選擇權交易量對股價指數之預測

本研究利用台灣期貨交易所之選擇權成交檔日內資料，探討不同投資人別在選擇權市場之交易行為是否具有資訊性，並進一步研究在發生重大金融事件時，不同投資人之交易行為是否會有所差異。本研究利用選擇權賣買權結構比率(Put-call ratios)來觀察其所隱含之資訊內涵，研究發現，雖然在股市處於長期下跌趨勢，台灣投資人仍偏好買權甚於賣權，以整體市場來看，在扣除造市者成交量的情況下，新倉賣出賣買權結構比率對預測股價報酬具有顯著資訊性，其中又以散戶最具預測性，而市場未平倉量賣買權結構比率為一反指標。在新倉買進角度下，機構法人或自營商屬趨勢交易者（Trend Traders），散戶則為反向交易者(Contrarian traders)，但若以新倉賣出角度來看，散戶則呈現追蹤趨勢的交易行為。金融海嘯對於以賣買權結構比率來預測股價指數報酬率具有影響力，此外，為避免結算效應影響，在扣除距到期日5日內之資料後，本研究發現新倉的資訊性較平倉佳。

關鍵字

賣買權交易價值比率；台指選擇權交易量；資訊交易者

並列摘要

This study investigates the informed traders using intraday data of TAIEX options volume. We further discuss whether the behavior of different types of traders will be affected in major financial event. We use put-call ratios to observe the implied information content. We find that the Taiwanese traders prefer trading call than put options even when the stock market is on a long-term downward trend. Excluding the trading volume of market makers, the information content of open-sell put-call ratio is most significant, and the individual investors are the most predictable of all. We also find that open-interest put-call ratio is a counter indicator. When we examine open-buy put-call ratios, we observe that institutional investors or dealers are trend traders while individual investors are contrarian traders. However, if we explore open-sell put-call ratios, individual investors become momentum traders. Financial crisis has a significant influence on predicting stock index return. To avoid settlement effects, we deduct the data 5 days prior to expire date, and we find that the information content of open put-call ratio is better than close.

並列關鍵字

Put-call ratios ； TAIEX options volume ； Informed traders

參考文獻

1. Back, K., 1993, “Asymmetric Information and Options”, Review of Financial Studies, 6, 435-472.

2. Bagehot, W., 1971, “The Only Game in Town.” Financial Analysts Journal, 27, 12-22.

4. Barber, B., Y. Lee, J. Liu, and T. Odean, 2008, “Just how much do individual investors lose by trading?” The Review of Financial Studies, 22, 151-186.

5. Black, F., 1975, “Fact and Fantasy in the Use of Options.” Financial Analysts Journal, 31, 37-72.

7. Brennan, M. J., and Cao, H. H., 1997, “International portfolio investment flows.” Journal of Finance, 52(5), 1851-1880.

國際替代計量

選擇權交易量對股價指數之預測

全文下載

主題瀏覽