臺灣博碩士論文加值系統

根據市場微結構觀點，流動性主要論點包括存貨理論與資訊不對稱理論，兩者產生的原因與衍生的風險是有差異的。若不了解選擇權市場之影響因素，將可能使得投資人做出非期望之投資策略，或買入存有流動性風險之衍生性金融商品，造成投資人承擔非預期之風險，而高估可能的獲利。
本研究將依價性做為樣本之控制變數，再依交易間隔將樣本細分為價平(快/中/慢)、價內(快/中/慢)與價外(快/中/慢)九組子樣本，探討各因子與流動性之關聯可歸因於存貨理論或是資訊不對稱理論。由實證得知，到期期限較長之近月份選擇權契約，不論價性為何，皆有存貨風險。而到期期限較短之近月份選擇權契約，依價性的不同，價平與價外附近之選擇權契約，將會吸引資訊交易者進入市場，而降低流動性。

Recently the financial studies find that option pricing model should contain liquidity risk factor. According to market microstructure view, inventory risk and information asymmetry are the two major explanations for liquidity. If investors do not understand the determinants of liquidity and the effects generated by these factors, they may make the wrong investment decisions. Moreover, they will bear undesired risks and overestimate the expected profits.
This study uses moneyness and the measure of trading intensity (i.e. duration between transactions) as the control variables to classify the whole sample into 9 sub-samples: at-the-money (fast/medium/slow), in-the-money (fast/medium/slow) and out-of-the-money (fast/medium/slow). By examining the relation between each factor and the liquidity measure, we may identify whether market illiquidity is caused by inventory risk or asymmetric information. We find that: (1) the longer the nearly month option contract’s time to maturity, the more possibly inventory risks exist. (2) If nearly month option contract’s time to maturity is shorter, the at-the-money option and out-of-the-money option will attract informed traders into option market, and lead to lower market liquidity.

目 錄
摘要 I
Abstract II
誌謝 III
目錄 IV
表目錄 VI
圖目錄 VII
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 文獻探討 4
第一節 台指選擇權規定 4
第二節 台灣造市者規範 5
第三節 文獻回顧 7
第三章 研究方法 10
第一節 研究樣本 10
第二節 分段迴歸模型 11
第三節 靜態模型 13
第四節 動態模型 18
第四章 實證結果分析 21
第一節 敘述統計 21
第二節 台指買權價性與選擇權特性之關係 21
第三節 靜態模型實證結果 23
第四節 動態模型實證結果 24
第五節 小結 33
第五章 結論與建議 34
第一節 結論 34
第二節 研究建議與未來方向 35
參考文獻 45



表 目 錄
表1：基礎統計量表 42
表2：靜態模型 實證結果 43
表3：動態模型 實證結果 44

圖 目 錄
圖1：詢/報價流程圖 36
圖2：價性與買賣價差之關係 37
圖3：TXO買權價性與選擇權特性之關係 38
圖4：短、中、長三種到期期限下，TXO買權價性與選擇權特性之關係 40

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