| Summary: | 碩士 === 國立臺北大學 === 合作經濟學系 === 93 === The purpose of this study is to detect the informational effect of Taiwan stock index option trading volume on the spot and futures markets. This research has applied two models. Firstly, we use AR-EGARCH(1,1) model to examine the effect of options trading introduction on the spot and futures market volatilities. The Taiwan index stop and futures market sample data is employed from January 1999 to December 2004, the Taiwan electronic and financial index stop and futures market sample data is employed from January 2000 to December 2004. Secondly, we use the Bi-variate VMA(1)-ECM EGARCH model to analyze the informational effect of call and put option trading volume shock in the spot and futures markets volatilities. The major conclusions of this empirical research are as follows:
1.The spot and futures markets volatility do not significantly decrease the introduction of Taiwan stock index options.
2.However, the spot and futures market volatility have significantly decreased since the year of 2003 when the volumes of options trading and ,much more then that of futures trading.
3.The cull option trading volume shock has positive effect on the volatilities of the spot and futures market; while the put options trading volume shock has the negative effect.
4.For investors, the options trading volume significant have to be take into account when they make investment decision.
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