股指期权价格发现的动态过程研究——基于台湾股指期权高频数据的实证分析

A Study of the Dynamic Process of Price Discovery in the Index Options Market:Based on High-Frequency Data From Taiwan Index Options Market

期权的重要作用之一就是促进市场价格发现。基于台湾加权股票指数及其期货、期权的高频数据,利用误差修正模型和分位数回归模型可对股指期权价格发现的动态过程进行研究。实证结果表明:首先,股票指数、股指期货和股指期权在短期内存在相互引领的关系,而股指期权在长期的价格调整速度最高,因而其价格发现速度最快;其次,金融危机期间三者之间的相互引领关系与平时有所不同;最后,随着涨跌幅的变化,股指期货和股指期权对现货的影响呈现非对称的"U"型,现货市场对期权市场的影响呈现正向"W"型,而期货市场对期权市场的影响呈现反向"W"型走势。

One important task of options is to promote market price discovery. We study the dynamic process of price discovery in index options using the error correction model and quantile regression model based on high-frequency data in TXO market. The empirical results show that: firstly,there is a short-term mutual relationship among stock index,index futures and index options,but in the long term the price-adjusted speed of index options is highest,and therefore index options' speed of price discovery is fastest; secondly,the relationships among the three during a financial crisis differ from those in non-crisis periods; finally,along with fluctuations,the impact of index futures and index options on spot goods is represented as an asymmetric 'U'shape,and the impact of spot goods on index options shows a positive 'W'shape whereas the influence of index futures on index options exhibits a reverse'W'trend.