投資人的交易策略及其績效:台灣選擇權市場的實證分析

Investor Trading Strategy and Performance: Empirical Study in Taiwan Options Market

張雅雯(Ya-wen Chang)

指導教授 ： 謝佩芳 ； 張傳章

國立中央大學/管理學院/財務金融學系/碩士(2011年)

摘要

延伸Han et al (2009)對投資人行為及交易績效的研究，本篇文章檢測不同類型的投資人在選擇權市場使用各種交易策略所產生的獲利情況，包含裸部位選擇權、價差交易策略、跨式部位及勒式部位選擇權。由於台灣期貨交易所提供了選擇權的組合商品訂單供投資人交易下單，因此我們可以從期交所提供的交易資訊分析不同類別投資人使用各種交易策略及獲利的情況。將投資人分為散戶、國內法人、外資及造市者四大類別，我們發現在選擇權市場上外資為最大贏家，在裸部位及跨式部位的交易皆有正的平均獲利；相反的，散戶無論使用哪一種選擇權交易策略都是虧損的狀態。

關鍵字

選擇權交易策略 ； 選擇權投資績效

並列摘要

Extend the investigation of investor trading behavior and performance by Han et al (2009), this study examine various trading strategies such as naked option position, spreads, straddle, and strangle, used by different investor types and their trading performance. Taiwan Futures Exchange provides combination orders let investors to trade in options market, so that I can examine various trading strategies traded by investors. Use the unique dataset from Taiwan Futures Exchange, I find that various trading strategies used by different investor types make divergent profits. Foreign investor is the biggest winner on trading options; on the contrary, individual investor always loss money by any trading strategy.

並列關鍵字

Options trading strategy ； Options trading performance

參考文獻

[1] Chang, C.C., P.F. Hsieh, and Y.H. Wang (2010), “Information content of options trading volume for future volatility: Evidence from the Taiwan options market” ,Journal of Banking and Finance, Vol 34, pp.174-183.

[2] Chaput, J.S., and L.H. Ederington (2003), “Option spread and combination trading”, Journal of Derivatives, Vol 10, pp.70-88.

[3] Chaput, J.S., and L.H. Ederington (2005), “Volatility trade design”, Journal of Futures Markets, Vol 25, pp.243-279.

[4] Chen, M.Y. (2006), “Option Trading Strategies with Transaction Costs”, National Chengchi University, Master’s thesis.

[5] Chen, L.W., S.A. Johnson, J.C. Lin, and Y.J. Liu (2009), “Information, sophistication, and foreign versus domestic investors’ performance”, Journal of Banking and Finance, Vol 33, pp.1636-1651.