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211
臺大管理論叢
2017/6
第
27
卷第
2
期
211-258
DOI:10.6226/NTUMR.2017.AUG.25104-011
台灣衍生性金融商品市場實證與運用研究文獻回
顧與展望
Review and Prospects of Taiwan Derivatives Research: Empirical
Studies and Applications
摘 要
本文針對國內衍生性金融商品的市場實證與運用研究文獻進行回顧與展望，回顧的文
獻範圍是西元
2000
年以後發表在
TSSCI
的學術期刊，總計整理了
140
篇以上相關的研
究。在實證研究部分，本文針對衍生性金融商品的期貨市場、選擇權市場以及市場交
易機制的相關各項議題進行文獻的回顧與整理。內容涵蓋了期貨與現貨關係、隱含波
動率、市場微結構、價格的資訊內涵等較為大眾關切的研究領域。接著整理衍生性金
融商品的概念或定價模型運用在其它領域的相關研究，範圍包括了將選擇權的模型應
用在風險管理的研究、探討員工認股選擇權的設計與定價、實質選擇權的應用研究及
市場業務經營等課題，最後本文提出未來後續研究的展望與結論。
【關鍵字】
衍生性金融商品、實證研究、實質選擇權、市場微結構
Abstract
This paper reviews the empirical studies and applications of derivatives in Taiwan. We focus on
articles published in TSSCI journals after the year 2000 and more than 140 papers are collected
to conduct the survey. Initially, we review and summarize the empirical studies of derivatives
markets in Taiwan regarding futures market, options market and market mechanism. These
relevant topics include the relationship between futures market and cash market, microstructure
issues of derivatives markets and the information content of derivatives prices, which are
supposed to be intensively concerned by the general public. We then review the literature of
applying the concept or the pricing model of derivatives to other areas such as risk
management, employee stock option, real option, business operation and so on. We finally
provide potential promising research issues, possible directions for future research and
conclude the paper in the last section.
【
Keywords
】
derivatives, empirical research, real option, market microstructure
林丙輝
/
國立中興大學財務金融學系教授
Bing-Huei Lin
, Professor, Department of Finance, National Chung Hsing University
張森林
/
國立臺灣大學財務金融學系教授
San-Lin Chung
, Professor, Department of Finance, National Taiwan University
葉仕國
/
國立中興大學財務金融學系教授
Shih-Kuo Yeh
, Professor, Department of Finance, National Chung Hsing University
Received 2015/9, Final Received 2016/8