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    题名: 賣空與選擇權交易的替代關係
    作者: 周冠男
    贡献者: 財務管理學系
    关键词: 訊息交易;選擇權交易;試驗計畫;賣空;替代效果
    Information Trading;Option Trading;Pilot Program;Short-sales;Substitutability
    日期: 2014
    上传时间: 2018-01-24 14:54:23 (UTC+8)
    摘要: 本研究探討美國證券管理委員會於2005 年至2007 年間採取的賣空限制放寬實驗，分析實驗前後選擇權市場的交易量及資訊含量的變化，以推論選擇權交易與賣空交易間是否存在替代效果。本文的研究結果發現，當股票市場的賣空限制放鬆後：(1)選擇權賣權的交易量顯著下降，(2)相較於買權，賣權的價格壓力顯著下降；以往賣權價格高於買權價格的現象趨緩，(3)價格偏離買權／賣權平價的機率下降，(4)選擇權的訊息含量下降。總結而言，本研究發現，當股票市場存在賣空限制時，購買股票選擇權的賣權是交易壞消息的替代交易策略之一，股票市場與選擇權市場存在替代關係。此外，股票市場的賣空限制會導致賣權的買壓大於買權的買壓，使兩者之間的價格失衡，導致價格偏離買權／賣權平價。近期關於賣空交易與選擇權交易之間替代效果的研究，多以2008 年金融危機時，各國實施的禁止賣空交易作為研究事件。但於2008 年金融危機時，各國除了禁止賣空交易，同時實施其他穩定市場措施，因此無法看出單一事件所帶來的影響。在金融危機期間，市場的過度波動與不確定性，亦可能改變投資人的風險趨避態度及投資行為。最後，金融危機期間實施的賣空限制侷限於金融類股，存在研究樣本過度集中的問題。本文所使用的事件可有效克服近期相關研究的缺失。
    We study the substitutability of the stock and the option market trading surrounding a temporary suspension of short-sale constraints introduced by Reg SHO from 2005 to 2007. The Security and Exchange Commission (SEC) designated a set of pilot securities for the suspension, i.e., the “Pilot Program.” We find a significant decrease in put volume for the pilot stocks. The pilot stock put prices decrease significantly relative to the pilot stock call prices after Reg SHO. We also find that information content of the option trading decreases significantly. These results suggest that the option market is a substitute to the stock market, because the short-sale constraints relaxation allows traders to switch part of their trading demand to the stock market. Most current studies examine the effect of short sale constraints on the option markets with short sale bans during the 2008 financial crisis. However, the 2008 short sale bans were implemented as a response to unusual market conditions and only financial stocks are subject to such bans. Trader behaviors are likely to change during extreme market events, which would interfere with the effect of short sale bans. The market is relatively stable during the Pilot Program and the pilot stocks span a much wider range of industries. We believe that the Pilot Program would better facilitate the examination of the suitability of derivative trading and stock short sales.
    關聯: 執行起迄：2014/08/01~2015/07/31
    103-2410-H-004-028
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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