選擇權對股票現貨交易量之比率與股票報酬

The option to stock volume ratio and stock returns

廖泳瑄(Ung-Hsuan Liao)

指導教授 ： 李漢星

國立交通大學/管理學院/財務金融研究所/碩士(2018年)

摘要

本研究檢測以日資料建構的選擇權對股票交易量的比率對未來報酬的預測力。由Fama-Macbeth 回歸結果可知，每日選擇權對股票交易量的比率能夠負向顯著預測隔日報酬。此外，我們也檢測不同選擇權持有部位所建構的比率對報酬的預測能力，發現，買進買權的交易量 以及買進賣權的交易量 對現貨交易量的比率為預測力強的指標，而當排除選擇權到期週的資料時，平倉選擇權交易量的比率皆失去預測能力。最後，無論投資者情緒高低，選擇權對股票交易量的比率皆無法預測盈餘宣布日前後的累計報酬。

關鍵字

選擇權對股票交易量比率 ； 報酬預測 ； 隔夜報酬

並列摘要

This research examines the future return predictability of the daily option-to-stock ratio (O/S). The Fama-MacBeth regression result shows that the daily option-to-stock ratio plays an essential role in the prediction with a significantly negative impact on the following trading day’s return. We also look into the predictability of the daily signed option ratio, whereby the daily open buy call to stock ratio and open buy put to stock ratio are strong predictors of it, and that closing position ratios lose their predictability in non-expiration week. Lastly, the O/S ratio shows no effect on predicting cumulative return near earnings announcement day, no matter whether investors exhibit high sentiment or low sentiment.

並列關鍵字

Option to stock volume ； Return predictability ； Overnight return

參考文獻

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