股票選擇權掛牌上是對標的現貨的影響:台灣案例

Abstract

本篇文章探討台灣股票選擇權掛牌上市對標的現貨的影響。我們藉由訊息不對稱假設與市場完美性假設來解釋股票選擇權掛牌對於標的現貨的異常報酬、波動性、成交量與市場深度的影響。實證的結果我們發現台灣股票選擇權掛牌上市會使標的現貨產生正的累積異常報酬、波動幅度下降、股票成交量增加與市場深度增加。這個結果與我們另一子樣本所得的結果一致，但部分參數不顯著。或許，在未來台灣期貨市場增加更多股票選擇權後，再從事這方面的研究不但可以有益於投資人也有助於金融監督者制定政策。

This thesis investigates the impact of listing stock options on the underlying securities in Taiwan. According to hypotheses of the asymmetric information and the complete market, we intend to explain the impact of listing stock options on abnormal return, volatility, trading volume, and market depth of underling securities. From empirical results, we find that positive abnormal returns exists, the degree of volatility decreases, trading volume and market depth increase after stock options are listed. The empirical results of the sub-sample are consistent with those of the full sample but not all parameters are significant. As more data on the Taiwan stock market becomes available, such a study would be immensely beneficial to not only investors, but also to institutional traders and regulators.