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

derivativesempirical researchreal optionmarket microstructure