快速交易對選擇權價格預測之能力

本文探討快速交易者在臺灣選擇權市場是否具有價格預測之能力，本文根據Brogaard et al. (2014)為基礎。參照美國證券交易委員會(SEC)在2014年所提出報告中的描述，由交易速度快、持倉時間短且交易量大，定義本研究的快速交易者，再以揭示檔重建委託簿並以一分鐘為時間區間，運用Hu (2006)價格拆解之方法，將這一分鐘的價格拆解為永久性價格與短暫性價格後分別計算報酬，驗證快速交易變數對於短暫性價格和永久性價格，是否具有價格預測的能力。又將快速交易者分為外資、國內法人、散戶三類投資人，觀察三類快速交易的投資人對於價格預測的能力。研究結果顯示，在買權和賣權市場中，快速交易者面對短暫性價格，快速交易變數與報酬之係數為正，在價格上有正確的預測能力，因此可說明全市場中的快速交易者，在短暫性價格發生變化時，有高於一般投資人的技術，能正確的判斷短暫的時間內價格的變動，有能力將一般投資人視為雜訊的變化，做出正確的判斷而獲利。然而在對於市場中永久性價格發生變化時，報酬與快速交易變數之係數呈現反向顯著之關係，因此可以說明市場中的快速交易者，在永久性價格發生變化時，不具有價格預測的能力，可能與永久性價格偏方向性有關。進一步區分為三種投資人種類後，外資和國內法人對於短暫性價格的變動有價格預測的能力，但散戶對於短暫性價格並無預測能力。

關鍵字

快速交易；價格預測；選擇權市場

並列摘要

We examine the role of fast trading in price discovery in Taiwan options market. By applying Brogaard et al. (2014)’s theory to Taiwan Weighted Stock Index Option(TXO), and defining Fast trading by huge volume and short holding periods according to SEC (2014)’s report. This study used Hu (2006) as the approach to decompose the prices into temporary price and permanent price, temporary price represent the noise in the market and permanent price represent price direction, then I analyzed individually the fast trading predict capacities of both prices (temporary price and permanent price).Furthermore, fast traders were divided into three categories: Foreign Institutions, Domestic Institutions and Retail investors, and then to inspect their predictive abilities from these three categories. The result show that fast trading correlates positively to temporary price, which indicates that fast trading of the whole market have positive predict capacity to temporary price, representing that fast trading can profit by trading on noise and temporary time interval changing. fast trading correlates negatively to permanent price, which demonstrate that fast trading do not have predict capacity to permanent price. In addition, investors are categorized into three groups. Result illustrate that Foreign and Domestic institutions have positive predict capacity to temporary price and Retail dose not has predict capacity to temporary price.

並列關鍵字

Fast-Trading ； Predicted Price ； Option Market

參考文獻

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4. Brogaard, J., Hendershott, T., & Riordan, R. (2014). High-frequency trading and price discovery. Review of Financial Studies, 27(8), 2267-2306.

5. Carrion, A.(2013). Very fast money: High-frequency trading on the NASDAQ. Journal of Financial Markets, 16(4), 680-711.

6. Cao, C., Hansch, O., & Wang, X. (2009). The information content of an open limit‐order book. Journal of futures markets, 29(1), 16-41.

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快速交易對選擇權價格預測之能力

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