台指選擇權盤前交易具有資訊內涵嗎？

Are There Any Information Contents on the Pre-open Extended Trading Session in Taiwan Stock Index Options?

杜化宇(Anthony H. Tu) ； 劉文謙(Wen-Chien Liu)

《證券市場發展季刊》 22卷3期 (2010/10) Pp. 75-103

https://doi.org/10.6529/RSFM.2010.22(3).3

摘要

本文使用台股指數選擇權的日內資料來探討盤前期間選擇權買賣量不平衡是否含有資訊內涵以及是否能有效預測當日開盤後現貨股價指數的移動。實證結果顯示盤前期間選擇權買賣量不平衡（尤其是到期期間）能有效反映隔夜的訊息（公共訊息），但是其預測當日開盤後的股價指數移動的能力（反應私有訊息）則似乎較弱。此外，我們進一步發現在短天期的合約中，價平選擇權含有最強的隔夜資訊（無論到期與非到期期間）。而在長天期的合約中，價外選擇權含有最強的隔夜資訊。這主要的解釋應是由於有短期訊息的投資人會尋求交易流動性最高的價平選擇權以求迅速實現其利潤，而有長期訊息的投資人則會選擇交易成本最低的價外選擇權來反映其訊息。本研究亦發現前一日的市場不確定性會影響盤前期間選擇權買賣量不平衡反映隔夜報酬的資訊內涵。最後加入賣買權交易量的比例與現貨交易量的控制變數後，原先的實證結果仍成立，顯示本研究的發現具有堅實性。

關鍵字

選擇權交易 ； 台指選擇權 ； 選擇權資訊內涵

並列摘要

In Taiwan, options market opens earlier than the underlying cash market by 15 minutes. This paper examines whether the extended opening session contains useful information about spot returns. It concerns whether the stock index option volume imbalance can effectively explain the overnight stock returns or/and predict the subsequent intraday stock returns. These observations seem to support the former but not the latter. It suggests that option volume imbalance during the extended opening session are related with public information but not with private information or noise. It also finds that at-the-money (out-of-the-money) options contain the most information content for short-maturity (long-maturity) contracts. These empirical findings are robust after controlling the effects of put-call volume ratios and spot market volume.

並列關鍵字

Option trading ； Taiwan Stock Index Options ； Information contents of options

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