選擇權上市對股票報酬率波動性及市場風險之影響

Abstract

本研究探討在臺灣股票市場中，南亞、中鋼、台積電、聯電與富邦金等五家公司的股票選擇權上市對現貨股價的波動性與市場風險的影響。各種檢定結果顯示對於股票選擇權上市，台積電之系統風險並沒有顯著的改變；富邦金之系統風險則顯著地增加，其於三家公司股票在各種檢定結果下並不相互一致。對於股價波動性，臺灣股票選擇權上市顯著地使現貨股價的波動性減少，支持衍生性金融商品上市具有現貨股價發現的功能和增加市場效率的理論。

This study investigates the effects of option listing on the underlying stocks' volatility and market risk for the 5 firms, NAN YA Plastics corporation, CHINA STEEL, TSMC, UMC, and Fubon Financial Holding in Taiwan stock market. For the market risk, our test results reveal that TSMC 'market risk did not change significantly, the market risk of Fubon Financial Holding increased significantly. For the rest of other three stocks, our tests did not show consistent results. Our tests showed that the volatility of all the 5 firms decreased significantly after the option listing. Our empirical results support the market efficiency hypothesis and the price discovery function of derivatives.