣指數選擇權價格發現的能力。關於評估價格發現的模型主要採用下列三種方法。第一，以Black’s ( 1976 ) 傳統期貨的選擇權評價模型搭配反函數估計隱含波動率的方法來衡量。第二，Tucker ( 1991 ) 期貨買賣權平價理論 ( put-call-futures parity ) 的模型。第三，採用Egelkraut ,Garcia ,and Sherrick (2007) 同步估計的模型(SEA)。由實證結果可以得知，Hasbrouck (1995) 的資訊比率 (Information Share，IS)在不侷限於漲(跌)幅的正常交易期間，指數期貨的資訊比率優於指數選擇權和指數。然而，指數選擇權擁有較為明顯的資訊比率是當指數期貨和指數位於(漲)跌停價位完全鎖住時。更重要的是，指數期貨和指數選擇權在這一段(漲)跌停價位完全鎖住期間的平均交易量，對於指數選擇權是否具有極高的價格領先能力扮演極為關鍵的角色。再者，資訊比率與指數選擇權交易量變化有正向關係的現象存在，代表交易量伴會隨著資訊比率移轉。

關鍵字

價格發現 ； 資訊比率 ； 指數選擇權 ； 漲跌幅限制 ； 交易量移轉

並列摘要

The main purpose of the study in this paper is to examine the price discovery in Taiwan index option , while futures and spot index are subject to the price limit. In terms of estimating implicit spot indexes recovered from index options , Black's (1976) option pricing formula with calculation of future implied volatility , Tucker’s ( 1991 ) put-call-futures parity ,and Egelkraut ,Garcia ,and Sherrick's (2007) a simultaneous estimation option-based approach (SEA) are adopted. According to the evidence in empirical results , Hasbrouck 's (1995) information share (IS) reveals that futures have greater information share than index options within the range of the price limit .However, index options’ information share has precedence over futures’ during futures limit-locked intervals. More importantly ,the crucial point is that price discovery provided by index option lies in the average volume of options and futures during futures limit-locked intervals. Moreover , the positive relation between information share and trading volume in index option proves the existence of trading volume shift combined with information share.

並列關鍵字

Price discovery ； Information share ； Index options ； Price limit ； Volume shift

參考文獻

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