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題名：選擇權價格效率性、放空限制與雜訊交易者風險
書刊名：期貨與選擇權學刊
作者：陳煒朋／吳壽山 引用關係／洪慧妤
作者(外文)：Chen, Wei-peng／Wu, Soushan／Hung, Hui-yu
出版日期：2010
卷期：3:1
頁次：頁1-31
主題關鍵詞：定價效率；買賣權等價理論；期貨買賣權等價理論；放空限制；流動性；雜訊交易者風險；Pricing efficiency；Put-call parity；Put-call-futures parity；Short sales restrictions；Liquidity；Noise trader risk
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(8) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:8
  • 共同引用共同引用:40
  • 點閱點閱:69
本研究之主要目的在於探討套利限制對於台灣加權股價指數現貨、期貨以及選擇權市場間相對價格效率性的影響。利用買賣權等價理論和期貨買賣權等價理論關係式所計算出之定價誤差進行迴歸分析，藉以比較其相對效率性。實證結果顯示，放空限制條件與選擇權流動性分別是影響買賣權等價理論和期貨買賣權等價理論關係式出現偏離的主要因素；此外在選擇權市場的某些投資人，則是容易受現貨市場的走勢氛圍而影響其交易行為，亦即選擇權市場會存在雜訊交易者風險。
This study examines the effect of the limits of arbitrage on the pricing efficiency between the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and its futures and options. Using the pricing errors calculated from the Put-Call Parity relationship and the Put-Call Futures Parity relationship as dependent variable, the regression results show that the level of pricing errors are significantly affected by short-sales restrictions and options liquidity. The evidence also indicates that the pricing efficiency of index options market is burdened with noise trader risk.
期刊論文
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4.Vipul(2008)。Cross-market efficiency in the Indian derivatives market: A test of put-call parity。Journal of Futures Markets，28，889-910。  new window
5.Lamont, Owen A.、Thaler, Richard H.(2003)。Can the market add and subtract? Mispricing in tech stock carve-outs。Journal of Political Economy，111(2)，227-268。  new window
6.Evnine, J.、Rudd, A.(1985)。Index Options: The early Evidence。The Journal of Finance，40，743-756。  new window
7.Cherian, J. A.、Weng, W. Y.(1999)。An empirical analysis of directional and volatility trading in options markets。Journal of Derivatives，7(2)，53-65。  new window
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15.Lee, J. H.、Nayar, N.(1993)。A Transactions Data Analysis of Arbitrage between Index Options and Index Futures。Journal of Futures Markets，13(8)，889-902。  new window
16.Fung, J. K. W.、Mok, H. M. K.(2001)。Index Options-Futures Arbitrage: A Comparative Study with Bid-Ask and Transaction Data。Financial Review，36(1)，71-94。  new window
17.Bae, K. H.、Chan, K.、Cheung, Y. L.(1998)。The Profitability of Index Futures Arbitrage: Evidence from Bid-Ask Quotes。Journal of Futures Markets，18(7)，743-763。  new window
18.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets，11(3)，291-311。  new window
19.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica，47(2)，263-291。  new window
20.Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance，52(1)，35-55。  new window
21.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-Volume Data。Journal of Finance，43(4)，949-964。  new window
22.Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FT-SE 100 Stock Index Stock Index Futures Market。Journal of Futures Markets，15(4)，457-488。  new window
23.Tse, Y. K.(1995)。Lead-lag relationship between spot index and futures price of the Nikkei stock average。Journal of Forecasting，14(7)，553-564。  new window
24.Hirshleifer, D.(2001)。Investor psychology and asset pricing。Journal of Finance，56(4)，1533-1597。  new window
25.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊，10(3)，1-31。new window  延伸查詢new window
26.Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets，3(1)，1-14。  new window
27.Fung, J. K. W.、Draper, P.(1999)。Mispricing of Index Futures Contracts and Short Sales Constraints。The Journal of Futures Markets，19(6)，695-715。  new window
