衍生性金融商品之市場預期行為研究─以台灣股票市場為例證

Abstract

本論文使用衍生性金融商品價格來表示市場行為的預期，並發現市場參與者可由市場預期來預測標的物最後結算價格。多數投資學書上提到期貨有價格發現的功能，選擇權隱含波動率有發現標的物波動之能力。故本論文結合期貨價格與選擇權隱含波動率等兩項有發現能力之數據，建構一方法學用以檢測標的物最後結算價格的市場預期機率空間；採用台灣股票市場的交易資料為例證。 實驗結果發現，此方法學所推估的市場預期行為近似於真實市場行為；依據實驗結果得知，市場參與者可使用期貨與選擇權兩項衍生性金融商品估計標的物未來的最後結算價格。另外，真實市場之機率空間於 0.5標準差之處產生機率高點，此項發現，有助於未來選擇權訂價模型更細膩化的研究，並能提供市場參與者有效的風險控管策略。 最後，基於上述研究之發現─市場參與者可由市場預期來預測標的物最後結算價格為主軸，建立反向交易策略用以檢測期貨市場於短期內是否有過度反應之現象；結果顯示，可由反向交易策略獲利，若加入門檻值判斷，可增加過度反應辨別之能力。

This study uses derivative pricing to indicate market expectations, and obtains results suggesting that market participants can use market expectations to roughly forecast the final settlement value of underlying assets. Most investment textbooks confer that a key function of futures is price discovery. Similarly, the implied volatility associated with option prices provides volatility discovery capability of the underlying asset. This study combines futures price with implied volatility to establish a probability space of market expectations for the final settlement value of the underlying asset and to verify this probability space using real-world data from the Taiwan stock market. The results of verification suggest that market expectations closely mirror the real behavior of the final settlement value of the underlying asset, and thus provide a practical view to the future price behaviors. Accordingly, market participants can easily estimate the behavior of underlying asset based on the behavior of the related futures and options without significant measurement errors. The actual final settlement value tends to shift nearly 0.5 standard deviation, which are valuable for developing more sophisticated options pricing models and also useful for market participants to evaluate their risk management strategies. Finally, in view of the above empirical result, a contrarian strategy can be built to examine the overreaction in the futures market on the basis of market participants mostly can expect the final settlement value of a stock index. That can earn profits, and earn more profits because join the threshold of bias. That means Taiwan futures market overreacts in the short-term.