臺灣博碩士論文加值系統

3月22日股市、期市已跌停，無法發揮價格發現功能，而台指選擇權尚具價格發現能力。本文利用Kleidon and Whaley（1992）提出之應用選擇權價格，以非線性回歸模擬隱含指數，藉以探知股市跌停當天指數應有的水準與瞭解選擇權市場與其他市場間價格發現能力發揮程度。期盼透過了解歷史事件，以及建議市場結構改善的方向，以因應未來可能發生的市場巨幅變動。 實證結果發現，選擇權市場由於有較寬鬆的漲跌幅度，在現貨漲跌停板時，可以發揮「價格發現」的功能，也就是揭露當時市場認定的「公平指數水準」。另外，股票鎖住之後就不再有交易，而選擇權市場找到公平價格之後仍有流通性。當市場處於穩定狀態，即跌停前319波動性不高時，以交易量大的選擇權具有較佳的價格發現能力；然而，若市場波動性跳空升高，甚至現貨指數跌停不具參考價值時，則以接近價平之選擇權契約序列具有較佳的價格發現功能，揭露訊息的能力較佳。 本文建議應放寬市場漲跌幅限制，可使市場更具效率性，以及有重大訊息發生時，使價格發現過程更為迅速與精準，並發揮提供流動性的應有功能。因價格限制只是延緩價格發現的過程，使得未反應的資訊遞延到下一期，只會使下一期的股價波動性增加。

On March 22, the Taiwan Stock Index, Futures had fallen stop, couldn’t display
the price discovery, but the Taiwan Stock Index Options still had the price discovery
ability. This article applied the non-linear regression of Kleidon and Whaley( 1992) to
simulate the implied index in order to explore the true index and price discovery
ability between options, futures and spot market.
Empirical results indicate that out-of-the-money options have a better price
discovery ability than near-the-money options, when markets are on normal condition.
However, when markets become fluctuating, near-the-money options have a better
price discovery ability.
This article suggested we should relax the price limit to make the market more
efficiently and let the price discovery process more rapidly and accurately when some
media events happened.

目 錄
頁次
第一章 緒論
第一節 研究動機………………………………………………………………1
第二節 研究目的………………………………………………………………3
第三節 研究架構………………………………………………………………4
第二章 文獻回顧
第一節 1987年美國股市崩盤相關文獻探討………………………………...6
第二節 市場效率、價格發現與價格限制之文獻探討………………………10
第三章 研究方法
第一節 資料來源與說明……………………………………………………..17
第二節 研究方法……………………………………………………………..18
第四章 實證結果與分析
第一節 322當天、前後一週各市場價量分析……………………………….23
第二節 322崩盤當天、崩盤隔天各市場價格發現功能…………………....36
第五章 結論與建議
第一節 結論……………………………………………………………….….48
第二節 建議……………………………………………………………….….50
參考文獻………………………………………………………………………….….51




圖 目 錄
頁次
【圖1-1】研究流程………………………………………………………………….5
【圖3-1】非線性迴規模擬隱含指數與隱含波動性………………………………22
【圖4-1】322前後一週台指、台股期貨、摩根台指期貨價格走勢…….………25
【圖4-2】322前後一週，台指、台指期貨、台指選擇權成交量……….………25
【圖4-3】315~326基差、價差走勢圖 ……………………………………………26
【圖4-4】3月23日台股指數價量圖………………………………………………26
【圖4-5】3月22日摩根台指期貨價格走勢與漲跌幅……………………….……26
【圖4-6】319、322、323每分鐘買權履約價在6100~7000之各權利金走勢….33
【圖4-7】319、322、323每分鐘賣權履約價在6100~7000之權利金走勢….…34
【圖4-8】319、322、323、近月契約（200404）買權與賣權成交量………………35
【圖4-9】319當天每五分鐘價格走勢，台指、台股期貨、
摩根台指期貨、隱含指數勢…………………………………………..…39
【圖4-10】322當天每五分鐘價格走勢：台指、台股期貨、
摩根台指期貨、隱含指數走勢…………………………………………42
【圖4-11】323當天每五分鐘價格走勢：台指、台股期貨、摩根台指期貨
、隱含指數走勢……………………………………………………………45









