股票選擇權採現金交割之可行性分析

台灣期貨交易所於92年1月20日推出到期採實物交割的股票選擇權契約，希望能提供市場更豐富、更多元的避險以及套利機能。然自股票選擇權推出以來，市場成交量並未如預期般蓬勃發展，便失去台灣期貨交易所推出股票選擇權之用意，不能使其充分發揮其多元之避險套利機能。多數人主觀認為，採用現金交割方式的衍生性金融商品容易受到人為操縱。一般而言，研究市場的人為操縱因子多以報酬波動率及到期日效應作為觀察指標，因此商品之交割方式與報酬波動率及到期日效應有一定之關聯。然而近來國外許多相關研究發現，採實物交割與現金交割，對股票選擇權的到期日效應並未產生差異，反而是透過結算制度的設計，可以有效降低人為操縱的機率。本研究旨在研究股票選擇權改採現金交割之可行性分析，研究到期日採現金交割是否就是增加人為操縱機率的主要因素，且到期日效應與到期交割方式是否又有絕對的關係？而根據文獻了解，到期日報酬波動率與受人為操縱之跡象是呈現正向關係。

Taiwan Futures Exchange launched stock options on January 20, 2003, hoping to provide the market with more hedging and arbitraging opportunities. However, the trading volume does not grow as was expected. The low trading volume does not meet Taiwan Futures Exchange’s goal to provide the market with hedging and arbitraging mechanism. Most people think that derivatives applying cash settlement lead to manipulation. Researchers studying manipulations take the volatility of returns and expiration effects as the factors of their studies. However, some recent studies suggest applying cash settlement or physical settlement does not have much impact on expiration effects, while applying proper settlement system can reduce manipulation.

This research investigated the possibility of stock options applying cash settlement and examined the volatility of returns of stock indexes and stock prices during settlement and non-settlement days to determine if expiration effects exist. In this study, we found the volatilities of returns of all samples during TAIFEX settlement days are significantly higher than the volatilities of returns during SIMEX settlement days. All of our samples have significant higher volatilities of returns during TAIFEX settlement days and SIMEX settlement days except CMO, which does not have significant higher volatility of returns during SIMEX settlement days. Other researches point out the adopting of stock futures reduces the expiration effects. Furthermore, adopting cash settlement or physical settlement does have much impact on expiration effects. To decrease the expiration effect and to increase the effectiveness of the market, this study proposes the adoption of cash settlement and the launching of stock futures.