台指選擇權相對於股指交易量比率與現貨報酬率間的分量迴歸分析

本研究探討台指選擇權相對於股指交易量比率（O/S ratio）對現貨報酬率的預測力。採用能夠區分多空頭方向的O/S ratio，捕捉外資法人在選擇權以及現貨市場的交易行為，並且運用分量迴歸的方法，從條件分配整體情況分析O/S ratio與報酬率間的關係。我們發現外資法人在台灣指數選擇權市場的交易確實有資訊內涵，多頭的O/S ratio上升則次日現貨價格將會上漲，空頭的O/S ratio上升則次日現貨價格將會下跌。當我們控制現貨當日交易量及當日報酬率的影響後，O/S ratio一樣具有顯著的預測效果。此外，我們也發現在美國金融海嘯期間對於O/S ratio預測能力有顯著的影響。

關鍵字

台指選擇權相對於股指交易量比率；分量迴歸；資訊內涵；外資法人；台指選擇權市場

並列摘要

This paper examines how the option/stock trading volume ratio (O/S ratio) predicts future underlying stock returns. We use quantile regression to analyse the relationship between O/S ratio and returns. The O/S ratio is classified by bull and bear market to quantify the behaviour of foreign institutional investors in Taiwan. The empirical results show that the O/S ratio in bull market has higher future stock returns and that the O/S ratio in bear market is negatively associated with future stock returns. Such results indicate that the trading of foreign institutional investors in Taiwan contain information. The predictability of O/S ratio is still significant after controlling for stock volumes and current stock returns. In addition, we also find that the predictability of O/S ratio is changed during U.S. financial crisis.