台灣期貨與選擇權交易對股票市場預測性之研究

本研究將台灣期貨與選擇權市場進行綜合比較，透過這兩種市場都擁有用來衡量衍生性商品價格對標的價格敏感程度的風險參數─Delta來研究分析交易者的資訊內涵。探討各類型交易人市場取得Delta時點(Market timing)的優劣以及應用Chang, Hsieh and Wang (2010)延用Ni et al., (2008)的方法，來計算當天台指期貨與台指選擇權的淨Delta，了解投資人對未來報酬的預測能力來觀察其是否為資訊交易者。由於選擇權市場有造市者提供市場流動性，故特別把造市者下單情況做為討論之一，觀察其交易行為是否有別於其他投資人，結果發現選擇權造市者主要為市場提供流動性，其預測能力不顯著，表示造市者的交易行為對於未來報酬並無預測能力。本研究顯示開倉較具有資訊性，由開倉部位來分析，發現只交易期貨以及期選皆交易的外資為方向性資訊交易者。自營商若操作當沖交易獲利機會極大，但在留倉判斷的錯誤訊息導致其預測能力不佳。在散戶方面，只交易期貨、只交易選擇權以及期選皆交易的散戶對未來報酬預測皆不顯著，且不論是大額散戶或是小額散戶皆無對方向性的預測能力。而只交易選擇權市場部分的各類型交易人所持有之淨Delta對未來股市報酬的預測能力皆不顯著，原因在於只在擇權市場交易的投資人較不在意市場的方向性，其交易的目的關注於市場波動度的變化。此外，資料期間適逢金融海嘯之際，因此進一步探討各類型交易人在正常市場與市場恐慌時的交易行為是否有差異，結果發現在金融海嘯期間，大部分投資人都有受到衝擊，包含國內法人、小額散戶與造市者，外資除外。且小額散戶受到的金融海嘯的影響顯著大於大額散戶，故本文將散戶歸納為雜訊交易者。

關鍵字

期貨與選擇權市場；報酬；資訊交易者；預測力

並列摘要

n this paper, we apply the method of Chang, Hsieh and Wang (2010) to investigate the information content of Delta to examine the market timing and the predictive power of different types of traders in the TAIEX futures and options markets on stock market return. We also discuss the impact of financial crisis how to affect the traders. After the market timing and regression analysis about predictability, this paper finds that foreign institutional investors who trade in only futures market and in both futures and options markets (FF and CF) are the informed traders on the stock market return. Dealers (CS) have wrong information about future return in our result. Market makers’ (OM) major purpose is providing liquidity, so their predictability is not significant. Besides, we also find that individual investors have no the predictive power of the future return. For this reason, we define individual investors as noise traders. In the period of financial crisis, most of investors had been influenced, including domestic institutional investors, small individual investors and market makers. And we find foreign investors could not be impacted in this period. Our empirical results show that foreign institutional investors who trade in only futures market and in both futures and options markets (FF and CF) possess the strongest and most direct information.

並列關鍵字

futures and options markets ； return ； informed trader ； predictability

參考文獻

13. Chan, K., Y. P. Chung, and W. M. Fong, (2002), “The Informational Role of Stock and Option Volume,” The Review of Financial Studies, Vol.15, pp.1049-1075.

3. Ashby, W. R., (1956), An Introduction to Cybernetics, London: Chapman & Hall Press.

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5. Barber, B. M., Y. T. Lee, Y. J. Liu, and T. Odean, (2009), “Just How Much Do Individual Investors Lose by Trading?” Review of Financial Studies, Vol.22, pp.609-632.

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國際替代計量

台灣期貨與選擇權交易對股票市場預測性之研究

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