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題名：選擇權市場隱含價格交易策略及價格發現之應用
作者：王雅晴
作者(外文)：Wang, Ya-Ching
校院名稱：國立中正大學
系所名稱：財務金融研究所
指導教授：莊益源
學位類別：博士
出版日期：2013
主題關鍵詞：隱含期貨價格；指數選擇權；選擇權評價模型；交易策略；價格發現
原始連結：連回原系統網址new window
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本文以台灣市場為研究對象，進行選擇權市場隱含期貨價格的兩大應用主題。主題一：將隱含期貨價格應用於投資期貨交易策略的研究分析上。實證上使用台指選擇權市場之日資料，並且運用 Black 模型、Corrado and Su 模型、SGT 模型、Heston 模型及賣權-買權平價理論 (put-call parity) 以反求隱含期貨價格，再與市場期貨價格比較後，決定買進或賣出的交易策略。實證結果顯示，利用選擇權市場的資訊所構建之期貨交易策略，可獲得顯著的利潤，且即使在考慮交易成本之下，仍然存在獲利的空間。其中，又以賣權-買權平價理論配合最小平方法計算隱含價格的方式表現較佳，複雜的 SGT 模型與 Heston 模型則並不突出。
主題二：將隱含期貨價格應用在衡量期貨價格發現的影響程度上。實證上使用台指選擇權市場之日內資料，並且運用 Black 模型、Corrado and Su 模型、SGT 模型、Heston 模型及賣權-買權平價理論 (put-call parity) 以反求隱含期貨價格，再經由 Hasbrouck (1995)資訊比例模型進行分析，研究在不同期間、價性及價位之下其價格發現程度。實證結果顯示，利用選擇權市場的資訊所獲取之隱含期貨價格，有一定的價格發現能力，且當市場處於空頭期間時，其價格發現程度較多頭期間為佳。再者，賣權資訊在空頭期間與買權資訊在多頭期間的價格發現能力較好，而當中以價外選擇權資訊的價格發現程度最好。其中，又以 Black 模型和賣權-買權平價模型所獲取之隱含期貨的價格發現能力較佳。
總結，本文研究實證結果有二，一是期貨交易策略的確可以進行實際操作，藉由選擇權市場的資訊所反求出的隱含期貨價格來決定買賣策略，整體看來存在一定的獲利空間，並且會隨著估計隱含期貨模型的準確度而異。二是期貨的價格發現能力具有一定的領導地位，然對於選擇權市場隱含期貨的價格發現能力也不容小覷，且兩者期貨價格發現程度的確會因樣本期間、價性和價位以及估計隱含期貨模型的不同而有所差異。因此，本文研究成果可以提供個別投資者、機構投資者及相關企業等，作為在期貨與選擇權市場上進行交易的參考依據。
主題一參考資料
1. 許和鈞、盧陽正、魏裕珍 (2009)，「臺灣證券市場波動度隱含指數與標的指數之非線性共移關係與因果檢測」，期貨與選擇權學刊，2:1，1-32。
2. 許美滿、鍾惠民 (2009)，「無模型設定隱含波動模型預測績效-臺指選擇權市場實證」，期貨與選擇權學刊，2:1，33-68。
3. 莊益源、蔡宗閔、賴振耀 (2009)，「波動率模型之預測、評價與避險以臺指選擇權為例」，證券市場發展季刊，21:2，69-118。new window
4. Bakshi, G., C. Cao and Z. Chen (2000), “Do Call Prices and the Underlying Stock Always Move in the Same Direction?” Review of Financial Studies, 13:3, 549-584.
5. Beckers, S. (1981), “Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability,” Journal of Banking and Finance, 5:3, 363-381.
6. Bhattacharya, M. (1987), “Prices Changes of related Securities: the Case of Call Options and Stocks,” Journal of Financial and Quantitative Analysis, 22:1, 1-15.
