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題名 選擇權交易對於價格的影響:盤前、盤中與盤後有差異嗎?
作者 陳麟隴
貢獻者 杜化宇
陳麟隴
關鍵詞 期貨報價
選擇權成交量
日內資料
一般化自我相關條件異質變異模型
日期 2006
上傳時間 14-Sep-2009 09:01:34 (UTC+8)
摘要 本研究主要是探討選擇權成交量與期貨價格變動之關係,檢定Schlag and Stoll (2005) 的三個假說:完全效率市場假說(perfect market hypothesis)、資訊假說(information hypothesis)及流動性假說(liquidity hypothesis)。採用2005年一整年期貨與選擇權之日內資料,將同一日內樣本資料區分成盤前、盤中與盤後三個交易時段,另外亦將同一週內區分成不同交易日(週一至週五),藉由一般化自我相關條件異質變異模型(GARCH),得出下列三個實證結果:
     1. 日內未區分交易時段下,拒絕完全效率市場假說及資訊假說,淨買權或是正向選擇權成交量對於期貨價格有正向之影響,淨賣權或是負向選擇權成交量對於期貨價格則有負向之影響,且選擇權成交量對於期貨價格變動之同步價格效果在接下來的六分鐘內反轉。無法拒絕流動性假說。
     2. 日內區分交易時段、但週內不區分不同交易日下,無論盤前、盤中及盤後,皆拒絕完全效率市場假說及資訊假說,而不拒絕流動性假說。
     3. 日內區分交易時段、且週內區分不同交易日下,週內各交易日盤前與盤中時段,皆拒絕完全效率市場及資訊假說,而無法拒絕流動性假說;而週內盤後時段結果則相對複雜,值得進一步討論。
參考文獻 中文部分(按作者筆畫姓名排列)
1. 楊奕農,時間序列分析—經濟與財務上之應用,民國九十五年,雙葉書廊有限公司。
2. 楊清芬,2001,”資訊交易機率之測度及其決定因素探討”,國立中山大學財務管理研究所碩士論文。
3. 鍾惠民、吳壽山、周賓鳳、范懷文,財金計量,民國九十五年,雙葉書廊有限公司。
英文部分(按作者姓氏字母排列)
1. Admati, A. and Pfleiderer, P., 1988. “A theory of intraday patterns: volume and price variability”, Review of Financial Studies, Vol. 1, p3-40.
2. Anthony, J., 1988. “The interrelation of stock and options market trading-volume data”, Journal of Finance, Vol. 43, p949-964.
3. Black, F., 1975. “Fact and fantasy in the use of options”, Financial Analysts Journal, Vol. 31, p37-72.
4. Bomfim, A. N., 2003. “Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market”, Journal of Banking and Finance, Vol. 27, p133-151.
5. Cairney, T. and Swisher, J., 2004. “The role of the options market in the dissemination of private information”, Journal of Business Finance and Accounting, Vol. 31, p1015-1041.
6. Chan, K., Chung, P. and Johnson, H., 1993. “Why options prices lag stock prices: a trading-based explanation”, Journal of Finance, Vol. 48, p1957-1968.
7. Chan, K., Chung, Y. and Fong, W., 2002. “The information role of stock and option volume”, Review of Financial Studies, Vol. 15, p1049-1075.
8. Chan, Y. C., 2005. “Who trades in the stock index futures market when the underlying cash market is not trading?”, Pacific-Basin Finance Journal, Vol. 13, p547-561.
9. Chang, E. C., Jain, P. C. and Locke, P. R., 1995. “Standard & Poor’s 500 index futures volatility and price changes around the New York Stock Exchange close”, Journal of Business, Vol. 68, p61-84.
10. Chang, M. H., Lin, T. Y., Huang, C. M. and Lin, Y., 2006. “Intraday trading patterns and day-of-the-week in stock index options markets: evidence from emerging markets”, Journal of Financial Management and Analysis, Vol. 19, p32-45.
11. Easley, D., O’Hara, M. and Srinivas, P., 1998. “Option volume and stock prices: evidence on where informed traders trade”, Journal of Finance, Vol. 53, p431-466.
12. Foster, F. D. and Viswanathan, S., 1990. “A theory of the interday variations in volume, variance, and trading costs in securities markets”, Review of Financial Studies, Vol. 3, p593-624.
13. Kyle, A., 1985. “Continuous auctions and insider trading”, Econometrica, Vol. 53, p1315-1335.
14. Manaster, S. and Rendleman, R., 1982. “Option prices as predictors of equilibrium stock prices”, Journal of Finance, Vol. 37, p1043-1057.
