本研究主要針對股票選擇權發行對其標的股票市場的股價波動性以及股票選擇權買權、賣權價格與標的股票價格之間的因果關係進行探討。本文共選取5個樣本公司,分別為台積電、聯電、南亞、中鋼、富邦金。股票選擇權價格樣本選取期間為2003年1月21日至2003年12月31日,共236個樣本;標的股票價格選取期間為2002年1月21至2003年12月31日,共484個樣本。本研究在波動性研究部份,使用了多元迴歸與變異數比率分析;關聯性研究部份使用單根檢定、VAR、衝擊反應分析、預測誤差變異數分解與因果關係檢定。 在波動性部份實證結果,經由多元迴歸發現主要的影響標的股票價格的因素,仍是來自於大盤指數的變動,受股票選擇權的影響則較小,但在股票選擇權發行後,其標的股票價格的波動性有下降的現象;關聯性部份實證結果,發現大部份的樣本公司其股票選擇權買權、賣權對其股票價格間的影響皆很小,選擇權價格的先行指標效果也不顯著。 The purpose of this study is to examine the price volatility between stock options and underlying stocks, and the causality relationships among call option prices, put option price and underlying stock prices. This study selected 5 samples companies, which are TSMC, UMC, NAN YA, CHINA STEEL, FUBON FINANCIAL. The stock option prices periods cover 2003/1/214~2003/12/31, and the underlying stock prices periods cover 2002/1/21~2003/12/31. The first stage of the volatility study uses multiple regression and variance ratio analysis. The second stage that study the causality between stock option prices and underlying stock prices uses unit root test, VAR, impulse response, decomposition of forecast error variance and Granger causality test. The results show an important effect that the underlying stock price volatility is mainly from Taiwan Stock Index. However, the samples company’s underlying stock price volatility decreased after the stock options issued. Moreover, the causality result found that most samples company’s call option prices and put option prices are insignificantly influenced their underlying stock prices. On the other hand, the leading effect of stock option prices is not significant.