A Nonlinear Factor Analysis of TAIEX Option Returns

• Main Authors: Chih-yung Chiou, 邱誌勇
• Other Authors: Hsi-nan Hsu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/30174169774887396655

碩士 === 逢甲大學 === 財務金融學所 === 100 === In the past literature, researchers pay little attention to the characteristics of option return. This study bridges this gap. According to the distribution formula for the option holding period return derived by Hsu (2010, 2011) and Lin (2011), and the Ito ̅''s Lemma, this study uses the TAIEX options to empirically examine the factors that influence the holding period returns and daily returns on TAIEX options. The empirical results indicate that some characteristics of the holding period returns on call options, including (1) the holding period returns on call options are significantly, negatively related to the interest rate, moneyness, and Taiwan stock index; (2) the holding period returns on call options are significantly, positively related to both the return of Taiwan stock index and the remaining trading days; and (3) the relationship between the holding period returns on call options and Taiwan stock index’s volatility depends on the period of holding. As for the characteristics of put options, there are (1) the holding period return on put options are significantly, positively related to the interest rate, moneyness, and Taiwan stock index. (2) The holding period return on put options are significantly, negatively related to the the returns of Taiwan stock index, the remaining trading days, and Taiwan stock index’s volatility. The empirical results of the holding period returns on options are generally consistent with Hsu (2012). As for the daily returns on TAIEX Options, some characteristics can be identified: (1) The daily returns on call options are significantly, negatively related to the interest rate, changes in interest rate, and Taiwan stock index’s volatility. (2) The daily returns on call options are significantly, positively related to the Taiwan stock index, changes in Taiwan stock index, changes in the volatility of Taiwan stock index, and the remaining trading days. As for the characteristics of put options are: (1) The daily returns on put options are significantly, negatively related to the interest rate, changes in interest rate, Taiwan stock index’s volatility, changes in Taiwan stock index, and the remaining trading days. (2) The daily returns on put options are significantly, positively related to the Taiwan stock index and changes in the volatility Taiwan stock index. The empirical results of daily returns on options are generally consistent with Jones (2006)