臺股指數及其波動性與臺指選擇權權利金之短期動態關係

The Intertemporal Dynamics of Taiwan's Stock Index, Its Volatility and the Premium of Index Options

10.6226/NTURM2004.15.1.185

林正寶(Jeng-Bau Lin)；周世德(Shih-Te Chou)

臺指選擇權 ； 選擇權權利金 ； 向量自我迴歸 ； 衝擊反應 ； 變異數分解 ； Index Options ； Premium on Options ； Vector Autoregression Model ； Impulse Response ； Variance Decomposition

臺大管理論叢

15卷1期（2004 / 06 / 01）

185 - 209

繁體中文

本文旨在探討臺股指數及其波動性與臺指選擇權權利金之短期動態關係，臺股指數波動性以移動平均標準差之觀念求得。經實證結果發現，除到期日為一個月期之賣權契約的臺股指數落後二期對臺指賣權權利金存在短期動態影響外，其餘皆僅受自身前期變動影響；其次，僅到期日為一個月期（二個月期）之臺指賣權權利金對指數波動性具單向之領先（雙向回饋）關係，而臺股指數對臺指選擇權權利金僅具單向之領先關係；此外，各變數間除受其自身變動影響最大外，臺股指數受臺指選擇權權利金之衝擊反應為一顯著且持續性之影響，而臺指選擇權權利金受臺股指數及其波動性之影響程度甚微。因為國內股市可能較易受投資人對臺指選擇權市場整體未來走勢預測的持續性影響，且臺股指數對臺指選擇權權利金具單向之領先關係，因此本文對國內投資人之建議是，投資人可以持續觀察選擇權市場成交量之分佈情形（下單集中於價內或價外、買權或賣權），以預測未來股市多頭或空頭的走勢，並考量所欲投資之標的其前期之買（賣）權選擇權利金、臺股指數及其波動性，觀察臺股現貨指數多空反轉趨勢，於選擇權市場上投資與臺股現貨指數反向變動之同向買權或賣權以獲取差價機會。

This paper focuses on examining the intertemporal dynamic relationships between the stock index and the premium of index options, and between the volatility of stock index and the premium of index options. The stock index volatility is calculated in terms of moving-average standard deviation. Three important and interesting results are obtained. First, the other contracts investigated are affected by themselves only except for the two-period-lag stock index for one-month maturity put contracts against the index put premium. Second, there exist the one-way leading (two-way feedback) relationships between only one-month maturity (two-month maturity) index put premium and the index volatility, while the stock index Granger causes the index options premium. Finally, apart from the fact that impulse responses for the two variables from their own shocks are immensely large, impulse responses of its premium on options to the stock index are significantly persistent, but those of the stock index and its volatility to the index options premium are rather nil. Our suggestion on investment decisions is that, domestic investors can observe the distribution of volumes on options market to forecast the bullish or bearish pattern and its reversion point in the coming spot stock market, and thus make the speculative spreads between bid and ask prices on call and put contracts.

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