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題名：單調特性與價格發現之研究-以台指衍生性商品為例
作者：蔡錦裕 引用關係
作者(外文)：TSAI, CHIN-YU
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：林泉源
陳達新
學位類別：博士
出版日期：2009
主題關鍵詞：單調特性；選擇權訂價；市場微結構；衍生性商品訂價；領先落後關係；價格發現；monotonicity property；option pricing；market microstructure；derivative pricing；lead-lag relationship；price discovery
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許多選擇權的訂價模型是基於現行資產的價格是依循一維的擴散過程，相對的研究則針對這些隨機訂價模型，其相關的性質是否能維持理論的預測而進行檢驗。本文第一篇利用2006年7月到12月間在台灣期貨交易所交易的台指選擇權日內交易資料，針對選擇權價格單調特性進行實證研究。結果發現，選擇權日內交易價格有29.97% 到 55.31%的比例出現違反單調特性現象；另外，買權及賣權價格經常有同時上漲及下跌的情形。研究也發現，違反單調特性的現象，多是由於市場微結構及理性交易策略等因素所致。此外，研究也發現指數現貨價格和選擇權價格變動速度有不一致的情形，可能的原因是兩市場間的價格領先-落後關係所致，本文接續將討論此議題。
本文第二篇以2006年1月到2007年6月之間每分鐘交易資料探討台灣現貨股價指數、指數期貨及指數選擇權市場間領先-落後關係。研究結果發現，股價指數期貨市場領先股價指數市場，而且價平及價外選擇權市場領先股價指數市場。相同地，除了價外選擇權，上述領先-落後關係也發生在期貨與選擇權市場。此結果支持具有較低交易成本的衍生性市場，對新資訊反應會較為快速的假說。
Many option pricing models are based on the assumption that the underlying asset price follows a one-dimensional diffusion process. An alternative approach is to test the properties that should hold for all models based on a given stochastic process for the underlying asset. Essay One tests the empirical validity of the monotonicity property for option prices by collecting all transaction data from July 1, 2006 to December 31, 2006 for option contracts traded on the Taiwan Futures Exchange. We find that sampled intraday option prices violate the monotonicity property between 29.97% and 55.31% of the time, and that call and put prices often increase, or decrease, together. We also find evidence to show that the frequent violations of the monotonicity property are to a large extent attributable to microstructure effects and that they arise from rational trading tactics. Besides, we find some violations occur repeatedly, i.e., the spot index price changes quickly, but option prices change only slowly; or, the spot index price changes slowly, but option prices change quickly. These may be due to the price lead-lag relationship between the spot market and the options market. We will discuss this issue in Essay Two.
Essay Two examines the intraday price discovery process among the stock index, index futures and index options in Taiwan’s financial markets using time series and cross-sectional data from January 2006 to June 2007. The results indicate that the stock index futures lead the (spot) stock index and the at-the-money and out-of-the-money options also lead the stock index. A symmetric lead-lag relationship is also found between futures and options, except for out-of-the-money options. These results support the trading cost hypothesis which states that the derivatives markets give the investors much lower trading costs than the stock index markets. This means that informed traders in the stock index and its derivatives markets may react faster to the stock index derivatives markets than the stock index markets.
References-Chapter 1
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[22] Lin, C. F. 2004, “Two Essays on Microstructure,” Unpublished Ph.D. Dissertation, Department of Finance, National Central University. (In Chinese)
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References-Chapter 2
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