The Influence of Jumping Risk and Volatility Risk on TAIEX Option Return

摘要

Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.