外資對台灣選擇權市場的價格具較佳預測能力嗎？

Are Foreign Institutions Better Informed Traders in the Taiwan Options Market?

邱文昌(Wen-Chang Chiu)

指導教授 ： 林蒼祥

淡江大學/商管學院/財務金融學系博士班/博士(2016年)

https://doi.org/10.6846/TKU.2016.00534

摘要

本論文藉由檢視台灣指數選擇權市場中外資機構法人和國內機構法人之限價委託簿中日內資訊內涵，比較外資機構法人與國內機構法人之資訊優勢。由外資機構法人及國內機構法人限價委託簿所計算出來之流動性變數中的高度、長度變數，皆顯示其對選擇權未來價格變動都具有預測能力，尤其在賣權部分；而外資機構法人在買權和賣權方面都具有較顯著之資訊優勢。
另一方面，當以委託單不平衡作為資訊的代理變數時，其結果是混雜的，外資機構法人在賣權方面表現優於國內機構法人，外資機構法人之委託單不平衡變數無法握有相對資訊優勢。另外資機構法人在2008-2009金融海嘯及劇烈價格變動期間仍有與前揭所述一致之資訊優勢。

關鍵字

限價委託簿 ； 流動性變數 ； 委託單失衡 ； 資訊優勢

並列摘要

This study investigates comparative information advantage for foreign and domestic institutions on Taiwan’s index options by examining the intraday information content of limit orders placed by foreign and domestic institutions. The liquidity variables of height and length calculated from the open limit order book provided by either foreign or domestic institutions exhibit predictive power on subsequent price changes in options, especially for put options. The information advantage is more significant for foreign institutions with respect to both call and put options. On the other hand, the results are mixed when order imbalance is used as the proxy of information on limit order book. Foreign institutions outperform domestic institutions for put options, not call options. Order imbalance, ignoring differential aggressiveness of limit orders, fails to capture comparative information advantage for foreign institutions. The superior information advantage for foreign institutions persists during the Financial Tsunami of 2008-09 and periods of substantial price changes.

並列關鍵字

Limit Order Book ； Liquidity Variables ； Order Imbalance ； Information Advantage

參考文獻

Bae, K.H., Stulz, R.M., & Tan, H. (2008). Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts. Journal of Financial Economics, 88, 581–606.

Bessembinder, H., & Venkataraman, K. (2004). Does an electronic stock exchange need an upstairs market? Journal of Financial Economics, 73, 3–36.

Boehmer, E., & Wu, J. (2006). Order flow and prices. Working Paper. Texas A&M University.

Bloomfield, R., O’Hara, M., & Saar, G. (2005). The “make or take” decision in an electronic market: Evidence on the evolution of liquidity. Journal of Financial Economics, 75, 165–199.

Cao, C., Hansch, O., & Wang, X. (2008). Order placement strategies in a pure limit order book market. Journal of Financial Research, 31, 113–140.