選擇權價格效率性、放空限制與雜訊交易者風險

Pricing Efficiency, Short Sales Restrictions, and Noise Trader Risk: Evidence from the TAIEX Options

本研究之主要目的在於探討套利限制對於台灣加權股價指數現貨、期貨以及選擇權市場間相對價格效率性的影響。利用買賣權等價理論和期貨買賣權等價理論關係式所計算出之定價誤差進行迴歸分析，藉以比較其相對效率性。實證結果顯示，放空限制條件與選擇權流動性分別是影響買賣權等價理論和期貨買賣權等價理論關係式出現偏離的主要因素；此外在選擇權市場的某些投資人，則是容易受現貨市場的走勢氛圍而影響其交易行為，亦即選擇權市場會存在雜訊交易者風險。

This study examines the effect of the limits of arbitrage on the pricing efficiency between the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and its futures and options. Using the pricing errors calculated from the Put-Call Parity relationship and the Put-Call Futures Parity relationship as dependent variable, the regression results show that the level of pricing errors are significantly affected by short-sales restrictions and options liquidity. The evidence also indicates that the pricing efficiency of index options market is burdened with noise trader risk.