| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === ABSTRACT
This paper provides the evidence of price clustering for the Taiwan stock index options
contract traded on the Taiwan Futures Exchange (TAIFEX) by using intraday quoted
and traded prices. The results show that last digits of quoted and traded prices are
significantly different from the uniform distribution that would be expected if prices
were randomly selected from separate sets of Taiwan stock index options contract. The
intraday pattern of price clustering is also found in the Taiwan stock index options. An
extremely high percentage of price clustering appears at the opening, with a moderately
low percentage near the closing for a trading day.
GMM estimation results document that the degree of price clustering increases in the
periods with high volatility, bid-ask spreads, degree of divergence from the strike price
and price level, and decreases in the periods with high transaction frequency, transaction
volume, and order imbalance. In addition, the results indicate that the price clustering
tends to occur on the last trading day for the options contract.
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