本篇文章研究主要探討當臺灣股價指數和期貨位於漲(跌)停價位時，臺灣指數選擇權價格發現的能力。關於評估價格發現的模型主要採用下列三種方法。第一，以Black’s ( 1976 ) 傳統期貨的選擇權評價模型搭配反函數估計隱含波動率的方法來衡量。第二，Tucker ( 1991 ) 期貨買賣權平價理論 ( put-call-futures parity ) 的模型。第三，採用Egelkraut ,Garcia ,and Sherrick (2007) 同步估計的模型(SEA)。由實證結果可以得知，Hasbrouck (1995) 的資訊比率 (Information Share，IS)在不侷限於漲(跌)幅的正常交易期間，指數期貨的資訊比率優於指數選擇權和指數。然而，指數選擇權擁有較為明顯的資訊比率是當指數期貨和指數位於(漲)跌停價位完全鎖住時。更重要的是，指數期貨和指數選擇權在這一段(漲)跌停價位完全鎖住期間的平均交易量，對於指數選擇權是否具有極高的價格領先能力扮演極為關鍵的角色。再者，資訊比率與指數選擇權交易量變化有正向關係的現象存在，代表交易量伴會隨著資訊比率移轉。

The main purpose of the study in this paper is to examine the price discovery in Taiwan index option , while futures and spot index are subject to the price limit. In terms of estimating implicit spot indexes recovered from index options , Black's (1976) option pricing formula with calculation of future implied volatility , Tucker’s ( 1991 ) put-call-futures parity ,and Egelkraut ,Garcia ,and Sherrick's (2007) a simultaneous estimation option-based approach (SEA) are adopted. According to the evidence in empirical results , Hasbrouck 's (1995) information share (IS) reveals that futures have greater information share than index options within the range of the price limit .However, index options’ information share has precedence over futures’ during futures limit-locked intervals. More importantly ,the crucial point is that price discovery provided by index option lies in the average volume of options and futures during futures limit-locked intervals. Moreover , the positive relation between information share and trading volume in index option proves the existence of trading volume shift combined with information share.

第一章 緒論................................................1
第一節 研究背景............................................1
第二節 研究動機............................................3
第三節 研究貢獻與目的......................................4
第二章 文獻探討............................................5
第一節 摩擦性市場..........................................5
第二節 選擇權市場存在性....................................9
第三節 選擇權市場價格發現.................................10
第四節 選擇權交易量的移轉.................................17
第三章 模型理論基礎.......................................19
第一節 買賣權平價模型(Put-call parity)....................19
第二節 Black and Scholes選擇權評價模型....................22
第三節 同步估計的方法(Simultaneous Estimation Approach)...26
第四節 價格發現模型.......................................29
第四章 研究資料...........................................32
第一節 資料的類型.........................................32
第二節 資料配對的方式.....................................34
第五章 實證結果...........................................37
第一節 價格資料實證分析...................................37
第二節 選擇權價格發現實證.................................45
第三節 選擇權交易量移轉分析...............................67
第六章 結論與研究建議.....................................71
第一節 結論...............................................71
第二節 研究建議...........................................72
參考文獻..................................................73
附錄......................................................82
表目錄
表2-1	不同履約價選擇權的交易槓桿分析..................16
表3-1	P-Cf模型的計算過程..............................21
表3-2	B-Sf  模型的計算過程............................24
表3-3	SEA評價模型的計算過程...........................28
表4-1	研究樣本期間的分類..............................33
表5-1.1	TXO與TX配對的隱含指數價格分析...................38
表5-1.2	TXO與TSE配對的隱含指數價格分析..................39
表5-1.3	TXO與TX配對的隱含指數價格變動率分析………………39
表5-1.4	TXO與TSE配對的隱含指數價格變動率分析............40
表5-1.5	以SEA方法配對的時間差距.........................41
表5-1.6	以P-Cf & B-Sf方法配對的時間差距.................42
表5-1.7	SEA方法兩兩Minspan配對次數表....................44
表5-1.8	P-Cf＆BSf方法兩兩Minspan配對次數表..............44
表5-2.1	第一區間資訊比率................................46
表5-2.2	第二區間資訊比率................................48
表5-2.3	第三區間資訊比率................................50
表5-2.4	第四區間資訊比率................................51
表5-2.5	第五區間資訊比率................................55
表5-2.6	第六區間資訊比率................................61
表5-2.7	TX碰觸漲(跌)停的資訊比率且交易量移轉到TXO.......63
表5-2.8	TX碰觸漲(跌)停的資訊比率且交易量並未移轉到TXO...64
表5-2.9	TX鎖住漲(跌)停的資訊比率位且交易量移轉到TXO.....65
表5-2.10	TX鎖住漲(跌)停的資訊比率位且交易量並未移轉到TXO.67
表5-3.1	交易量與資訊比率分析............................68
表5-3.2	TXO資訊比率與交易量迴歸結果.....................70

圖目錄
圖 4-1 期貨與選擇權的買(賣)權交易時間的配對...............35
圖 4-2 期貨與選擇權市場價格交易的時間配對.................36
圖5-1  2004/3/22與3/23日的價格發現走勢圖..................47
圖5-2  2004/5/17日的價格發現走勢圖........................49
圖5-3  2004/5/19日的價格發現走勢圖........................49
圖5-4  2008/1/22日的價格發現走勢圖........................51
圖5-5  2008/9/19日的價格發現走勢圖........................52
圖5-6  2008/10/14與10/16日的價格發現走勢圖................54
圖5-7  2008/10/23與10/24日的價格發現走勢圖................58
圖5-8  2008/10/27與10/28日的價格發現走勢圖................58
圖5-9  2008/10/30日的價格發現走勢圖.......................59
圖5-10  2008/11/06日的價格發現走勢圖......................59
圖5-11  2008/11/13日的價格發現走勢圖......................60
圖5-12  2008/11/20日的價格發現走勢圖......................60
圖5-13  2008/12/08日的價格發現走勢圖......................62

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