跳到主要內容

臺灣博碩士論文加值系統

(44.201.97.224) 您好!臺灣時間:2024/04/14 20:06
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:洪慧妤
研究生(外文):Hui-Yu Hung
論文名稱:選擇權價格效率性、放空限制與雜訊交易者風險:行為財務學觀點之分析
論文名稱(外文):Option pricing efficiency, short-sales restrictions, and noise-trader risk:Behavioral finance analysis
指導教授:鍾惠民鍾惠民引用關係林建榮林建榮引用關係
指導教授(外文):Huimim ChungJianrung Lin
學位類別:碩士
校院名稱:國立交通大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:63
中文關鍵詞: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
外文關鍵詞:put-call parityput-call-futures parityshort-sales restrictionsliquiditynoise trader risk
相關次數:
  • 被引用被引用:3
  • 點閱點閱:1017
  • 評分評分:
  • 下載下載:342
  • 收藏至我的研究室書目清單書目收藏:3
本篇研究現貨、選擇權以及期貨市場之相對價格效率性,對象為台灣加權股價指數。大盤指數現貨為不可交易性商品且存在放空限制,因此當市場違反買賣權等價理論,投資者因大盤指數之不可交易性,或者欲依市值比重買下市場全部個股來複製大盤有相當之困難程度,導致無法進行套利操作;相對的,一般認為期貨市場具備低交易成本、高流動性及資訊完全揭露等優點,較能迅速反應市場訊息,價格上領先現貨市場,具有價格發現機能。因此依據Tucker (1991)的期貨買賣權等價理論以台指期貨模擬指數現貨做為選擇權套利的交易標的。於是本研究利用買賣權等價理論和期貨買賣權等價理論所計算出之定價誤差進行迴歸分析以比較相對效率性。
迴歸結果顯示放空限制條件、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不成立的主要因素,表示定價誤差和此二因素有強烈的關聯性。此外選擇權市場之部分交易者易受現貨市場或是目前景氣氛圍影響,亦即存在雜訊交易者風險,由過去指數報酬率和未平倉量比率會影響到定價誤差大小可得知此關係。因此驗證了Shleifer (2000)所指出價格偏離真實價格,原因可能有二,一是市場上必有些投資者是非理性者,忽略基本面資訊或逕依其認知進行投資策略;第二是市場必有交易限制的存在,使之無法經由市場精確定價。
This paper investigates the relatively pricing efficiency among spot, option and futures markets. The underlying asset (spot), Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), is non-tradable and has short sales restrictions. So, when put-call parity condition is violated, investors face greater difficulty in arbitrage. On the other hand, futures with lower transaction cost and higher liquidity is able to reflect the market information quickly. This means futures leads spot and has price discovery advantage. Hence, investors replace spot with futures as option’s underlying asset to exercise arbitrage strategy, according to Tucker (1991) put-call-futures parity. Our aim is to run regressions on these two mispricing errors calculated from put-call parity and put-call-futures parity in order to examine relatively pricing efficiency.
The regression results show that problems such as short sales restrictions and liquidity are main factors to the violations of put-call parity and put-call-futures parity, respectively, i.e., there is a strong relation between the level of mispricing errors and these two factors. Specifically, the noise trader risk in the at-the-money (ATM) index option market is also a main force to disturb the pricing efficiency. We infer this from factors, e.g., past index return and put call ratio of open interest. These results support the foundations of behavioral finance for price to deviate from fundamental value. These confirm Shleifer’s (2000) arguments that firstly, there are enough irrational investors, namely, they must ignore fundamental information or process irrelevant information in forming their trading decisions; secondly, there must be some limits to arbitrage such that this irrationality cannot get priced out of the market.