表 目 錄
頁次
【表4-1】跌停前天319：台指、台股期貨、摩根台指期貨、
隱含台指選擇權指數之相係數…………………………………………38
【表4-2】319各市場每五分鐘報酬序列之相關性…………………………..……38
【表4-3】每五分鐘報酬序列之標準差（Standard deviation）……………………40
【表4-4】跌停當天322：台指、台股期貨、
摩根台指期貨、隱含台指選擇權指數之相關係數……………………………41
【表4-5】322各市場每五分鐘報酬序列之相關性…………………………..……41
【表4-6】跌停隔天323：台指、台股期貨、摩根台指期貨
、隱含台指選擇權指數之相關係數 ………………………………..……44
【表4-7】323各市場每五分鐘報酬序列之相關性（9:05a.m~13:30p.m.）….……45

1. Amihud, Y.,H. Mendelson, and R. A. Wood (1990) ,"Liquidity and the 1987 Stock Market Crash," Journal of Portfolio Management 65-69

2. Antoniou, and Garrett（1993）,"To What Extent Did Stock Index Futures Contribute to the October 1987 Stock Market Crash?" The Economic Journal, 1444-1261

3. Berkman, H. and O. W. Steenbeek(1998),”The influence of Daily price limits on trading in Nikkei Futures,” The Journal of Futures Markets, 18,265-279.

4. Bhttacharya, M (1987),”Price changes of related securities: The case of call options and stocks,” Journal of Financial and Quantitative analysis, vol.22, pp.1-15, Mar.

5. Chan, K.,(1992),”A further analysis of the lead-lag relationship between the cash market and stock index futures market,” Review of Financial Studies, Vol.5., pp279-294.

6. Fleming, J., B. Ostdiek and R. E. Whaley(1996),"Trading Costs and The Relative Rates of Price Discovery in Stock, Futures, and Option Markets," Journal of Futures Markets, Vol. 16, No.4 pp.353-387

7. Garbade, K. D. and W. L. Silber（1979）,”Dominant and Satellite Markets: A study of Dually Traded Securities,” Review of Economics and Statistics, 60, 455-460.
8.Greenwald Bruce C. and Jeremy C. Stein’s(1991),”Transactional Risk, Market Crashes, and the Role of Circuit Breakers ,” The Journal of Business, Vol. 64, No. 4. (Oct., 1991), pp. 443-462.

9.Harold, J. Mulherin and Mason S. Gerety (1992),”Trading Halts and Market Activity: An analysis of volume at the Open and the Close,” The Journal of Finance, Vol. 47, No. 5. (Dec., 1992), pp. 1765-1784.

10. Hall, A.D., P. kofman, and S. Manaster (2001), "Migration of price discovery with constrained futures markets," Working paper, University of Technology, Sydney.
11. Harris, L(1989a),“The October 1987 S&P 500 Stock-Futures Basis,” Journal of Finance, 44:1 p. 77-99.

12. Kawaller, I.G,, P.D.Koch and T.W. Koch（1987）,”The temporal price relationship between S&P 500 futures and the S&P 500 index,” Journal of Finance, vol.42(5), pp1309-1329, Dec.

13. Kleidon, A. and R. Whaley(1992),“One Market? Stock, Futures, and Option During October 1987,” Journal of Finance, 47:3, July, pp. 851-77.

14. Kleidon A. W. and, I. M. Werner (1996),“U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration,” Review of Financial Studies, 9, ,619-664


15. Kim, K. A. and S. G. Rhee(1997), “Price Limit Performance: Evidence from the Tokyo Stock Exchange,” Journal of Finance 52, 885-901

16. Lee, S. B. and J. S. Chung(1996), “ Price Limits and Stock Market Efficiency,” Journal of Business Finance & Accounting 23, 585-601

17. Lee, S. B and K. J. Kim(1995),”The effect of price limits on stock price volatility: Empirical evidence in Korea,” Journal of Business Finance & Accounting 22, 257-267

18. Lee, C.M. C., M. J. Ready, and P. J. Seguin(1994), "Volume, volatility, and New York Stock Exchange trading halts," Journal of Finance, 49 183-241.

19. Manaster Steven and Richard J. Rendleman. (1982), “Option Prices as Predictors of Equilibrium Stock Prices,”The Journal of Finance, Vol. 37, No. 4., pp. 1043-1057.
20. Schwert ,G. William(1990),“Stock Volatility and the Crash of ’87,” The Review of Financial Studies

21. Stephan, J. A., and R. E. Whaley（1990）, ”Intraday Price Changes and Trading Volume Relations in the Stock and Stock Option Markets,” Journal of Finance, 45, 191-220.

22. The Brady Commission Report(1988),“Report of Presidential Task Force on Market Mechanism,”