| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 95 === The purpose of this study is to evaluate impact upon the spot market when options was introduced, and what change for the volatility and asymmetric effect of spot market return after the listing of Taiwan stock index options (TXO) and Electronic stock index options (TEO) by means of the model TGARCH. Additionally, the study also investigates about what difference of the result will be when the sample was divided into three parts. The sample period of Taiwan stock index is from June 20, 1997 to October 24, 2005, and of Electronic stock index is from March 26, 2003 to April 2, 2007.
The empirical conclusions regard as the following： When TXO listed, Taiwan stock index return volatility is significantly decreased in the case of mid-long term and long term, and the asymmetric effect also decreased in long term. When TEO listed, there was no significant effect to Taiwan stock index return volatility in those three periods, but the asymmetric effect of Electronic stock index return is significant increased in the long term.
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