中文摘要 i
英文摘要 ii
目 錄 iii
表目錄 iv
圖目錄 v
第一章、 研究動機與目的 1
1.1研究動機 1
1.2研究目的 3
1.3研究架構 5
第二章、 相關文獻探討 6
2.1指數現貨與指數選擇權之效率性 6
2.2指數選擇權與指數期貨之效率性 8
2.3 行為財務學 9
第三章、 研究方法與設計 12
3.1資料 12
3.2理論模型與研究方法 13
第四章、 研究結果與分析 27
4.1敘述性統計 27
4.2市場限制對定價誤差之影響 28
4.3行為財務學觀點-雜訊交易者 35
4.4分群樣本-穩健測試 39
第五章、 結論 42
參考文獻 44
Abhyankar, A. H., 1995, Return and volatility dynamics in the FTSE100 stock index and stock index futures markets, Journal of Futures Markets, 15(4), pp.457-488.
Ackert, L. F., and Y. S. Tian, 1998, The introduction of Toronto index participation units and arbitrage opportunities in the Toronto 35 Index option market, Journal of Derivatives, 5(4), pp.44-53.
Ackert, L. F., and Y. S. Tian, 2001, Efficiency in index options markets and trading in stock baskets, Journal of Banking & Finance, 25, pp.1607-1634.
Anthony, J., 1988, The interrelation of stock and options market trading volume data, Journal of Finance, 43, pp.949-964.
Bae, K. H., K. Chan, and Y. L. Cheung, 1998, The profitability of index futures arbitrage: Evidence from bid-ask quotes, Journal of Futures Markets, 18(7), pp.743-763
Bali, T. G.., and D. Weinbaum, 2005, A comparative study of alternative extreme -value volatility estimators, Journal of Futures Markets, 25(9), pp.873-892
Barberis, N., and R. Thaler, 2003, A survey of behavioral finance. In: Constantinides, G., Harris, M., Stulz, R.(Eds.), Handbook of the Economics of Finance, North-Holland, Amsterdam.
Black, F., 1975, Fact and fantasy in the use of options, Financial Analysts Journal, 31, 36-41, pp.61-72.
Chan, C. K., Y. C. Chang, and P. P. Lung, 2006, Informed trading under different market conditions and moneyness: evidence from TXO options, Working paper, Department of Finance, Western Kentucky University.
Chan, K., Y. P. Chung, and W. Fong, 2002, The informational role of stock and option volume, Review of Financial Studies, 15, pp.1049-1075.
Chance, D. M., 1987, Parity tests of index options, In Advances in Futures and Options Research, 2, Greenwich, Conn.: JAI Press.
Cherian, J. A., and W. Y. Weng, 1999, An empirical analysis of directional and volatility trading in options markets, Journal of Derivative, 7 , pp.53-65.
Chiang, R., and W. M. Fong, 2001, Relative informational efficiency of cash, futures, and options markets: The case of an emerging market, Journal of Banking and Finance, 25, pp.355-375.
Chuang, W. I., and B. S. Lee, 2006(a), An empirical evaluation of the overconfidence hypothesis, (Forthcoming) Journal of Banking and Finance.
Chuang, W. I., and B. S. Lee, 2006(b), An empirical evaluation of the overconfidence hypothesis, Working paper, Tunghai University.
Chung, Y. P.,1991, A transaction data test of stock index futures market efficiency and index arbitrage profitability, Journal of Finance, 46, pp.1791-1809.
Cornell, B., and K. R. French, 1983, The pricing of stock index futures, Journal of Futures Markets, 3(1), pp.1-14.
Derman, E., 1999, Regimes of Volatility-Some Observatuons on Variation of S&P500 Implied Volatilities, Quantitative Strategies Research Note, January, Goldman Sachs.
Draper, P., and J. K. W. Fung, 2002, A study of arbitrage efficiency between the FTSE-100 Index futures and options contracts, Journal of Futures Markets, 22(1), pp.31-58.
Evnine, J., and A. Rudd, 1985, Index options: The early evidence, Journal of Finance, 40, pp.743-756.
Fama, E., and K. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economis, 33, pp.3-56.
Figlewski, S., 1989, Option arbitrage in imperfect markets, Journal of Finance, 44, pp.1289-1311.
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(2), pp.37-44.
Fung, J. K. W., and H. M. K. Mok, 2001, Index options-futures arbitrage: A comparative study with bid-ask and transaction data, Financial Review, 36(1), pp.71-94.
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, pp.957-962.
