選擇權資訊加總對股價指數報酬之預測

The predictability of aggregating information in option on stock index return

鄭兆庭(Chao-Ting-Cheng)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan-Tsai)

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.2015.00379

摘要

資訊交易者在交易時，主要使用市場流動性較高之合約做交易避免造成額外的滑價成本。Holowczak et al., (2014)認為，在不同價性與不同到期期限之間的流動性不同，所以所包含的訊息含量也不同，本文利用價性與到期期限化為一個函數做加權，處理不同合約之間的訊息含量差別，其函數所畫出的權重類似一個折現因子的概念給予不同價性與到期期限之間不同的權重，根據本文所統計之結果，價性再價平附近交易量最高，而不同到期期限以短期交易量最高，故本文之權重給予價平與短期合約最高之權重。本文利用兩種新的加權方法運用再在選擇權市場與現貨市場之間的訊息傳遞，探討台灣以散戶為主之新興市場，是否新的加權方法其預測能力優於Pan and Poteshman (2006)等權重計算方法?
實證結果發現，本土法人與外資法人法人對報酬走勢具有預測能力，散戶則不具預測能力，而外資法人法人之預測能力又比本土法人來的強，顯示外資法人對於總體經濟的預測能力來的比本土法人強。結果顯示資訊交易者為流動性需求者，當交易流動性較差之合約時，會選擇流動性較佳之到期期限或價性去做搭配，避免其交易行為暴露或是造成額外的交易成本。而在到期期限加權的顯著力提升又比價性加權來的好，顯示資訊交易者偏好運用短期合約去做短期方向性的交易，而長期合約比較偏向做避險之用途，對報酬走勢沒有預測能力。

關鍵字

台指選擇權 ； 到期期限 ； 流動性 ； 資訊內涵 ； 價性

並列摘要

Informed-trader use the contract that high liquidity to avoid extra trading cost when they are trading. Holowczak et al., considers there are different liquidity from different moneyness and maturity. However, the amount of information will different. In this paper, we use the moneyness and maturity to turn to be a weight function so that it is easy to consider all of contracts. The weight of function is like a general idea of discount factor that give different weight from different moneyness and maturity. According the statistical result of this article, the volume of moneyness is higher in near the money. And for different maturity, the volume of short-term trade is higher. However, weight of this article give near the money and short-term contract the highest weight.
According to empirical results demonstrate that domestic and foreign institutions have the ability of forecast for remunerative trend. However, individual don’t have the ability of forecast. And the capacity of forecast foreign is better than domestic. It shows foreign’s forecast of whole economy is better than domestic。The result showed that information traders is liquidity demander. When the contract’s liquidity is worse, they will choose the better moneyness and maturity. They will trade in the places which have high liquidity to avoid exposing their trading or causing another trading cost. And the raise of weight maturity is better weight moneyness. It showed that traders prefer to use short-term contract to do short-term trading. And long-term contract is used for hedge. It doesn’t the ability of forecast of remunerative trend.

並列關鍵字

information content ； liquidity ； maturity ； moneyness ； TXO

參考文獻

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