ETF 選擇權的價格發現與資訊傳遞

Abstract

本研究為探討ETF與ETF選擇權之間的價格發現與訊息傳遞過程。其中本文以Put-Call Parity關係式來反推選擇權權利金所隱含的現貨價格，使成為一條單一的時間序列後，第一部份將分別探討美國市場與新興市場的ETF，與其ETF選擇權在價格發現的功能上是否因而有所差異；在第二部份，將以日內資料探討同為S&P 500指數衍生性商品的SPDRs選擇權與S&P 500指數選擇權，觀察兩選擇權市場的關聯性。根據共整合檢定、向量誤差修正模型(VECM)以及價格發現模型(PT、IS)的結果，顯示美國的ETF選擇權市場近來成長迅速，在價格發現功能的分析上，大致有較高的貢獻度；相反地，新興市場因為ETF選擇權市場規模不大，顯示出ETF現貨市場較具有主導性。另外，關聯度很高的SPDRs選擇權與S&P 500指數選擇權，顯示兩者具有穩定的長期均衡關係，且彼此具有互相回饋的影響，更因為SPDRs選擇權標的物可以交易以及選擇權契約的特性，在價格發現的貢獻上具有領先的地位，表示此選擇權的存在對於整個市場完整性以及效率性有所助益。

This thesis investigates the price discovery and the procedure of information transmission between ETF and ETF options. And the put-call parity approach is applied to calculate the implied spot prices of the options. The first part of this thesis discusses the power of price discovery of ETF options in the U.S. market and emerging markets separately. The second part compares SPDRs options and S&P 500 index options, two of the derivatives of S&P 500 index, by intraday data to observe their correlations. The results of cointegration test, VECM, and the price discovery models (PT and IS) imply that the ETF options market in U.S. grows rapidly in recent years and shows higher contribution to the price discovery function. Contrarily, the ETF options of emerging markets is of smaller scales, thus the spot market of ETF is dominant. Moreover, the high correlation of SPDRs options and S&P 500 index options reveals their joint long-term trend and bi-directional feedback. The tradability of the underlying assets and the characteristics of the contract make SPDRs options a significantly better contribution in the price discovery function. Hence the existence of SPDRs options is beneficial to the completeness and the efficiency of the overall market.