A Study of Lead/lag Relationship among Taiwan Stock Index, Futures, and Options

• Main Authors: LIU YU CHIANG, 劉昱強
• Other Authors: HONG,MING-QIN
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/33894840756478327588

碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === This research is to examine and evidence the price lead and lag relationship for the stock index of the Taiwan stock exchange corporation with stock index futures and stock index options of the Taiwan futures exchange corporation. Among which, to measure the return of call (put) options, unlike the conventional use of the Black-Scholes pricing model, the market price of options in sequences was converted to the implied spot price. The price performance ratio of call (put) options derived from the weighted average strike price of call (put) options divided by the weighted stock index was adopted as the return of options in sequences. Research method use the Vector Autoregression Model for testing, and use of the Granger Causality test, Impulse Response Function and Variance Decomposition for empirical analysis. Research data used April, 2006 to June, 2009 the day trading information in Taiwan. The empirical evidence shows that for parts of the option and spot, the price discovery of futures is earlier than call (put) options for about 2 terms, ahead of time about 30 minutes, and earlier than the spot price for about 3 terms, ahead of time about 45 minutes. In respective of call options to the spot, the call options are earlier than the spot for about 2 terms. Nevertheless, on the movements of the price of put options, it does not appear to be earlier than the spot price. This phenomenon has been inferred from the sample span experienced the financial crisis in 2008. During the occurrence of such an event, due to a comprehensive ban on short selling restrictions in the market the market price and volatility may not be able to truly reflect the sentiment of investments, and therefore the function of the price discovery will be lost. Another possibility is attributable to a rising trend of prices during the sample span. Under influence of the economic environment, the preferences for commodity options could also be affected. Keywords: Weighted Average Strike Price, Vector Autoregression Model, Price Performance Ratio, Financial Crisis, Short Selling Restrictions.