選擇權和現貨相對交易量對股票報酬率預測力

The Predictability of Relative Trading Volume in Options and Stock on Stock Returns

呂喬盈(Ciao-Ying Lyu)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201801388

摘要

本文探討選擇權和股票市場的相對交易量對於股票報酬的解釋能力，過去的文獻顯示交易量與報酬率具有高度相關，同時也指出透過交易量的分析可以找出隱含的資訊；Roll, Schwartz and Subrahmanyam在2010年進一步的提出選擇權和股票市場相對的交易量可以預測未來報酬的想法，同時他們透過實證研究後指出，選擇權交易量和相關資產的股票交易量構成的交易量比率可以用於衡量投資者在期權市場和股票市場交易的相對活動，選擇權和現貨相對交易量可以解釋未來股票收益率。
本篇論文透過Fama-MacBeth 迴歸模型進行研究，結果顯示了在台灣市場選擇權和現貨相對交易量同業可以預測未來報酬，且相對交易量與報酬具有反向的關係，與相關文獻結果一致，資訊交易者在考量交易成本和在放空的限制下，有壞消息時更喜好在選擇權市場進行交易；本文更進一步將相對交易量的想法衍生至權證市場，並獲得了認購權證和現貨相對交易量對於未來報酬具有正向關係的結果，因此相對交易量可以做為台灣資本市場研究的因子。

關鍵字

Fama-MacBeth ； O/S ； 台灣資本市場 ； 交易量 ； 報酬率

並列摘要

This paper examines if option to stock trading volume can predict stock returns. Past studies have shown a high correlation between trading volume and return. Roll, Schwartz, Subrahmanyam (2010) use the relative trading volume in options and stock as measured. And find that O/S is higher around earnings announcements, suggesting increased trading in the options market.
This paper uses Fama-MacBeth regression to analyze data. The results show that in Taiwan market, relative trading volume in options and stock can predict future return, and the relative trading volume has an inverse relationship with return, consistent with the past studies. Informed traders are more willing to trade in the option market when the transaction costs are high and the limitations of the short-selling. This paper extends the idea of relative trading volume to the warrant market. The result also prove that relative trading volume can be used as a factor in the study of Taiwan’s capital markets.

並列關鍵字

Fama-MacBeth ； O/S ； Taiwan capital market ； Volume ； Return

參考文獻

Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time- series effects. Journal of Financial Markets, 5, 31–56.

Black, F., 1975. Fact and fantasy in the use of options. Financial Analysts Journal, 31, 36-41, 61-72.

Cao, C., Chen, Z., Griffin, J., 2005. Informational content of option volume prior to takeovers. Journal of Business, 78, 1073-1109.

Chan, K., Chung, YP., Fong, W., 2002. The Informational role of stock and option volume. Review of Financial Studies, 15, 1049-1075.

Chan, KC., Chang, Y., Lung, P., 2009. Informed trading under different market conditions and moneyness: evidence from TXO options. Pacific-Basin Finance Journal, 17, 189-208.