期刊論文
| 學年 | 100 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2012-07-25 |
| 作品名稱 | Price discovery of Index options when futures are limited-locked - Evidence from Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Lin, Yun-yung |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Victoria Island, Lagos: Academic journals |
| 著錄名稱、卷期、頁數 | African Journal of Business Management 6(29), pp.8743-8756 |
| 摘要 | Brennan’s (1986) model suggests that price limit helps mitigate the default incentive on futures if information regarding the obscured price is not conveyed by relevant spot or option markets. This paper presents evidence for a strong information role of liquid index option during index futures limit-lock period in Taiwan. The implicit spot indexes recovered from the option premiums provided continuous, consistent and fairly accurate price discovery of the unobserved equilibrium index. The options assumed a greater proportion of information contribution under extreme market condition, indicating the migration of price discovery from futures to options. Results imply that price limits on index futures impair information efficiency but achieve little effect in controlling default risk. |
| 關鍵字 | Price limits; price discovery; index futures; index options; Taiwan |
| 語言 | en_US |
| ISSN | 1993-8233 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | Lin, Yun-yung |
| 審稿制度 | 是 |
| 國別 | NGA |
| 公開徵稿 | |
| 出版型式 | 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/78832 ) |