Fung, J. K. W., L. T. W. Cheng, and K. C. Chan, 1997, The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets, Journal of Futures Markets, 17(7), pp.797-815.
Girma, P. B., and M. Mougoue, 2002, An empirical examination of the relation between futures spreads volatility, volume, and open interest, Journal of Futures Markets, 22 (11), pp.1083-1102.
Han, B., 2004, Limits of arbitrage, sentiment and pricing kernel: Evidence from index options, Working Paper, Ohio State University.
Harris, M., and A. Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies, 6, pp.473-506.
Hatch, B. C., 2003, The intraday relation between NYSE and CBOE prices, Journal of Financial Research, 26, pp.97-113.
Haugen, R. A., and N. L. Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics, 41, pp.401-439.
Hirshleifer, D., 2001, Investor psychology and asset pricing, Journal of Finance, 56(4), pp.1533-1598.
Kahneman, D., and A. Tversky, 1979, Prospect theory: An analysis of decision under risk, Econometrica, 47, pp.263-291.
Kamara, A., and T. W. Miller Jr., 1995, Daily and intradaily tests of european Put-call parity, Journal of Finance and Quantitative Analysis, 30, pp.519-539.
Klemkosky, R. C., and B. Resnick, 1979, Put-call parity and market efficiency, Journal of Finance, 34, pp.1141-1155.
Klemkosky, R. C., and J. H. Lee, 1991, The intraday ex post and ex ante profitability of index arbitrage, Journal of Futures Markets, 11, pp.291-311.
Lamont, O., R. Thaler, 2003, Can the market add and subtract? Mispricing in tech stock carve-outs, Journal of Political Economy, 111, pp.227-268.
Lee, J. H., and N. Nayar, 1993, A transactions data analysis of arbitrage between index options and index futures, Journal of Futures Markets, 13(8), pp.889-902.
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(4), pp.343-368.
O’hno, S., 2001, Contagion effect among equity and foreign exchange markets, 8th Asian Pacific Financial Association Conference proceeding, Bangkok.
Odean, T., 1998, Volume, volatility, price, and profit when all traders are above average, Jouranl of Finance, 53, pp.1887-1934.
Ofek, E., M. Richardson, and R. F. Whitelaw, 2004, Limited arbitrage and short sales restrictions: Evidence from the options markets, Journal of Financial Economics, 74, pp.305-342.
Pan, J., and A. Poteshman, 2006, The information in option volume for future stock prices, (Forthcoming) Review of Financial Studies.
Roll, R., E. Schwartz, and A. Subrahmanyam, 2005, Liquidity and the law of one price: the case of the futures/cash basis, Working Paper, UCLA.
Shalen, C., 1993, Volume, volatility, and the dispersion of beliefs, Review of Financial Studies, 6, pp.405-434.
Shefrin, H., 2000, On kernels and sentiment, Working paper, Santa-Clara University.
Shleifer, A., 2000, Inefficient markets: An introduction to behavioural finance, Clarendon Lectures in Economics: Oxford: Oxford University Press.
Stoll, H., 1969, The relationship between put and call option prices, Journal of Finance, 24, pp.801-822.
Tavakkol, A., 2000, Positive Feedback Trading in the Options Market, Quarterly Journal of Business and Economics, 39, pp.69-80.
Tse, Y. K., 1995, Lead-Lag Relationship between spot index and futures price of the Nikkei Stock Average, Journal of Forecasting, 14(7), pp.553-564.
Tucker, A. L., 1991, Financial futures, options, and swaps, Minneapolis, MN: West Publishing.
Wang K. P., 2004, Liquidity constraints and the hedging role of futures spreads, Journal of Futures Markets, 24(10), pp.909-921.
Wiggins, J., 1987, Option values under stochastic volatility:theory and empirical estimates, Journal of Financial Economics, 19, pp.351-372.
Yadav, P. K., and P. F. Pope, 1994, Stock index futures mispricing: Profit opportunities or risk premia?, Journal of Banking and Finance, 18, pp.921-953.
Zhang, X. F., 2006, Information uncertainty and stock returns, Journal of Finance, 61(1), pp.105-136.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top