選擇權與期貨之資訊傳遞

The Information Transmission of Options and Futures

陳柏維(Bo-Wei Chen)

指導教授 ： 林蒼祥

共同指導教授 ： 涂登才

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00321

摘要

選擇權的委託不平衡變數常被用來預測標的資產的價格。Hu (2014) 所提出之計算選擇權委託不平衡與股票委託不平衡之變數，發現個股選擇權會有資訊會流向股票。本研究研究對象為臺股期貨(TX)與臺指選擇權(TXO)。在實務上臺指選擇權的標的資產是臺股期貨因為臺灣加權指數並沒有商品所以臺股期貨的價格常被用來當作其標的資產。為了應用於臺股期貨與臺指選擇權，調整Hu (2014) 所提出之計算股票選擇權委託不平衡與股票不平衡之變數，探討臺指選擇權是否會有資訊傳遞至臺股期貨之現象。
本研究發現：(1) 在全市場下，臺指選擇權市場會有資訊流入臺股期貨市場；(2) 本研究利用Delta參數將選擇權分成價內、價平、價外三種價性，同Hu (2014) 之結果價內與價平之選擇權合約有資訊會流入期貨市場，價外則沒有此現象；(3) 本研究將投資身分分成三類別：外資、自營商和散戶，僅機構投資人：外資、自營商存在資訊流入期貨市場，散戶則沒有此現象。

關鍵字

委託不平衡 ； 完全避險 ； 價格發現 ； 資訊不對稱

並列摘要

Order imbalance variable is often used to predict the price of the underlying asset.Hu(2014 ) propose a standardized measure of the option and stock order imbalance variable.Find option trading convey stock price information. The purpose of this study is to examine information transmission in TAIEX Futures(TX) and TAIEX Options (TXO). In practice,TXO underlying is TX because TAIEX no product. In order to apply Taiwan market and adjust the method of Hu (2014). To calculate futures order imbalance and options order imbalance variable. Discussion TXO whether to have information transmitted to TX.
The results of this study are summarized as follows. First, options information will flow into the futures market at all market. Second, divides all of the option transactions into three groups based on the moneyness of the option, delta :out-of-the-money(OTM), at-the money(ATM), and in-the-money(ITM).The ATM and ITM options have informative. Only the OTM options have no informative. Third, investors are also separated three categories: foreign institutions investors, dealer and individual investors. The institutions investors: foreign institutions and dealer have informative . Individuals have no informative.

並列關鍵字

Delta hedging ； Information asymmetry ； Price discovery ； Order flow

參考文獻

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