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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93763

    Title: 台指選擇權短天期契約價差交易績效之探討
    Other Titles: Study on the performance of spread trading for Taiwan stock index weekly option
    Authors: 方艦騏;Fang, Chien-Chi
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;Lee, Wo-Chiang
    Keywords: 短天期契約;賣權多頭價差;買權空頭價差;賣出賣權;Weekly Option;bull put spread;bear put spread;short a put
    Date: 2013
    Issue Date: 2014-01-23 13:30:11 (UTC+8)
    Abstract: 本文檢驗台灣期交所於 2012 年11 月14 日推出的週選擇權契約後,選擇
    This article investigates the trading volume effect of Taiwan stock index weekly
    option which is issued by Taiwan Futures Exchange on November 14, 2012. Further
    explores the best timing and performances of eight strategies, including the long a call ,
    long a put, short a call, short a put, bear call spread, bull put spread, bull call spread and
    bear put spread.
    The empirical results show that after the weekly option contract be issued, the options
    trading contracts growth significantly, but the total trading volume is not significant.
    Among the eight trading strategies, the performance of short a put is the best and stable.
    No matter the four ticks in the money (ITM) or out of the money (OTM). We also found
    that the short a put at the money (ATM) has the highest return. However, the other
    options trading strategies performance are not stable.
    Taiwan Futures Exchange issues the weekly option contract has been making the
    settlement behavior becomes more frequent and normal. It can also avoid the
    manipulation settlement prices via QFII. Finally, let the Taiwan future market more
    liberalized, rationalizing, and equality. and thus enhance its international
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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