15. Roll, R. A., 1984. “Simple implicit measure of the effective bid-ask spread in an efficient market”, Journal of Finance, Vol.39, p1127-1139.
16. Schlag, C. and Stoll, H., 2005. “Price impacts of options volume”, Journal of Financial Markets, Vol. 8, p69-87.
17. Stephan, J. and Whaley, R., 1990. “Intraday price changes and trading volume relations in the stock and stock option markets”, Journal of Finance, Vol. 45, p191-220.
18. Vijh, A., 1990. “Liquidity of the CBOE equity options”, Journal of Finance, Vol. 45, p1157-1179.
網站
1. 台灣證券交易所 http://www.tse.com.tw/ch/
2. 台灣期貨交易所 http://www.taifex.com.tw/chinese/home.htm
描述 碩士
國立政治大學
財務管理研究所
94357021
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094357021
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 陳麟隴zh_TW
dc.creator (作者) 陳麟隴zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 14-Sep-2009 09:01:34 (UTC+8)-
dc.date.available 14-Sep-2009 09:01:34 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:01:34 (UTC+8)-
dc.identifier (Other Identifiers) G0094357021en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30994-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 94357021zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 本研究主要是探討選擇權成交量與期貨價格變動之關係,檢定Schlag and Stoll (2005) 的三個假說:完全效率市場假說(perfect market hypothesis)、資訊假說(information hypothesis)及流動性假說(liquidity hypothesis)。採用2005年一整年期貨與選擇權之日內資料,將同一日內樣本資料區分成盤前、盤中與盤後三個交易時段,另外亦將同一週內區分成不同交易日(週一至週五),藉由一般化自我相關條件異質變異模型(GARCH),得出下列三個實證結果:
     1. 日內未區分交易時段下,拒絕完全效率市場假說及資訊假說,淨買權或是正向選擇權成交量對於期貨價格有正向之影響,淨賣權或是負向選擇權成交量對於期貨價格則有負向之影響,且選擇權成交量對於期貨價格變動之同步價格效果在接下來的六分鐘內反轉。無法拒絕流動性假說。
     2. 日內區分交易時段、但週內不區分不同交易日下,無論盤前、盤中及盤後,皆拒絕完全效率市場假說及資訊假說,而不拒絕流動性假說。
     3. 日內區分交易時段、且週內區分不同交易日下,週內各交易日盤前與盤中時段,皆拒絕完全效率市場及資訊假說,而無法拒絕流動性假說;而週內盤後時段結果則相對複雜,值得進一步討論。
zh_TW
dc.description.tableofcontents 第壹章 緒論 5
     第一節 研究動機 5
     第二節 研究目的 7
     第三節 研究架構 8
     第貳章 文獻探討 10
     第一節 現貨與選擇權市場之關連性 10
     第二節 現貨市場開盤前(pre-open)與收盤後(post-close) 16
     第三節 資訊內涵與交易活動(trading activity) 18
     第參章 研究方法 22
     第一節 資料收集與處理 22
     第二節 樣本資料統計 26
     第三節 基本假說與模型變數定義 28
     第肆章 實證分析 33
     第一節 日內未分交易區段 33
     第二節 日內分交易區段 37
     第三節 週內分不同交易日 42
     第伍章 結論與建議 45
     第一節 研究結論 45
     第二節 後續研究建議 46
     附錄 47
     附表1 週一選擇權價格對期貨價格變動之影響(方程式(3)~(5)) 47
     附表2 週二選擇權價格對期貨價格變動之影響(方程式(3)~(5)) 50
     附表3 週三選擇權價格對期貨價格變動之影響(方程式(3)~(5)) 53
     附表4 週四選擇權價格對期貨價格變動之影響(方程式(3)~(5)) 56
     附表5 週五選擇權價格對期貨價格變動之影響(方程式(3)~(5)) 59
     參考文獻 62
     中文部分(按作者筆畫姓名排列) 62
     英文部分(按作者姓氏字母排列) 62
     網站 63
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094357021en_US
dc.subject (關鍵詞) 期貨報價zh_TW
dc.subject (關鍵詞) 選擇權成交量zh_TW
dc.subject (關鍵詞) 日內資料zh_TW
dc.subject (關鍵詞) 一般化自我相關條件異質變異模型zh_TW
dc.title (題名) 選擇權交易對於價格的影響:盤前、盤中與盤後有差異嗎?zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文部分(按作者筆畫姓名排列)zh_TW
dc.relation.reference (參考文獻) 1. 楊奕農,時間序列分析—經濟與財務上之應用,民國九十五年,雙葉書廊有限公司。zh_TW
dc.relation.reference (參考文獻) 2. 楊清芬,2001,”資訊交易機率之測度及其決定因素探討”,國立中山大學財務管理研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 3. 鍾惠民、吳壽山、周賓鳳、范懷文,財金計量,民國九十五年,雙葉書廊有限公司。zh_TW
dc.relation.reference (參考文獻) 英文部分(按作者姓氏字母排列)zh_TW
dc.relation.reference (參考文獻) 1. Admati, A. and Pfleiderer, P., 1988. “A theory of intraday patterns: volume and price variability”, Review of Financial Studies, Vol. 1, p3-40.zh_TW
