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    题名: Price discovery of Index options when futures are limited-locked - Evidence from Taiwan
    作者: Lin, Yun-yung
    贡献者: 淡江大學財務金融學系
    关键词: Price limits;price discovery;index futures;index options;Taiwan
    日期: 2012-07-25
    上传时间: 2012-10-30 15:05:35 (UTC+8)
    出版者: Victoria Island, Lagos: Academic journals
    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.
    關聯: African Journal of Business Management 6(29), pp.8743-8756
    DOI: 10.5897/AJBM12.026
    显示于类别:[財務金融學系暨研究所] 期刊論文


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