選擇權價格效率性、放空限制與雜訊交易者風險：行為財務學觀點之分析

Abstract

本篇研究現貨、選擇權以及期貨市場之相對價格效率性，對象為台灣加權股價指數。大盤指數現貨為不可交易性商品且存在放空限制，因此當市場違反買賣權等價理論，投資者因大盤指數之不可交易性，或者欲依市值比重買下市場全部個股來複製大盤有相當之困難程度，導致無法進行套利操作；相對的，一般認為期貨市場具備低交易成本、高流動性及資訊完全揭露等優點，較能迅速反應市場訊息，價格上領先現貨市場，具有價格發現機能。因此依據Tucker (1991)的期貨買賣權等價理論以台指期貨模擬指數現貨做為選擇權套利的交易標的。於是本研究利用買賣權等價理論和期貨買賣權等價理論所計算出之定價誤差進行迴歸分析以比較相對效率性。 迴歸結果顯示放空限制條件、選擇權流動性分別是影響買賣權等價理論和期貨買賣權等價理論不成立的主要因素，表示定價誤差和此二因素有強烈的關聯性。此外選擇權市場之部分交易者易受現貨市場或是目前景氣氛圍影響，亦即存在雜訊交易者風險，由過去指數報酬率和未平倉量比率會影響到定價誤差大小可得知此關係。因此驗證了Shleifer (2000)所指出價格偏離真實價格，原因可能有二，一是市場上必有些投資者是非理性者，忽略基本面資訊或逕依其認知進行投資策略；第二是市場必有交易限制的存在，使之無法經由市場精確定價。

This paper investigates the relatively pricing efficiency among spot, option and futures markets. The underlying asset (spot), Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), is non-tradable and has short sales restrictions. So, when put-call parity condition is violated, investors face greater difficulty in arbitrage. On the other hand, futures with lower transaction cost and higher liquidity is able to reflect the market information quickly. This means futures leads spot and has price discovery advantage. Hence, investors replace spot with futures as option’s underlying asset to exercise arbitrage strategy, according to Tucker (1991) put-call-futures parity. Our aim is to run regressions on these two mispricing errors calculated from put-call parity and put-call-futures parity in order to examine relatively pricing efficiency. The regression results show that problems such as short sales restrictions and liquidity are main factors to the violations of put-call parity and put-call-futures parity, respectively, i.e., there is a strong relation between the level of mispricing errors and these two factors. Specifically, the noise trader risk in the at-the-money (ATM) index option market is also a main force to disturb the pricing efficiency. We infer this from factors, e.g., past index return and put call ratio of open interest. These results support the foundations of behavioral finance for price to deviate from fundamental value. These confirm Shleifer’s (2000) arguments that firstly, there are enough irrational investors, namely, they must ignore fundamental information or process irrelevant information in forming their trading decisions; secondly, there must be some limits to arbitrage such that this irrationality cannot get priced out of the market.