台灣衍生性金融商品市場實證與運用研究文獻回顧與展望

Review and Prospects of Taiwan Derivatives Research: Empirical Studies and Applications

本文針對國內衍生性金融商品的市場實證與運用研究文獻進行回顧與展望，回顧的文獻範圍是西元 2000 年以後發表在 TSSCI 的學術期刊，總計整理了 140 篇以上相關的研究。在實證研究部分，本文針對衍生性金融商品的期貨市場、選擇權市場以及市場交易機制的相關各項議題進行文獻的回顧與整理。內容涵蓋了期貨與現貨關係、隱含波動率、市場微結構、價格的資訊內涵等較為大眾關切的研究領域。接著整理衍生性金 融商品的概念或定價模型運用在其它領域的相關研究，範圍包括了將選擇權的模型應用在風險管理的研究、探討員工認股選擇權的設計與定價、實質選擇權的應用研究及市場業務經營等課題，最後本文提出未來後續研究的展望與結論。

This paper reviews the empirical studies and applications of derivatives in Taiwan. We focus on articles published in TSSCI journals after the year 2000 and more than 140 papers are collected to conduct the survey. Initially, we review and summarize the empirical studies of derivatives markets in Taiwan regarding futures market, options market and market mechanism. These relevant topics include the relationship between futures market and cash market, microstructure issues of derivatives markets and the information content of derivatives prices, which are supposed to be intensively concerned by the general public. We then review the literature of applying the concept or the pricing model of derivatives to other areas such as risk management, employee stock option, real option, business operation and so on. We finally provide potential promising research issues, possible directions for future research and conclude the paper in the last section.