選擇權資訊加總對期貨市場波動率預測能力之影響

The impact of options aggregating for predicting volatility in futures market

張碩航(Shou-Hang Chang)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

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.2015.01054

摘要

過去的研究如Chang et al., (2010)曾指出，選擇權的交易量隱含了標的資產的未來波動資訊，本文因而沿用其研究架構，使用台指選擇權之加權波動淨需求，進而觀察各類投資人是否擁有對台指期貨未來實質波動率的資訊。投資人則分為散戶、外資及本土法人三大類，並針對不同的時間區間(5秒、10秒、30秒、60秒、120秒)來進行分析。此外我們使用Holowczak et al., (2014)所提出的方法，使用特定的資訊加權方式，並根據選擇權合約內容將選擇權合約資訊進行加總，並與未加入資訊權重的預測能力進行比較，探討此加總方式是否可以增強對期貨波動率的預測能力。
本文研究證實，當加入了特定資訊權重之後，與未加權前相比發現散戶與外資在選擇權市場的交易行為可使波動率預測能力有明顯的提升，而本土法人之預測能力則無明顯提升。因此我們認為，擁有市場波動資訊的投資人在加入資訊權重後可以使波動率預測能力有明顯的提升。

關鍵字

資訊內涵 ； 資訊加總 ； 選擇權交易量

並列摘要

The main theory of this paper is according to Chang et al., (2010), we adapt the Vega-weighted net demand for volatility of TXO to observe whether investors have information about future realized volatility of TX. Investors are separated into three categories: individual investors, foreign institutional investors and domestic institutional investors, and we set up different time interval (5 second, 10 second, 30 second, 60 second, 120 second). Then we followed the approach of Holowczak et al., (2014), and used a specific method of weighting to aggregate the information of options contract, and we researched whether this method of aggregation is better than original method.
Our empirical results indicated that after adding the informative weight into the options contract, the predictive ability of volatility of individual investors and foreign institutional investors would be significantly enhanced, but the predictive ability of domestic institutional investors would be decreased. We confirm that investors who have information about volatility then whose predictive ability would be significantly enhanced when adding informative weight.

並列關鍵字

information content ； aggregating information ； options trading volume

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