A Study of Option-Expiration Effects-The Case of Taiwan
Date Issued
2004
Date
2004
Author(s)
Wu, Mong-Hsien
DOI
zh-TW
Abstract
This thesis analyzes the effect of the expiration of TAIEX Options, as well as the first five equity options traded in the Taiwan Futures Exchange, on the return, conditional volatility, and trading volume of the underlying assets. The aim of the results of this thesis is to help investors and institutions to develop strategies of investing options. The results are as follows:
1. Return: Results from TAIEX indicate no effects on the returns at expiration date. But there are significant effects in individual stocks on expiration date. The first model used is the GARCH (1,1) Model. NAN YA has significant positive effect at expiration date, and in the second model, GJR model, Chain steel has negative effect at expiration date.
2. Conditional volatility: No matter the symmetric or the asymmetric model, there is abnormal increase on volatility on TAIEX. And there is still significant abnormal effect in NAN YA and Chain steel. The results mean there are actually the effect of expiration date on the conditional volatility on TAIEX、NAN YA and Chain steel.
3. Trading volume: There is a significant increase on the trading volume on the expiration day on TAIEX, and a significant decrease on the trading volume on the two day before the expiration day. The aspect of individual stocks, there is just only a abnormal increase on trading volume at expiration date on TSMC.
Thus, the hypothesis, option-expiration effect, really exists in Taiwan stock market, and the reasons resulting in this effect are described in the chapter of conclusion.
Subjects
選擇權
到期日
到期效果
GARCH(1,1)
GJR Model
Type
thesis
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