The Trading Activity of the Index Options Market and its Influence on the Futures Market

• Main Authors: Shao-Hao Lu, 盧紹豪
• Other Authors: Shen-Yuan Chen
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/21137836988600728399

碩士 === 銘傳大學 === 財務金融學系碩士班 === 91 === This research examines the factors of the trading activities and bid-ask spreads of options in the Singapore Nikkei 225 Index Futures Options Market and the Taiwan Stock Index Options Market. Both the risk of market maker and the specifications of options contracts are considered. Because of poor liquidity, we cannot find out the significant factors affecting the trading activities and bid-ask spreads of options except that the time to expiration which has positive influence on trading activity of options in the Singapore Nikkei 225 Index Futures Options Market. However, the time to expiration and the degree of moneyness have influence on trading activity of options in Taiwan Stock Index Options Market. We also examine that the impact of trading activity of options on futures trading. In the options market with poor liquidity such as Singapore Nikkei 225 Index Futures Options market and Singapore MSCI Taiwan Index Futures Options market, the trading activity of options have no significant effects on futures trading. But in Taiwan market, the trading activity of options has significant positive effects on futures trading. We infer the complementary relationship between the Taiwan Stock Index Options and the Taiwan Stock Index Futures due to the difference participant in both markets.