本研究主要為探討選擇權組合式交易是否包含期貨波動率之資訊內涵。本研究選用Ni et al. (2008)針對美國選擇權市場的文獻進行研究參考，該文獻中利用計算選擇權Vega加權平均淨需求對於未來實際波動率的預測能力。並依Lin et al. (2018)將市場分成三類投資人分別進行探討，同時依臺灣期貨交易所規範之組合式交易，分別對每個組合式交易進行探討。最後將分類投資人下的各個組合式交易進行更深度探討。
本研究實證結果顯示，全市場組合式交易包含波動率之資訊內涵，且呈正向顯著，這結果與Ni et al. (2008)探討美國市場的文獻和Chang et al. (2010)探討台灣市場的文獻相同。以分類投資人而言，本地法人的組合式交易包含波動率之資訊內涵。本土法人的跨式組合式交易和外資的勒式組合式交易包含了波動率之訊息，與Fahlenbrach and Sandås (2010)中提及，對波動率較為敏感的選擇權組合式交易，包含了未來實際波動率的訊息，不謀而合。

The purpose of this thesis is to discuss Does option combination trading contain information content of volatility? This thesis follows the approach of Ni et al. (2008)- based upon the vega-weighted net demand for volatility – to determine whether volatility information exists within the Taiwan options market. This thesis also follows the approach of Lin et al. (2018) divide the market into three types of investors to discuss.
Our empirical results show that domestic institutional investor possess the strongest and most direct volatility information, which is realized by the straddle trades. This thesis also find the evidence to support that foreign institutional investor possess volatility information, which is realized by the strangle trades. For straddle and strangle trades have volatility information can be proved by Fahlenbrach and Sandås (2010)-sensitive option strategies contains information about future realized volatility.

目錄
第一章	緒論	1
第一節  研究背景與動機	1
第二節  研究目的	3
第三節  研究架構	4
第四節  研究流程	5
第二章	文獻探討	6
第一節  選擇權資訊內涵相關文獻	6
第二節  波動率交易相關文獻	8
第三節  組合式交易相關文獻	10
第三章	研究方法	12
第一節  資料來源及處理	12
第二節  變數定義	16
第三節  單根檢定(Unit Root test)	20
第四節  迴歸模型設定	22
第四章	實證結果與分析	24
第一節  單根檢定結果	24
第二節  敘述統計	25
第三節  迴歸分析	28
第四節  穩健性檢定	36
第五章	結論與建議	40
參考文獻	41


 
表目錄
【表 3-1】台灣證券交易所股價指數選擇權契約規格	12
【表 3-2】期交所接受委託申報之時間、撮合方式、種類及條件彙整表	14
【表 3-3】選擇權組合式委託	14
【表 3-4】2009年至2012年委託至成交時間佔比	15
【表 3-5】組合式交易敘述統計	15
【表 4-1】ADF單根檢定結果	24
【表 4-2】Vega加權平均淨需求敘述統計表(1)	25
【表 4-3】Vega加權平均淨需求敘述統計表(2)	26
【表 4-4】控制變數敘述統計表	27
【表 4-5】全市場組合式交易對期貨波動率之預測能力	29
【表 4-6】分類投資人組合式交易對期貨波動率之預測能力	31
【表 4-7】分類組合式交易對期貨波動率之預測能力	33
【表 4-8】分類投資人下分類組合式交易對期貨波動率之預測能力	35
【表 4-9】全市場組合式交易對期貨波動率之穩健性檢定	36
【表 4-10】分類投資人組合式交易對期貨波動率之穩健性檢定	37
【表 4-11】分類組合式交易對期貨波動率之穩健性檢定	38
【表 4-12】分類投資人下分類組合式交易穩健性檢定	39

 
圖目錄
【圖 1-1】研究流程圖	5

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