28.Yadav, Pradeep K.、Pope, Peter F.(1994)。Stock index futures mispricing: profit opportunities or risk premia?。Journal of Banking & Finance，18(5)，921-953。  new window
29.Klemkosky, R.、Resnick, B.(1979)。Put-Call Parity and Market Efficiency。The Journal of Finance，34(5)，1141-1155。  new window
30.Draper, Paul、Fung, Joseph K. W.(2002)。A Study of Arbitrage Efficiency Between The FTSE-100 Index Futures and Options Contracts。Journal of Futures Markets，22(1)，31-58。  new window
31.Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance，53(6)，1887-1934。  new window
32.Zhang, X. Frank(2006)。Information uncertainty and stock returns。The Journal of Finance，61(1)，105-137。  new window
33.翁明祥、李存修(20081200)。The Arbitrage Opportunities, Strategies and Profits of TAIFEX Index Options。期貨與選擇權學刊，1(2)，1-45。new window  延伸查詢new window
34.謝文良、李進生、袁淑芳、林惠雪(20070500)。臺灣股價指數現貨、期貨與選擇權市場之價格發現研究--Put-Call-Parity之應用。中華管理評論，10(2)，(3)1-(3)24。  延伸查詢new window
35.黃玉娟、余尚恩、黃可欣、謝秀沄(20050900)。以買權賣權期貨平價理論探討臺指期貨與臺指選擇權之套利機會與套利利潤。輔仁管理評論，12(3)，1-21。new window  延伸查詢new window
36.王建聰、許溪南(2002)。市場不完美度與股價指數期貨定價關係的一些理論假說與實證。經濟研究，第38 卷第2 期，133-63。new window  延伸查詢new window
37.Chance, D.M.,(1987)。“Parity tests of index options,”。Advances in Futures and Options Research，2，47-64。  new window
38.Chen, W., R.K. Chou, and H. Chung,(2009)。“Decimalization, ETFs and futures pricing efficiency,”。Journal of Futures Markets，29，157-78。  new window
39.Cheng, L.T.W., J.K.W. Fung, and Y. Tse,(2005)。“How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options,”。Journal of Futures Markets，25，375-98。  new window
40.Chiou, J., W.G. Hsien, and Y. Lin,(2007)。“The impact of execution delay on the profitability of put-call-futures trading strategies – Evidence from Taiwan,”。Journal of Futures Markets，27，361-85。  new window
41.Chung, Y.P.,(1991)。“A transaction data test of stock index futures market efficiency and index arbitrage profitability,”。Journal of Finance，46，1791-809。  new window
42.Frino, A., and M.D. Mckenzie,(2002)。“The pricing of stock index futures spreads at contract expiration,”。Journal of Futures Markets，22，451-69。  new window
43.Fung, J.K.W., and A.K.W. Fung,(1997)。“Mispricing of futures contracts: A study of index futures versus index options contract,”。Journal of Derivatives，5，37-44。  new window
44.Fung, J.K.W., and K.C. Chan,(1994)。“On the arbitrage-free pricing relationship between index futures and index options: A note,”。Journal of Futures Markets，14，957-62。  new window
45.Hatch, B.C.,(2003)。“The intraday relation between NYSE and CBOE prices,”。Journal of Financial Research，26，97-113。  new window
46.Kamara, A., and T.W. Miller Jr.,(1995)。“Daily and intradaily tests of European put-call parity,”。Journal of Finance and Quantitative Analysis，30，519-39。  new window
47.Kurov, A.A., and D.J. Lasser,(2002)。“The effect of the introduction of Cubes on the Nasdaq-100 index spot-futures pricing relationship,”。Journal of Futures Markets，22，197-218。  new window
48.McMillan, D.G., and A.E.H. Speight,(2006)。“Nonlinear dynamics and competing behavioral interpretations: Evidence from intra-day FTSE-100 index and futures data,”。Journal of Futures Markets，26，343-68。  new window
49.Richie, N., R.T. Daigler, and K.C. Gleason,(2008)。“The limits to stock index arbitrage:Examining S&P 500 futures and SPDRs,”。Journal of Futures Markets，28，1182-205。  new window
50.Roll, R., E. Schwartz, and A. Subrahmanyam,(2007)。“Liquidity and the law of one price: the case of the futures/cash basis,”。Journal of Finance 62，62，2201-34。  new window
51.Wang K.P.,(2004)。“Liquidity constraints and the hedging role of futures spreads,”。Journal of Futures Markets，24，909-21。  new window
