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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
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Review and Prospects of Taiwan Derivatives Research: Empirical
Studies and Applications
1. Introduction
Ever since the introduction of covered call warrants in the Taiwan Stock Exchange
(TWSE) in 1997, the derivatives market in Taiwan has grown quite rapidly. For example, the
number of warrants issued and listed in TWSE increased from 12 in 1998 to 15,527 in 2011.
In response to this financial market development, derivatives research in Taiwan has also
progressed very well. To summarize the contributions of prior studies, this paper reviews the
existing literature of empirical studies and applications regarding derivatives in Taiwan. We
focus on articles published in 16 TSSCI journals after the year 2000, collecting more than
140 papers to conduct the survey.
This paper initially reviews and summarizes the empirical studies of derivatives in
Taiwan regarding futures markets, options markets, and market trading mechanisms.
Research topics include the relationship between futures and cash markets, microstructure
issues of derivatives markets, and the information content of derivatives prices, about which
the general public has become more intensively concerned. We then review the application
work of derivatives in Taiwan. The literature regarding this issue is classified into different
groups according to different topics. Finally, in the last section we conclude our paper and
provide suggestions and directions for future research.
2. Review of Empirical Studies on Derivatives Markets
The Taiwan Futures Exchange (TAIFEX) was established in July 1998, when Taiwan
index futures contracts began trading. After a long period of development, the derivatives
markets have accumulated an abundant amount of data for empirical researchers. We first
review the empirical studies on the futures markets in regards to the following issues.
1. The relationship between futures prices and cash prices: Issues include assessing futures
pricing errors versus model prices and analyzing futures spreads relative to cash prices or
to other contract prices.
2. The price discovery of futures prices: Issues include analyzing the lead-lag price
relationship between cash and futures prices due to the information flows of trades.
Bing-Huei Lin
, Professor, Department of Finance, National Chung Hsing University
San-Lin Chung
, Professor, Department of Finance, National Taiwan University
Shih-Kuo Yeh
, Professor, Department of Finance, National Chung Hsing University