台灣股票市場放寬漲跌幅限制對台指選擇權訊息內涵的影響

本文探討台灣股票市場放寬漲跌幅限制後各類市場選擇權交易者交易行為的影響，同時建構以能衡量市場交易者在選擇權與股票間交易行為的交易訊息變數實證。本文利用交易訊息變數包含選擇權空方部位與多方部位比以及選擇權交易口數與股票交易張數比，並使用區分方向的多方(空方)選擇權交易口數與股票交易張數比，同時納入選擇權未平倉口數來建構上述交易訊息變數並觀察交易者交易趨勢的變化。研究結果發現外資在多方選擇權交易口數與股票交易張數比能解釋台灣股價指數報酬並具有正向的選擇權交易訊息，投信與自營商則在多方選擇權未平倉口數與股票交易張數比有解釋能力，至於個人交易者則不具有交易上的意義。

關鍵字

放寬漲跌幅限制；選擇權交易者交易行為；未平倉口數；多方選擇權交易口數與股票交易張數比

並列摘要

This paper investigates the impact of relaxing price limits on trading behavior of options investor, and constructs comprehensively analyzes the informational linkage between options trading and stock returns for different investor groups. The proxy for the information variables included long-put-call volume ratios, short-put-call volume ratios, long-put-call open interest ratios, short-put-call open interest ratios, long-option-to-stock volume ratio, short-option-to-stock volume ratio, long-option-to-stock open interest ratio, and short-option-to-stock open interest ratio. The results indicate that the long-option-to-stock ratios constructed from the volume may predict future stock returns for foreign institutional investors, and those constructed from open interest have better predictive power on future stock returns for dealer and domestic institutional investors. However, the information of options has no impact on future returns for individual investors.