以全球二元選擇權概況探討台灣發行之可能性

Abstract

近年來台灣期交所為使台灣的金融市場更為健全，除了在制度面的多項改革外，亦持續推行各種新金融商品，藉此吸引外資進入，同時促進台灣市場的國際化。而二元選擇權是近年來新興的衍生性金融商品，其操作簡易和低風險的特性，頗受一般民眾的青睞，因此逐漸風行。目前二元選擇權商品以美國與北歐為主要交易地區，台灣附近的亞洲國家尚未發行，故本研究旨在分析台灣發行二元選擇權的可行性，以供未來發行與否之參考。 本研究以芝加哥選擇權交易所(Chicago Board Options Exchange)所發行的BSZ和BVZ兩檔二元選擇權作為參考對象，實證結果顯示二元選擇權的發行對原有的普通選擇權市場具有輔助功用，即發行二元選擇權會促進普通選擇權的市場交易量。接著再選擇台灣市場上交易情況最熱絡的金融商品進行剖析，發現台指選擇權的發行對台指期貨同樣具有正向效果，故若以台灣加權指數做為二元選擇權的商品標的，應為適合且可行的方案。

To make Taiwan’s financial market healthier, Taiwan Future Exchange has kept concentrating on regulation reforms and introducing new financial instruments in recent years so that will increase capital inflow and internationalize Taiwan’s financial market. As an emerging financial derivative, binary option is becoming more popular due to easy operation and low risk. For the present, U.S. and Northern Europe are the main trading area. However, Taiwan’s Asia neighbors such as Japan, South Korea and Singapore have not launched binary option yet. Therefore, this research is to investigate the feasibility of introducing binary option in Taiwan as reference in the future. First step in this thesis, we chose BSZ and BVZ from Chicago Board Options Exchange as research objects. The empirical results indicated that binary option could benefit option market which was increasing trading volume of vanilla option. Then, we chose the most popular financial products traded in Taiwan to do research study and found that TAIEX Option had positive effect to TAIEX Future as well. In conclusion, it might be appropriate to choose TAIEX as underlying index.