标题: ETF 选择权的价格发现与资讯传递
Price Discovery and Information Transmission of ETF Options
作者: 田志伟
Chih-Wei Tien
钟惠民
蔡莳铨
Huimin Chung
Shih-Chuan Tsai
财务金融研究所
关键字: 价格发现;Put-Call Parity;共整合检定;向量误差修正模型;PT;IS;Price Discovery;Put-Call Parity;Cointegration Test;VECM;PT;IS
公开日期: 2007
摘要: 本研究为探讨ETF与ETF选择权之间的价格发现与讯息传递过程。其中本文以Put-Call Parity关系式来反推选择权权利金所隐含的现货价格,使成为一条单一的时间序列后,第一部份将分别探讨美国市场与新兴市场的ETF,与其ETF选择权在价格发现的功能上是否因而有所差异;在第二部份,将以日内资料探讨同为S&P 500指数衍生性商品的SPDRs选择权与S&P 500指数选择权,观察两选择权市场的关联性。根据共整合检定、向量误差修正模型(VECM)以及价格发现模型(PT、IS)的结果,显示美国的ETF选择权市场近来成长迅速,在价格发现功能的分析上,大致有较高的贡献度;相反地,新兴市场因为ETF选择权市场规模不大,显示出ETF现货市场较具有主导性。另外,关联度很高的SPDRs选择权与S&P 500指数选择权,显示两者具有稳定的长期均衡关系,且彼此具有互相回馈的影响,更因为SPDRs选择权标的物可以交易以及选择权契约的特性,在价格发现的贡献上具有领先的地位,表示此选择权的存在对于整个市场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.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009539517
http://hdl.handle.net/11536/39363
显示于类别:Thesis