本文採用Roll et al.(2010)的選擇權相對股票交易量比率與Pan and Poteshman (2006)的賣買權交易量比率來研究漲跌幅限制與投資人的交易行為對台灣股票市場波動的影響,並使用台灣期貨交易所2011年至2019年的日資料,從實證結果分析發現,在放寬漲跌幅限制後,在選擇權相對股票交易量比率中,國內機構法人具有私有訊息,且傾向在選擇權市場進行交易。在買方-賣買權交易量比率中,國內機構法人與個人交易者傾向交易買進賣權,在賣方-賣買權交易量比率中,在面對不確定性的壞消息時,國外機構法人則會傾向進行賣出買權操作,以賺取權利金。
This article adopts option to stock trading volume ratio and put-call ratio to investigate the impact of price limits and investor trading behavior on Taiwan's stock market volatility by employing Taiwan Futures Exchange daily data from 2011 to 2019. The empirical results show, after relaxing the price limit restriction, domestic institutions in option to stock trading volume ratio have private information and tend to trade in the option market. The put-call ratio in call options, domestic institutions and individual traders tend to buy put option. The put-call ratio in put options, if traders are uncertain about the stock market, domestic institutions and individual traders will tend to sell put in the option market, and foreign institutions will tend to sell call to earn option premium.