指數選擇權市場淨買壓對隱含波動率變動的影響:臺指選擇權市場是避險者為主的市場嗎?

Abstract

本研究依據Bollen and Whaley( 2004 )的實證模型，且加入市場上經常用來判斷多空指標之一的未平倉量變動，來探討臺灣指數選擇權市場淨買壓對隱含波動率變動的影響。實證結果發現隱含波動率的變動與指數報酬率及未平倉口數變動呈現負相關且與成交量呈現正相關，而隱含波動率的變動受前一期變動的影響且呈現負相關，可得知波動率具有均值返回的現象( mean-reverting )；淨買壓對於隱含波動率皆沒有顯著的關聯性，在臺灣的期貨選擇權市場中，散戶佔大多數( 67% )，因此在臺灣的期貨選擇權市場中以投機者為主，避險的比率佔少數，所以淨買壓對於隱含波動率的變動才會不顯著而與Bollen and Whaley( 2004 )所提出的觀念相違背。在考慮可預期會影響投資市場的重大事件之後，發現避險的人數有增加的情形，因為在OTMP( out-of-money put )的係數呈現正值，可顯示投資人在可預期的經濟事件較願意加入避險的行列。

According to the empirical model of Bollen and Whaley ( 2004 )，this paper adds the change of open interest which is often used for judging long or short in the index option market and examines the relationship between net buying pressure and the change of implied volatility in Taiwan index options market. The empirical result show as the index return and the change of open interest are negatively correlated with the change of implied volatility. The volume and the change of implied volatility are positive relationship. The coefficients on lagged change in implied volatility are significantly negative，so we can suggest that volatility has mean-reverting. Net buying pressure of out-of-money put options is not correlated with the change of implied volatility and violate the thought of hedging which the scholars bring up. Because in the Taiwan index option market，the speculator is great majority. When considering that the expected major economic events which maybe influence the investment market，we can find out that the hedgers increase because the coefficients of out-of-money put options are positive. We can suggest that investors are willing to hedge before the expected major economic events come.