Impact of Single Stock Futures on the Volatility of Underlying Taiwan Stocks

[[abstract]]本研究主要探討單一股票期貨上市對標的個股波動的影響。本文樣本選擇在台灣證券交易所掛牌，且其個股期貨在樣本期間成交量前三十大的股票為樣本。樣本時間為2009年5月13日到2013年9月4日止。本文以兩種不同波動性估計式--高/低價模型、Garman-Klass模型--來測量其標的股票的波動性；而計算不同風險之衡量方法，包括Aumann and Serrano 風險指標(AS Riskiness)、系統性風險、CVaR風險指標、總風險。接著，分別對高/低價模型、Garman-Klass模型之財務變數（市值、週轉率、股價營收比和股價淨值比等不同財務變數）做多元迴歸模型，來觀察股票期貨上市對其標的股票價格波動的關係。實證結果發現股票期貨上市後對高/低價格與Garman-Klass波動性估計為顯著負相關，亦即股票期貨上市可以改善現貨市場效率，降低了現貨市場的波動性。[[abstract]]This thesis investigates how the impact of the introduction of single stock futures (SSFs) on the volatility of the underlying stocks The selected samples are stocks listed on the Taiwan Stock Exchange (TWSE) with its trading volume ranked within top 30 in the observed period which was lasting from May 13th 2009 to September 4th 2013 Two different models: High-Low model and Garman-Klass model are used to measure the volatility of the underlying stocks The author also makes the following risk measurements: Aumann and Serrano riskiness index (AS Riskiness) CVaR (Conditional Value-at-Risk) sigma and beta The different company characteristics variables which are market capitalization price-to-sales ratio price-to-book ratio and stock turnover ratio are employed at the about two models by multiple regression models to evaluate if there are any impacts on the price volatility of the underlying stocks under these firm characteristics The empirical results of this study show that in both High-Low model and Garman-Klass model the impact on stock price volatility is significant negative correlation after the introduction of stock futures The results are consistent with those in academic literature this phenomenon implies that the stock future may increase the efficiency of the spot market and may lower the volatility in the spot marke