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臺大管理論叢
第
27
卷第
2
期
235
Another issue focuses on how the efficiency of the futures and cash markets might be
different due to transaction costs and trading mechanisms associated with the markets.
3. The effects of futures trading on the volatility of cash markets: Whether the introduction
of futures trading has increased or decreased volatility in the cash markets, depending on
the situation of information flows in the markets.
4. Inter-markets trading on futures contracts: Topics focus on analyzing the price
relationships between the related Taiwan stock index futures contracts traded on TAIFEX
and SGX-DT (SEMEX). Another topic looks at the price relationships of Taiwan index
futures and mini-index futures.
5. The maturity effect of futures prices: Whether trading volume and volatility increase as
time approaches the maturity of the futures contracts, due to more information flooding
into the futures market as the futures contracts mature.
We next review empirical studies on the options markets with the following topics.
1. The implied volatility: Studying whether the Black-Scholes implied volatility in option
prices has predictive ability for future volatility, by analyzing the relationship between
implied volatility and historical or realized volatility.
2. The implied volatility skew effect: Discussing if there is a U-shape or skew effect of
Black-Scholes implied volatility in option prices relative to the strike prices, due to the
non-normal effect being inconsistent with the standard assumptions associated with the
Black-Scholes option pricing model.
3. The implied volatility index: The volatility index (VIX) represents the average implied
volatility calculated from the prices of different types of options contracts with different
exercise prices. This index provides useful information about expected futures volatility
on the market.
4. The pricing efficiency of options: Options as a financial asset should adhere to the general
capital assets pricing theory, although the relationship is non-constant and time-varying.
The expected return on option prices should cover the associated risk premium.
5. Other information implicit in options prices: Apart from implied volatility, other important
and interesting information can also be extracted from options prices with appropriate
pricing models, such as implied (risk-neutral) skewness, kurtosis, or the implied
distribution, of the underlying returns.
We finally review the empirical literature on the trading mechanisms of derivatives
markets in regards to the following issues.