台灣選擇權市場機構投資人交易行為之訊息內涵

The Information Content of Intuitional Investors’ Trading Behavior in Taiwan Options Market

張哲瑋(Che-Wei Chang)

指導教授 ： 邱建良

共同指導教授 ： 李彥賢

淡江大學/商學院/財務金融學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00735

摘要

本研究延伸Roll, Schwartz and Subrahmanyam (2010)選擇權量與現貨量比(options/stock trading volume ratio；O/S)，以可辨別交易方向的修正選擇權量與現貨量比與Pan and Poteshman (2006)買賣權比作比較，本研究依價性與到期日將選擇權分類，分析不同機構投資人之做多和做空選擇權量與現貨量比在何種價性或到期日選擇權對未來現貨市場報酬率有顯著的預測能力。實證結果為：1. 在不分機構投資人時，兩種指標對未來現貨市場報酬率同樣沒有顯著之預測能力。2. 投信之賣出買權量與現貨量比和外國機構投資人之買進買權量與現貨量比均對未來現貨市場報酬率有顯著預測能力，然而使用買賣權比時結果為沒有預測能力。3.外國機構投資人之價內外3-10%選擇權之兩種指標均有顯著預測能力。4. 所有機構投資人之不同到期日選擇權之兩種指標均沒有預測能力。5. 加入不同控制變數後，不影響外國機構投資人之價內外3-10%選擇權之兩種指標的預測能力。6. 投信和外國機構投資人之做多選擇權量與現貨量比在價內外3%以下和價外10%以上選擇權，均對未來現貨市場報酬率有顯著預測能力。

關鍵字

修正選擇權量與現貨量比 ； 外國機構投資人 ； 預測能力

並列摘要

This thesis investigates the predictive power of modified options/stock trading value ratio(MOS) extend Roll, Schwartz and Subrahmanyam (2010) and put-call ratio by Pan and Poteshman (2006) of different types of institutional investors in TAIEX options market. Furthermore, I class options with different level of moneyness or expiration of options to examine the predictive power of MOS and put-call ratio of different types of investors. I find that MOS and put-call ratio of all institutional investors have no predictive power on TAIEX spot index returns. There is strong evidence to show that MOS of foreign institution investors have significant predictive power on the underlying asset returns, but put-call ratio of foreign institution investors do not. I also find that MOS and put-call ratio of foreign institutional investors have predictive power in near-the-money options. There is no predictive power of MOS and put-call ratio when class options with different level of expiration. Long position MOS of mutual funds and foreign institutional investors have strong predictive power in near-the-money and OTM 10% above options. Finally, I find that MOS and put-call ratio of foreign institutional investors still has strong predictive power in near-the-money options with different control variables.

並列關鍵字

Ｍodified options/stock trading value ratio ； Foreign institution investors ； Forecasting

參考文獻

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