| Summary: | 碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 97 === The purpose of this study is twofold. We, first, identify the underlying asset of TAIEX Options. Moreover, we also investigate the efficiency of price discovery of volatility index and put/call open interest ratio to the TAIEX Future. From the concept of arbitrage, the price of underlying asset is inferred from put-call parity proposed by Stoll(1969) instead of from the Black-Scholes model. We then use VECM or VAR models to investigate what the underlying asset of TAIEX Option is, and the lead-lag relationship between volatility index, put/call open interest ratio, and the TAIEX Future. The entire samples period and five sub-samples with different market conditions are used.
The results show that TAIEX Future, compared to TAIEX, is more appropriate to be the underlying asset of TAIEX Options. These results are robust no matter what the market condition, price limit and the time-to-maturity are. Moreover, we find TAIEX Future leads volatility index and put/call open interest ratio. It maybe can be explained that the impact of TAIEX Future on TAIEX Option is more significant than that of TAIEX Option on TAIEX Future. However, there is a long-run equilibrium relationship between TAIEX and put/call open interest ratio.
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