週選擇權上市對台灣選擇權市場流動性之衝擊探討

Abstract

本篇論文主要探討台灣選擇權市場在週選擇權上市交易後，對月選擇權市場成交量、流動性、以及標的市場價格波動造成的衝擊，本文使用聯立迴歸方程式分析月選擇權市場交易量、流動性及標的市場價格波動。其結果指出，週選擇權上市對於月選擇權成交量以及流動性有顯著的降低作用。同時，結果也顯示週選擇權上市具有穩定標的市場價格波動的效果。此外，本文亦分析週選擇權上市對於月選擇權市場成交量、流動性、以及標的市場價格波動在到期日當週造成之衝擊，以及檢驗週選擇權上市對不同價內外程度選擇權的衝擊變化，其結果顯示週選擇權上市對於到期日前月選擇權交易並無明顯的影響，且選擇權交易量仍具有明顯的到期日效應；在區分價內外後，也可發現週選擇權上市對於價平選擇權的成交量影響較為明顯。相反的，其對於流動性的影響則在價內外選擇權較為明顯。至於價格波動則無明顯的差別。

This paper aims to examine the impacts of introducing weekly option on the volume and liquidity of monthly options, and the stability of the underlyingmarket. Our study applies a simultaneous equation approach to analyze the trade volume and liquidity of monthly option market, and the price volatility of the underlying market. The results show that introducing weekly option reduces the volume and liquidity of options, while stabilizing the underlying market. In addition, we examine the impactsof weekly option listing on volume, liquidity, and underlying market volatilitynear settlement days and by option moneyness, respectively. . Results show that the introduction of weekly options has no additional impacton monthly options near settlement days, while the expiration day effects on trade volume still exist. Besides, the impacts of weekly option listing on volume are significant onlyfor the at-the-money options, while the impacts on liquidity are significant on the in-the-money and out-of-the-money options. However, as for price volatility of underlying market, there are no obvious differences between options with different moneyness.