7. Black, F. (1976), “The Pricing of Commodity Contracts,” Journal of Financial Economics, 3:1/2, 167-179.
8. Black, F. and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81:3, 637-659.
9. Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31:3, 307-328.
10. Chakravarty, S., H. Gulen and S. Mayhew (2004), “Informed Trading in Stock and Option Markets,” Journal of Finance, 59:3, 1235-1256.
11. Corrado, C. J. and T. Su (1996), “Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices,” Journal of Financial Research, 19:2, 175-192.
12. Donders, M. and T. Vorst (1996), “The Impact of Firm Specific News on Implied Volatilities,” Journal of Banking and Finance, 20:9, 1447-1461.
13. Duan, J. C. and H. Zhang (2001), “Pricing Hang Seng Index Options around the Asian Financial Crisis – A GARCH Approach,” Journal of Banking and Finance, 25:11, 1989-2014.
14. George, T. J. and F. A. Longstaff (1993), “Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market,” Journal of Financial and Quantitative Analysis, 28:3, 381-397.
15. Heston, S. L. (1993), “Invisible Parameters in Option Prices,” Journal of Finance, 48:3, 933-947.
16. Hsieh, W. L., C. S. Lee and S. F. Yuan (2008), “Price Discovery in the Options Markets: An Application of Put-call Parity,” Journal of Futures Markets, 28:4, 354-375.
17. Hwang, S. and S. E. Satchell (2000), “Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivatives Markets and Testing for the Impact of Derivatives Markets on Financial Markets,” Journal of Banking and Finance, 24:5, 759-785.
18. Lehar, A., M. Scheicher and C. Schittenkopf (2002), “GARCH vs Stochastic Volatility: Option Pricing and Risk Management,” Journal of Banking and Finance, 26:2/3, 323-345.
19. Li, F. (2000), “Option Pricing: How Flexible Should the SPD Be?” Journal of Derivatives, 7:4, 49-65.
20. Manaster, S. and R. Rendleman (1982), “Option Prices as Predictors of Equilibrium Stock Prices,” Journal of Finance, 37:4, 1043-1057.
21. Rubinstein, M. (1985), “Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978,” Journal of Finance, 40:2, 455-480.
22. Schmalensee, R. and R. Trippi (1978), “Common Stock Volatility Expectations Implied by Option Premia,” Journal of Finance, 33:1, 129-147.
23. Schreiber, P. S. and R. A. Schwartz (1986), “Price Discovery in Securities Markets,” Journal of Portfolio Management, 12:4, 43-48.
24. Stephan, J. and R. Whaley (1990), “Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets,” Journal of Finance, 45:1, 191-220.
25. Stoll, H. (1969), “The Relationship Between Put and Call Option Prices,” Journal of Finance, 24:5, 801-824.
26. Strong, N. and X. Xu (1999), “Do S&P 500 Index Options Violate the Martingale Restriction?” Journal of Futures Markets, 19:5, 499-521.
27. Whaley, R. E. (1982), “Valuation of American Call Options on Dividend-Paying Stocks: Empirical Tests,” Journal of Financial Economics, 10:1, 29-58.

主題二參考資料
1. 田志偉 (2008)、「ETF 選擇權的價格發現與資訊傳遞」，未出版碩士論文，交通大學財務金融研究所。
2. 許和鈞、盧陽正、魏裕珍 (2009)、「臺灣證券市場波動度隱含指數與標的指數之非線性共移關係與因果檢測」，期貨與選擇權學刊，第二卷第一期，1-32。
3. 莊益源、蔡宗閔、賴振耀 (2009)、「波動率模型之預測、評價與避險以臺指選擇權為例」，證券市場發展季刊，第二十一卷第二期，69-118。new window
4. 尤庭育 (2010)、「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」，未出版碩士論文，淡江大學財務金融研究所。
5. 劉國安 (2011)、「多頭市場與空頭市場價格發現過程與資訊傳遞現象研究-以台灣股票市場為例」，未出版碩士論文，虎尾科技大學經營管理研究所。
6. 戴育衡 (2011)、「股票與權證隱含價格發現關係」，未出版碩士論文，淡江大學財務金融研究所。
7. 莊益源、王雅晴、賴靖宜(2011)，「選擇權隱含期貨價格之交易策略研究」，第二屆金融發展學術研討會，國立政治大學。
8. Baillie, R. T., G. G. Booth, Y. Tse and T. Zabotina (2002) “Price Discovery and Common Factor Models,” Journal of Financial Markets, Vol. 5, 309-322.
