碩士 / 國立中正大學 / 財務金融研究所 / 100 / This study investigates the integration condition, information transmission and price discovery between spot, futures and options of Taiwan index in deer, bear and bull markets, adapting a put-call parity (PCP) approach to recover the spot index embedded in the options premiums. The empirical evidence suggests that there exists stable balance in long-term period among three markets and the price change comes from the lag terms of each market in short-term period. In deer and bear markets the sequence of price discovery efficience is futures, spot and then options. But in bull market spot is the poorest efficience.
For the dynamic relationships among markets, futures and options in bear and bull markets have information feedback each other. In deer, bear and bull markets only transmits information from futures to spot. Also in deer and bear markets spot transmits information to options by single direction. In addition, variance disassembly finds the explaination percentage of futures, spot and options is similar. Innovation response shows three index commodities can reflect information impact within 15 minutes and back to normal level.
| Identifer | oai:union.ndltd.org:TW/100CCU00304021 |
| Date | January 2012 |
| Creators | Chiu, Jiun-Ruei, 邱俊睿 |
| Contributors | Chuang, I-Yuan, 莊益源 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 35 |
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