臺指選擇權、臺指期貨與臺股指數關聯性之研究

Abstract

臺指選擇權於2001年12月24日上市交易至今，將近二年的時間。交易量也隨著投資人的熱絡參與，不斷的增加。本研究選取成交量相對較大後之資料，自2002年5月16日至2003年5月21日止，一整年為研究期間，計12個交易契約，共242筆日資料做為研究樣本。同時，本研究以Granger因果關係檢定和VAR向量自我迴歸分析法，探討臺指選擇權、臺指期貨與臺股指數兩變數間或三者間報酬率之領先-落後關係。本研究獲得以下實證結果: 1、 研究期間，所有變數的平均報酬皆為負值，即投資人的平均獲利是負數。 2、 臺股指數和臺指期貨呈正向關係;臺股指數和臺指期貨與臺指選擇權買權呈正向關係;臺股指數和臺指期貨與臺指選擇權賣權呈反向關係。 3、 所有變數報酬率，皆在同一整合級次I(0)，而且報酬率間皆存在長期均衡關係。 4、 不論以Granger因果分析或VAR分析，發現臺股指數領先臺指期貨、臺股指數領先臺指價內賣權和臺指價外賣權；臺指期貨領先臺指價內賣權。

Taiwan Future Exchange starts to issue TAIFEX-Options contracts on Dec. 24, 2001, which are traded in Taiwan for about two years. Since May 2002, the total trading volume has remarkably increased. Therefore, the research period covers from May.16, 2002 to May.21, 2003. In this research, we use Granger and VAR tests to study the lead-lag relationship among spot, futures and options. The major empirical results show as follows:<BR> 1. During the research period, the average return of variables is negative.<BR> 2. Taiwan Stock Index has a positive relation with Taiwan Stock Index Futures; Taiwan Stock Index has a positive relation with Taiwan Stock Index Futures and Taiwan Stock Index Call Options; Taiwan Stock Index has a negative relation with Taiwan Stock Index Futures and Taiwan Stock Index Put Options.<BR> 3. All variables are I(0) with same integration, We found that variables exist long-term equilibrium relationships.<BR> 4. Using Granger Causality or VAR tests, we found that Taiwan Stock Index leads Taiwan Stock Index Futures、Taiwan Stock Index leads Taiwan Stock Index Put Options in-the-money and out-of-the money; Taiwan Stock Index Futures leads Taiwan Stock Index Put Options in-the-money.