禁止放空對選擇權交易之影響──以金融風暴期間為例

The Impact of Short Sale Ban on Options Trading during the Financial Crisis

本文研究禁止放空對於選擇權交易之影響。研究採用台指選擇權2008年9月1日到2008年12月31日的日資料為樣本。實證結果發現，在禁止放空期間選擇權的買賣價差明顯有增加。而由put-call parity推導出隱含的現貨價格與實際的現貨價格產生偏誤有擴大的現象。最後，由於選擇權造市者在買入買權和賣出賣權等避險成本提高下，將使得造市者的風險更大，這除了導致選擇權造市者轉嫁增加的成本到報價上之外，也可能使得造市者到現貨市場去做空方的避險。然而，由於放空限制的存在將造成造市者無法至現貨市場避險，造市者有可能到期貨市場來做避險。有鑑於此，我們發現在禁止放空期間，三大機構法人的期貨空方交易口數與空方未平倉口數都有明顯增加的趨勢。此結果管理意涵在於，傳統上當金融風暴發生時，政府主管機關為了穩定市場多會實施現貨市場放空限制，然而放空限制雖減緩股市的下跌，但卻也造成與之連動的衍生性商品市場交易成本增加、流動性降低等問題。日後管理當局應將這些負面影響納入政策考量，以使限制放空更能有效的穩定市場。

This paper examines the impact of the short sale ban on options trading by using the daily data of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options from September 1, 2008 to December 31, 2008. The results show that the short sale ban is associated with dramatically increased bid-ask spreads of options. These findings indicate that market markers of options increase bid-ask spread because their hedging costs are increased during the short sale ban. By making comparisons with implied spot prices induced by put-call parity, we find that the actual spot price has been overpriced. Finally, the increases in trading volumes and open interests of TAIEX futures on the sale side during the period of short sale ban implies that futures contracts might be another channel for index options market markers to hedge their risks.