52.詹錦宏、施介人(2005)。臺股指數現貨、期貨與選擇權價格發現之研究。臺灣金融財務季刊，6(1)，31-51。new window  延伸查詢new window
53.王建聰、許溪南(2002)。市場不完美度與股價指數期貨定價關係的一些理論假說與實證。經濟研究，38(2)，133-63。new window  延伸查詢new window
54.Frino, A.、Mckenzie, M.D.(2002)。The pricing of stock index futures spreads at contract expiration。Journal of Futures Markets，22，451-469。  new window
55.Hatch, B.C.(2003)。The intraday relation between NYSE and CBOE prices。Journal of Financial Research，26，97-113。  new window
56.Kamara, A.、Miller, T.W. Jr.(1995)。Daily and intradaily tests of European put-call parity。Journal of Finance and Quantitative Analysis，30，519-39。  new window
57.Kurov, A.A.、Lasser, D.J.(2002)。The effect of the introduction of Cubes on the Nasdaq-100 index spot-futures pricing relationship。Journal of Futures Markets，22，197-218。  new window
58.Chance, D.M.(1987)。Parity tests of index options。Advances in Futures and Options Research，2，47-64。  new window
59.Fung, J.K.W.、Fung, A.K.W.(1997)。Mispricing of futures contracts: A study of index futures versus index options contract。Journal of Derivatives，5，37-44。  new window
60.Chen, W.、Chou, R. K.、Chung, H.(2009)。Decimalization, ETFs and futures pricing efficiency。Journal of Futures Markets，29，157-178。  new window
61.Cheng, K. H. K.、Fung, J. K. W.、Tse, Y.(2005)。How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options。The Journal of Futures Markets，25(4)，375-398。  new window
62.Chiou, J.、Hsien, W.G.、Lin, Y.(2007)。The impact of execution delay on the profitability of put-call-futures trading strategies – Evidence from Taiwan。Journal of Futures Markets，27，361-385。  new window
63.Chung, Y.P.(1991)。A transaction data test of stock index futures market efficiency and index arbitrage profitability。Journal of Finance，46，1791-1809。  new window
64.Fung, J.K.W.、Chan, K.C.(1994)。On the arbitrage-free pricing relationship between index futures and index options: A note。Journal of Futures Markets，14，957-962。  new window
65.McMillan, D.G.、Speight, A.E.H.(2006)。Nonlinear dynamics and competing behavioral interpretations: Evidence from intra-day FTSE-100 index and futures data。Journal of Futures Markets，26，343-368。  new window
66.Wang K.P.(2004)。Liquidity constraints and the hedging role of futures spreads。Journal of Futures Markets，24，909-921。  new window
67.Richie, N.、Daigler, R.T.、Gleason, K.C.(2008)。The limits to stock index arbitrage: Examining S&P 500 futures and SPDRs。Journal of Futures Markets，28，1182-1205。  new window
68.Roll, R.、Schwartz, E.、Subrahmanyam, A.(2007)。Liquidity and the law of one price: the case of the futures/cash basis。Journal of Finance，62，2201-2234。  new window
研究報告
1.Han, B.,(2004)。“Limits of arbitrage, sentiment and pricing kernel: Evidence from index options,”。  new window
2.Shefrin, H.,(2000)。“On kernels and sentiment,”。  new window
3.Han, B.(2004)。Limits of arbitrage, sentiment and pricing kernel: Evidence from index options。  new window
4.Shefrin, H.(2000)。On kernels and sentiment。  new window
圖書
1.Tucker, A. L.(1991)。Financial Futures, Options, and Swaps。St. Paul, MN：West Publishing Company。  new window
2.Shleifer, A.(2000)。Inefficient Markets: An Introduction to Behavioural Finance。Oxford University Press。  new window
3.Shleifer, A.,(2000)。“Inefficient markets: An introduction to behavioural finance,”。Clarendon Lectures in Economics:Oxford。  new window
圖書論文
1.Barberis, N.、Thaler, R.(2003)。A Survey of Behavioral Finance。Handbook of the Economics of Finance: Financial Markets and Asset Pricing。North-Holland：Elsevier Science。  new window
 
 
 
 
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