台灣選擇權市場法人交易獲利與風險承受的關係

The relationship between trading profits and subsequent risk taking by institutional investors on Taiwan option market

關靈峰(Ling-Fung Kwan)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系/碩士(2012年)

摘要

本篇論文延伸Liu et al.(2010)探討造市者投資交易獲利與風險承受程度關係的模型，並且在計算模型變數時考慮投資人過去的存貨與不同種類法人持有部位的時間。本文將法人交易者分為投信、外資、自營商、與造市者四種，並且發現外資為台灣選擇權市場最大的贏家。此外，我們進一步研究各種法人是否存在賭資效應，結果發現外資與投信有顯著的賭資效應，而造市者與自營商並沒有存在此現象。我們推論造市者及自營商沒有賭資效應的主因與其投資獲利及交易成本有關。

關鍵字

交易獲利 ； 風險承受 ； 賭資效應

並列摘要

This study extends Liu et al. (2010) research in the trading profits and the subsequent risk taking by market makers for Taiwan option market, and considers investors’ inventory-before and holding period. This study distinguishes institutional investors from security investment trust, foreign institutions, dealers and market makers. We find that foreign institutions are the biggest winner in Taiwan option market, and we test whether institutional investor existed house money effect. We find that foreign institutions and security investment trust existed notable house money effect, but market makers and dealers do not. We also give the reasons why these two types of investors did not notable and we infer that it’s about to investor’s trading consequences and trading costs.

並列關鍵字

trading profit ； risk taking ； house money effect

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