Price discovery of Index options when futures are limited-locked - Evidence from Taiwan
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
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