比較造市者與機構交易人的資訊優勢

Comparison advantage of information between market makers and institutional investors

王琛凱(Chen-Kai Wang)

指導教授 ： 林蒼祥

共同指導教授 ： 段昌文(Chang-wen Duan)

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00403

摘要

本研究為了解造市者與機構交易人在價格與隱含波動率訊息上何者具有優勢地位，以2008年8月至2009年2月台指選擇權的成交資料，選取投資人所交易的價格以及隱含波動率，透過VAR模型與VECM模型觀察兩者在長、短期間相互引影響的情況，並佐以衝擊反應函數觀察對於兩者在新資訊所產生的衝擊下何者能較有效率的反應，分別判斷買、賣權市場中的資訊優勢。最後，建立波動交易以跨式組合驗證實證結果，並且試圖跟隨有波動訊息的交易者是否有獲利的機會。
實證結果發現，機構交易人在買權市場具有價格訊息的優勢，而造市者則在賣權市場具有相對的價格優勢，在波動率訊息方面，造市者不論再價內、外的買、賣權市場中皆具有優勢地位，在研究中也發現，由於造市者肩負造市責任多處於賣方的角色，使得造市者在賣出選擇權時得到一致性的優勢地位，結果明顯的認為台灣市場中造市者是具有訊息優勢的機構交易人而不只為Kyle (1985) 所定義的流動性交易者。經由波動交易的驗證具有波動訊息的交易者，造市者，能以自身所擁有訊息獲得顯著的正報酬，但是跟隨造市者的交易雖能獲利但並不顯著加上交易成本後幾乎沒有獲利的機會，可見資訊已經透過造市者的交易中完全反應至市場一般投資人企圖跟隨並無法獲得利益。

關鍵字

訊息交易 ； 造市者 ； 波動率訊息

並列摘要

The paper mainly investigate the advantage of information between market markers and institutional investors by premium of options and imply volatility. Based on the data from the Taiwan Futures Exchange between Aug. 2008 to Feb. 2009, we test intertemporal dynamic relationships in short term and long term by Vector Autoregressive model (VAR)、Vector Error Correction model (VECM) and Impulse Response function (IRF). Finally, we further apply straddle strategy following the direction of informed trader to observe positive returns for leading traders.
The empirical study results indicate that the institutional investors have the information advantage of premium in call options, and market makers are in put options. In the volatility information, market makers have the lead in both of call and put markets of ATM and OTM, Our results also show that the market makers of Taiwan market play the institutional investors and illiquidity traders.
As back testing the informed trader, market makers, can make abnormal return by non-public information and then information will be message the market. Therefore, investors follow the direction of market makers will not make abnormal return with transaction cost.

並列關鍵字

inforamtion trade ； market maker ； imply volatility

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