標題: Net Buying Pressure, Volatility Smirk and Abnormal Return of TXO
台指選擇權之淨買壓、波動偏斜與異常報酬
作者: 段昌文
Chang-Wen Duan
Institute of Business and Management
經營管理研究所
關鍵字: 學習假說;套利限制假說;造市者;負偏斜;淨買壓;Learning Hypothesis;Limits of Arbitrage Hypothesis;Market Maker;Negative Skewness;Net Buying Pressure
公開日期: 1-Apr-2013
摘要: 本文驗證台指選擇權隱含波動率的淨買壓假說,我們發現研究期間之台指選擇權隱含波動率呈現負偏斜,而此負偏斜導因於淨買壓,且相依於選擇權契約的存續期間。在控制台灣市場存在訊息流動效果與槓桿效果下,實證證明淨買壓歸因於台灣選擇權市場存在有套利限制。雖然新興市場機構投資者交易不活絡,然而實證結果與美國、香港是一致的支持淨買壓假說,主要原因在於台灣期貨交易所對造市者的資格限制與市場可進行避險交易之選擇權商品種類多樣化,導致新興市場交易選擇權的廣義機構投資者是較多的。
This paper examines the implied volatility of TAIEX options (TXO) with the net buying pressure hypothesis. We find that the implied volatility of TXO exhibits negative skewness, which is caused by the net buying pressure and is dependent on the time-to-maturity of the options contract. After controlling the information flow and leverage effect, our empirical results show that net buying pressure is attributed to limits to arbitrage in the Taiwan options market. Institutional investors may not trade actively in an emerging market. But the results of our empirical study of TAIFEX also support the net buying pressure hypothesis, consistent with the findings in the U.S. and Hong Kong markets. This is mainly because TAIFEX's market maker qualification requirements and the availability of a variety of options products on the market that allows market makers to engage in hedge trading have led more generally defined institutional investors to trade options.
URI: http://hdl.handle.net/11536/107896
ISSN: 1023-9863
期刊: 管理與系統
Journal of Management and Systems
Volume: 20
Issue: 2
起始頁: 321
結束頁: 353
Appears in Collections:Journal of Management and System


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