Price Impacts from Unexpected Changes of Volumes and Open Interests: Empirical Studies of TAIFEX Index Options

• Main Authors: Chia-Hsuan Wang, 王佳璿
• Other Authors: Ming-Hsien Chen
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/70325396922044561393

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === Abstract The thesis uses the EGARCH model to capture the characteristics of volatility asymmetry in TAIFEX index options, and adopt GJR-GARCH as the robustness model. We divided trading volume and open interest into expected and unexpected sections to examine whether the unexpected volume has a significant influence on volatility asymmetry. Empirical results show as follows. Volatility asymmetry effect exists in option markets. Negative impact makes the price of underlying assets fall, and the price of put options rise; therefore OTM put options have the highest asymmetry rate. Moreover, estimated coefficient of expected volume is higher that of unexpected volume, which seems to imply that the investors actually use the TAIEX as a hedge tool but not an arbitrage tool. Finally, the price of ATM put options is relatively stable. When the expected volume of ATM put options increases, the market will face consolidation.