dc.relation.reference (參考文獻) 2. Anthony, J., 1988. “The interrelation of stock and options market trading-volume data”, Journal of Finance, Vol. 43, p949-964.zh_TW
dc.relation.reference (參考文獻) 3. Black, F., 1975. “Fact and fantasy in the use of options”, Financial Analysts Journal, Vol. 31, p37-72.zh_TW
dc.relation.reference (參考文獻) 4. Bomfim, A. N., 2003. “Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market”, Journal of Banking and Finance, Vol. 27, p133-151.zh_TW
dc.relation.reference (參考文獻) 5. Cairney, T. and Swisher, J., 2004. “The role of the options market in the dissemination of private information”, Journal of Business Finance and Accounting, Vol. 31, p1015-1041.zh_TW
dc.relation.reference (參考文獻) 6. Chan, K., Chung, P. and Johnson, H., 1993. “Why options prices lag stock prices: a trading-based explanation”, Journal of Finance, Vol. 48, p1957-1968.zh_TW
dc.relation.reference (參考文獻) 7. Chan, K., Chung, Y. and Fong, W., 2002. “The information role of stock and option volume”, Review of Financial Studies, Vol. 15, p1049-1075.zh_TW
dc.relation.reference (參考文獻) 8. Chan, Y. C., 2005. “Who trades in the stock index futures market when the underlying cash market is not trading?”, Pacific-Basin Finance Journal, Vol. 13, p547-561.zh_TW
dc.relation.reference (參考文獻) 9. Chang, E. C., Jain, P. C. and Locke, P. R., 1995. “Standard & Poor’s 500 index futures volatility and price changes around the New York Stock Exchange close”, Journal of Business, Vol. 68, p61-84.zh_TW
dc.relation.reference (參考文獻) 10. Chang, M. H., Lin, T. Y., Huang, C. M. and Lin, Y., 2006. “Intraday trading patterns and day-of-the-week in stock index options markets: evidence from emerging markets”, Journal of Financial Management and Analysis, Vol. 19, p32-45.zh_TW
dc.relation.reference (參考文獻) 11. Easley, D., O’Hara, M. and Srinivas, P., 1998. “Option volume and stock prices: evidence on where informed traders trade”, Journal of Finance, Vol. 53, p431-466.zh_TW
dc.relation.reference (參考文獻) 12. Foster, F. D. and Viswanathan, S., 1990. “A theory of the interday variations in volume, variance, and trading costs in securities markets”, Review of Financial Studies, Vol. 3, p593-624.zh_TW
dc.relation.reference (參考文獻) 13. Kyle, A., 1985. “Continuous auctions and insider trading”, Econometrica, Vol. 53, p1315-1335.zh_TW
dc.relation.reference (參考文獻) 14. Manaster, S. and Rendleman, R., 1982. “Option prices as predictors of equilibrium stock prices”, Journal of Finance, Vol. 37, p1043-1057.zh_TW
dc.relation.reference (參考文獻) 15. Roll, R. A., 1984. “Simple implicit measure of the effective bid-ask spread in an efficient market”, Journal of Finance, Vol.39, p1127-1139.zh_TW
dc.relation.reference (參考文獻) 16. Schlag, C. and Stoll, H., 2005. “Price impacts of options volume”, Journal of Financial Markets, Vol. 8, p69-87.zh_TW
dc.relation.reference (參考文獻) 17. Stephan, J. and Whaley, R., 1990. “Intraday price changes and trading volume relations in the stock and stock option markets”, Journal of Finance, Vol. 45, p191-220.zh_TW
dc.relation.reference (參考文獻) 18. Vijh, A., 1990. “Liquidity of the CBOE equity options”, Journal of Finance, Vol. 45, p1157-1179.zh_TW
dc.relation.reference (參考文獻) 網站zh_TW
dc.relation.reference (參考文獻) 1. 台灣證券交易所 http://www.tse.com.tw/ch/zh_TW
dc.relation.reference (參考文獻) 2. 台灣期貨交易所 http://www.taifex.com.tw/chinese/home.htmzh_TW