Impact of net buying pressure on the trading demand of different types of trader

淨買壓對不同類型交易者的交易需求影響

林姿瑩(Zih-Ying Lin) ； 謝佩芳(Pei-Fang Hsieh)

《證券市場發展季刊》 32卷2期 (2020/06) Pp. 119-146

https://doi.org/10.6529/RSFM.202006_32(2).0004

摘要

This research examines the relation between trading demand and net buying pressure, which reflects the different opinion of traders' expectations. Controlling for the effect of volatility on trading demand, we find that the net buying pressure derived by OTM calls and ATM puts significantly influences the trading demand of hedgers, whereas the trading demand of speculators is affected by the net buying pressure derived by OTM calls. This relationship offers evidence that the greater discrepancy of traders' expectation about future prices implies a lesser desire from both speculators and hedgers to trade. However, when net buying pressure turns larger after the period of the U.S. subprime mortgage crisis, the trading demand of hedgers is greater, while there is no influence on the trading demand of speculators. We conclude that hedgers are more risk-averse and have a greater desire to trade if they find that the imbalance on net buying pressure is larger after a crisis, especially for ATM puts.

關鍵字

Trading demand ； Net buying pressure ； Speculator ； Hedger ； Volatility

並列摘要

本研究探討淨買壓和不同類型交易者需求間的關係，在控制了波動率對交易需求的影響，我們發現價外買權與價平賣權對避險者的需求有顯著的影響，投機者的部分只有對價外買權有影響。當投資人對未來的價格分歧程度越大時，投機者與避險者皆會減少交易的需求。在美國次級房貸危機發生後，我們發現隨著賣權的淨買壓增加，避險者的交易需求也有顯著增加的趨勢，但是對投機者沒有顯著的影響。

並列關鍵字

交易需求 ； 淨買壓 ； 投機者 ； 避險者 ； 波動率

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