波動度資訊投資人委託單選擇之研究 :以台指選擇權為例

Order Behavior of Informed Volatility Traders : The Case of Taiwan Stock Index Option

羅悅寧(Yueh - Ning Lo)

指導教授 ： 蔡蒔銓

國立臺灣師範大學/管理學院/管理研究所/碩士(2013年)

摘要

本研究探討台指選擇權不同下單積極度的投資人，其波動度需求( Vega demand )對標的資產未來實際波動度的預測能力是否有顯著的不同。研究結果發現，外資、本國法人與散戶三者加總的波動度需求，以及三者加總的不積極的限價單與市價單的波動度需求，對次一日至次五日標的資產價格的實際波動度有正向顯著預測能力。從投資人類型來看，整體來說外資與本國法人最有預測能力，散戶最沒有預測能力。從個別類型投資人的投資行為來看，外資的小型委託單、不積極限價單和部分市價單，新倉買入賣權與新倉賣出買權的波動度需求有正向顯著預測能力。本國法人的大型委託單與新倉買入賣權、新倉賣出買權、平倉買入買權、平倉買入賣權的委託單的波動度需求有正向顯著預測能力。散戶的市價單與平倉買入賣權的波動度需求有正向顯著預測能力，但是散戶的積極限價單、跨式策略(straddle strategy)與新倉買入買權、新倉買入賣權、新倉賣出賣權、平倉賣出買權、平倉賣出賣權的波動度需求有負向顯著預測能力。外資、本國法人與散戶三者加總的跨式策略(straddle strategy)與勒式策略(strangle strategy)波動度需求不具預測能力。從投資人類型來看，外資的勒式策略對次一日標的資產價格的實際波動度有正向顯著預測能力，散戶的跨式策略對次一日至次五日標的資產價格的實際波動度有負向顯著預測能力。外資、本國法人與散戶三者加總的大型與小型委託單有正向顯著預測能力，從投資人類型來看，外資的小型委託單對次一日至次五日標的資產價格的實際波動度有正向顯著預測能力。金融風暴前外資、本國法人與散戶三者加總的波動度需求有預測能力，但該預測能力於金融風暴後消失。外資、本國法人與散戶三者加總的波動度需求於台指選擇權契約到期日前一天至前五天無預測能力，可能原因是這段時間的委託單多為平倉或轉倉目的，而非單純波動度需求。

關鍵字

波動度需求 ； 波動度資訊投資人 ； 跨式策略 ； 勒式策略

並列摘要

This study investigates whether different levels of aggressiveness of investor’s volatility demand (Vega demand) shows different predict power toward future realized volatility of Taiwan stock index. Our empirical results shows that the aggregate volatility demand have positive predict power, aggregate volatility demand of passive limit order and market order shows positive predict power. Overall, foreign institution and domestic institution have strongest predict power, individual have least predict power. Foreign institution's small order, passive limit order, some market order, open buy put and open sell call have positive predict power. Domestic institution's big order, open buy put , open sell call , close buy call , close buy put have positive predict power. Individual's market order, close buy put have positive predict power, but its aggressive limit order, straddle strategy, open buy call , open buy put , open sell put , close sell call and close sell put have negative predict power. Aggregate volatility demand of straddle strategy and strangle strategy have no predict power. Foreign institution's strangle strategy have positive predict power, individual's straddle strategy have negative predict power. Aggregate volatility demand of big and small order have positive predict power, foreign institution's small order have positive predict power. Aggregate volatility demand shows positive predict power before the financial crisis, but vanished afterwards. Aggregate volatility demand have no predict power during one to five days before maturity of each month, the reasons could be investors' major purpose during this period is change positions or close positions, not just seeking for volatility.

並列關鍵字

volatility demand ； informed volatility trader ； straddle strategy ； strangle strategy

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