本研究旨在探討台灣股價指數選擇權發行與宣告時，對於現貨市場波動性有何影響。運用一般化自我迴歸異質變異數模型（GARCH）去刻劃現貨市場波動性在台灣股價指數選擇權發行與宣告前後是否發生改變。而實證結果發現台指選擇權宣告及發行後，現貨市場波動性皆在短期顯著降低，而在長期顯著增加。且在台指選擇權宣告及發行後，現貨市場對未預期衝擊的敏感度減小，而條件波動在短期減少，長期持續性增加。

This paper examines the impact of the volatility of spot market when Taiwan stock index option was introduced and announced. Our test consists in utilizing the Generalized Autoregressive Conditional Heteroskedastic (GARCH) process to generate time-series measure of the volatility of stock market in Taiwan. Empirical results verify that the volatility of spot market decreased significantly in the short-run, whereas it increased significantly in the long-run. During any time, the impacts of unexpected innovation decreased significantly in the spot market after announcement date and introduction date. And the persistence of conditional volatility decreased significantly in the short- run, whereas it increased significantly in the long-run.

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