9. Bakshi, G., C. Cao and Z. Chen (2000) “Do Call Prices and the Underlying Stock Always Move in the Same Direction?” Review of Financial Studies, Vol. 13, 549-584.
10. Bhattacharya, M. (1987) “Prices Changes of related Securities: the Case of Call Options and Stocks,” Journal of Financial and Quantitative Analysis, Vol. 22, 1-15.
11. Black, F. (1976) “The Pricing of Commodity Contracts,” Journal of Financial Economics, Vol. 3, 167-179.
12. Black, F. and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, 637-659.
13. Booth, G. G., R. W. So and Y. Tse (1999) “Price Discovery in the German Equity Index Derivatives Markets,” Journal of Futures Markets, Vol. 19, 619-643.
14. Chakravarty, S., H. Gulen and S. Mayhew (2004) “Informed Trading in Stock and Option Markets,” Journal of Finance, Vol. 59, 1235-1256.
15. Chan, K., Y. P. Chung and H. Johnson (1993) “Why Option Prices Lag Stock Prices: A Trading Based Explanation,” Journal of Futures Markets, Vol. 48, 1957-1967.
16. Chan, K., Y. P. Chung and W. M. Fong (2002) “The Information Role of Stock and Option Volume,” Review of Financial Studies, Vol. 15, 1049-1075.
17. Chang, C. C., P. F. Hsieh and H. N. Lai (2009) “Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange,” Journal of Banking and Finance, Vol. 33, 757-764.
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20. Corrado, C. J. and T. Su (1996) “Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices,” Journal of Financial Research, Vol. 19, 175-192.
21. Czerwonko, M., N. Khoury, S. Perrakis and M. Savor (2011) “Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation,” Working Paper, University of Quebec in Montreal.
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23. Fleming, J., B. Ostdiek and R. E. Whaley (1996) “Trading Costs and Relative Rates of Price Discovery in the Stock, Futures, and Option Markets,” Journal of Futures Markets, Vol. 16, 353-387.
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27. Hsieh, W. L., C. S. Lee and S. F. Yuan (2008) “Price Discovery in the Options Markets: An Application of Put-call Parity,” Journal of Futures Markets, Vol. 28, 354-375.
28. Kleidon, A. W. and R. E. Whaley (1992) “One Market? Socks, Futures, and Options During October 1987,” Journal of Finance, Vol. 47, 851-877.
29. Li, F. (2000) “Option Pricing: How Flexible Should the SPD Be?” Journal of Derivatives, Vol. 7, 49-65.
30. Manaster, S. and R. Rendleman (1982) “Option Prices as Predictors of Equilibrium Stock Prices,” Journal of Finance, Vol. 37, 1043-1057.
31. Rubinstein, M. (1985) “Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978,” Journal of Finance, Vol. 40, 455-480.
32. Schmalensee, R. and R. Trippi (1978) “Common Stock Volatility Expectations Implied by Option Premia,” Journal of Finance, Vol. 33, 129–147.
33. Stephan, J. and R. Whaley (1990) “Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets,” Journal of Finance, Vol. 45, 191-220.
34. Strong, N. and X. Xu (1999) “Do S&P 500 Index Options Violate the Martingale Restriction?” Journal of Futures Markets, Vol. 19, 499-521.

 
 
 
 
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