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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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1. The margin system and risk management: The margin system is crucial for trading in
derivatives markets, since it can guarantee fluid trading of contracts. On the other hand, it
increases the opportunity cost of trades. The influence of adopting different margin
systems is an important issue for empirical studies.
2. The effects of the trading mechanism: Investigating the effects of call auction and
continuous auction, price limits on cash prices and futures prices, trading tax, short-selling
constraints, and so on.
3. Market sentiment and herd behavior in derivatives markets: Using the put-call ratio, open
interest, trading volume, or VIX as market sentiment variables to investigate the herding
behavior of traders.
4. Trading information contained in derivatives markets: The use of intra-day data and
market microstructure methodology, market trading information such as order imbalance,
quotation by market makers, institution traders, and the market disclosure mechanism are
all interesting issues to be investigated.
5. The effects of market manipulation: Mainly discussing the effects of market manipulation
by the National Stabilization Fund or by domestic and foreign institutional traders.
6. The foreign currency and interest rate risks: Other empirical research focuses on OTC
markets, which include foreign currency and interest rate markets.
3. Review of the Literature about Derivatives’Application in Taiwan
Along with the fast growth of derivatives markets, derivatives theories have developed
along the same path as well. Hence, many practitioners apply relevant theories to resolve
specific financial issues. We review the literature of applying the concept or the pricing
model of derivatives to other areas such as risk management, employee stock options, real
options, etc. Different categories of applications derived therein are reviewed as follows.
1. Risk Management: Many applications focus on exploring how to build up early warning
signals on credit risk or liquidity risk. These risk management measures can be created by
combining market information (i.e., stock prices or CDS spreads) with the theoretical
frameworks of derivatives.
2. Employee Stock Options: Employee stock option plans have recently become a very
important incentive program in salary systems or management. The papers we survey
include related studies about how to price employee stock options or how to evaluate their
impact on corporate financial management if an employee stock option system is
implemented.