臺灣博碩士論文加值系統

在衍生性金融商品價格發現的議題上，大多數的論文都著重於期貨與現貨的關係，然而，同為衍生性金融商品的選擇權契約是否具有相同的價格發現能力?本研究透過Black-Scholes定價模型將選擇權契約的價格轉換為隱含現貨價格，進而探討其與指數現貨或者指數期貨日內的價格發現功能，以及三邊市場對於資訊反應速度的差異性。實證研究結果發現，第一、三邊市場的價格都呈現了高度的正相關，幾乎呈現了亦步亦趨的現象，且由於本研究採用Black-Scholes模型導推出選擇權的隱含現貨價格，顯示了國內大部分選擇權市場的交易者也都使用了此一模型來作為選擇權定價的參考依據。第二、由於選擇權契約具有高槓桿、低成本、交易限制較少容易放空的特性，對於市場上出現新資訊時的反應速度較現貨快速，選擇權價格的變化領先了現貨價格變化至少20分鐘。另外，選擇權與現貨具有雙向的因果關係，當現貨價格發生變動時，對於衍生性金融商品也同時存在著回饋(feedback)的效果。第三、選擇權對於期貨並沒有價格發現的能力。第四、當對三邊市場進行混合實證檢定分析時發現，如果同時考慮三個變數時，選擇權的價格領先效果幾乎被期貨所掩蓋。第五、期貨與選擇權契約的組合交易可能存在有無風險套利的機會。

The study explored the intraday price discovery relationship between index options and index futures or spot index. I sampled prices every five minutes, and used the Black-Scholes pricing model to convert the option price into the implied spot price. The option contract with the greatest liquidity is likely to reflect information most quickly. Therefore, I used the call option that is closest to maturity and nearest the money. The empirical results are as bellow. Fist, the implied spot price tends to lead the spot price in 20 minutes, but the spot price also shows some feedback toward the implied spot price. Factors such as the leverage and transaction costs help to explain the probability. Second, the implied spot price changes show no price discovery ability to the index futures price changes, but the index futures price changes take a lead to the implied spot price changes. Third, the index futures price changes show the best intraday price discovery ability among those three markets.

第一章、緒論 ------------------------------------------------ 1
第一節 研究動機 ------------------------------------------- 1
第二節 研究目的 ------------------------------------------- 2
第三節 研究流程 ------------------------------------------- 5
第四節 論文研究架構 --------------------------------------- 6
第五節 研究限制 ------------------------------------------- 7
第二章、台灣衍生性金融商品市場之現況--------------------------- 8
　第一節 選擇權之基本簡介 ----------------------------------- 8
　第二節 選擇權市場之現況 ----------------------------------- 12
　第三節 選擇權定價模型之介紹 ------------------------------- 19
第三章 市場效率與文獻探討 ----------------------------------- 22
　第一節 效率市場之成因探討 --------------------------------- 22
　第二節 價格發現之文獻探討 --------------------------------- 24
第三節 波動性估計的相關文獻探討 --------------------------- 35
第四章 研究方法 ---------------------------------------------- 37
　第一節 研究樣本與資料處理 --------------------------------- 37
　第二節 單根(Unit Root Test)檢定與定態(Stationary) ---------- 41
第三節 落後期數選擇判定 ------------------------------------ 43
第四節 Granger 因果關係檢定(Granger Causality Test) -------- 44
第五節 VAR 向量自我迴歸模型(Vector Autoregression Model ) -- 47
第六節 衝擊反應分析與變異數分解 ---------------------------- 48
第五章 實證結果與分析 ---------------------------------------- 51
　第一節 現貨市場、期貨市場及選擇權市場之價量相關性分析 ----- 51
第二節 單根檢定與因果關係檢定與VAR模型建立 ---------------- 53
第三節 VAR模型分析 --------------------------------------- 61
第四節 預測誤差變異數分解 --------------------------------- 65
第五節 衝擊反應函數分析 ----------------------------------- 72
第六章 研究結論與建議 --------------------------------------- 75
第一節 研究結論 ------------------------------------------- 75
第二節 研究建議 ------------------------------------------- 77

參考文獻 ------------------------------------------------------ 78

中文部分：
1. 李存修，1994，金融創新與操作策略，初版，商周發行。
2. 李秋玫，2003，台指期貨與台指選擇權之資訊傳遞研究，國立高雄第一科技大學，碩士論文。
3. 李又剛、蘇逸平，1999，股價指數現貨與期貨關聯之探討(以SIMEX台股指數與S&P500指數為例)，企銀季刊，第二十二卷，頁51-71。
4. 余尚武、王俞瓔，1999，日經股價指數期貨與現貨市場之評價、關聯及避險，管理評論，民88.05，頁1-33。
5. 施雅菁，2002，小型台指期貨價格發現之研究，淡江大學，碩士論文。
6. 黃玉絹、徐守德，1998，台股指數現貨與期貨市場價格動態關連性之研究，證券市場發展季刊，第九卷，第三期，頁1-28。
7. 賴瑞芬，1999，台股指數期貨與現貨日內價格關係之研究，國立台灣大學，碩士論文。

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