政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/115622
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113451/144438 (79%)
造訪人次 : 51320271      線上人數 : 892
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/115622


    題名: 賣空與選擇權交易的替代關係
    作者: 周冠男
    貢獻者: 財務管理學系
    關鍵詞: 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
    上傳時間: 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
    資料類型: report
    顯示於類別:[財務管理學系] 國科會研究計畫

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    103-2410-H-004-028.pdf525KbAdobe PDF2506檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