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。

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.

第一章	緒論	1
第一節	研究動機	1
第二節	研究目的	3
第三節	研究架構	5
第二章	文獻探討	7
第一節	台灣選擇權交易市場結構	7
第二節	資訊交易	9
第三節	觀察訊息優勢之方法	13
第三章	研究方法	18
第一節	研究資料	18
第四節	向量自我回歸模型	28
第五節	向量誤差修正模型	30
第六節	交易策略	31
第四章	實證結果與分析	38
第一節	樣本敘述統計	38
第二節	配對樣本	41
第三節	VAR實證結果	45
第四節	VECM模型結果	61
第五節	交易策略	66
第五章	結論與建議	68
參考文獻	70

圖目錄
圖 2-1期貨市場機構交易人與一般投資人參與比重變化	9
圖 3-2期貨價格配對說明	22
圖 3-3報價中點配對	24
圖 3-4序列說明圖	27
圖 4-1研究期間的現貨指數與隱含波動率	39

表目錄
表2-1 2010年全球與我國期貨商品交易量統計	8
表4-1研究期間內隱含波動率之敘述統計	39
表4-2 投資人交易概況	40
表4-3 每區間不同K敘述統計量	42
表4-4 每日不同K敘述統計量	43
表4-5 隱含波動率敘述統計量	44
表4-6 區間不同K價格序列	48
表4-7 區間不同K價格序列-買方	49
表4-8 區間不同K價格序列-賣方	50
表4-9 每日不同K價格序列	51
表4-10 每日不同K價格序列-買方	52
表4-11 每日不同K價格序列-賣方	53
表4-12 隱含波動率序列	54
表4-13 隱含波動率序列-買方	55
表4-14 隱含波動率序列-賣方	56
表4-16 價格序列之正交衝擊反應函數	59
表4-17 隱含波動率序列之正交衝擊反應函數	60
表 4-18  VECM隱含波動率序列	63
表 4-19  VECM隱含波動率序列-買方	64
表 4-20  VECM隱含波動率序列-賣方	65
表4-21 波動交易策略	68

1.	Abhyankar, A., Ghosh, D., Levin, E. and Limmack, R.J. 1997, "Bid‐ask Spreads, Trading Volume and Volatility: Intra‐day Evidence from the London Stock Exchange" Journal of Business Finance and Accounting, 24, 343-362. 
2.	Admati, A. R. and P. Pfleiderer, 1988, "A theory of intraday patterns: Volume and price variability." Review of Financial Studies, 1, 3. 
3.	Ahmad, S. M. and L. Sarver, 1994, "The international transmission of money market fluctuations." Financial Review, 29, 319-344. 
4.	Anthony, J. H. 1988, "The interrelation of stock and options market trading-volume data", Journal of Finance, 43, 949-964. 
5.	Arisoy, Y.E. 2010, "Volatility risk and the value premium: Evidence from the French stock market." Journal of Banking and Finance, 34, 975-983. 
6.	Bagehot, W. "The only game in town." Financial Analysts Journal, 27, 12-17. 
7.	Bakshi, G., C. Cao, and Z. Chen, 2000, "Do call prices and the underlying stock always move in the same direction?" Review of Financial Studies, 13, 549. 
8.	Bakshi, G., C. Cao, and Z. Chen, 1997, "Empirical performance of alternative option pricing models." Journal of Finance, 52, 2003-2049. 
9.	Barber, B. M., Y. T. Lee, Y. J. Liu, and T. Odean, 2009, "Just how much do individual investors lose by trading?" Review of Financial Studies, 22, 609. 
10.	Barclay, M. J. and J. B. Warner, 1993, "Stealth trading and volatility: Which trades move prices?" Journal of Financial Economics, 34, 281-305. 
11.	Benston Robert, L. and J. George, 1974, "Determinants of bid-asked spreads in the over-the-counter market." Journal of Financial Economics, 1, 353-364. 
12.	Black, F. 1976, "The pricing of commodity contracts." Journal of Financial Economics, 3, 167-179. 
13.	Black, F. and M. Scholes, 1973, "The pricing of options and corporate liabilities." Journal of political economy, 81, 637-654. 
14.	Boehmer, E., J. Grammig, and E. Theissen, 2007, "Estimating the probability of informed trading--does trade misclassification matter?" Journal of Financial Markets,10, 26-47. 
15.	Bollen, N. P. B. and R. E. Whaley, 2004, "Does net buying pressure affect the shape of implied volatility functions?" Journal of Finance, 59, 711-753. 
16.	Brenner, M. and D. Galai, 1993, "Hedging volatility in foreign currencies." Journal of Derivatives, 1, 53-59. 
17.	Chang, C. C., P. F. Hsieh, and H. N. Lai, 2009, "Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange." Journal of Banking and Finance, 33, 757-764. 
18.	Chang, C. C., P. F.Hsieh, and Y. H. Wang, 2010, "Information content of options trading volume for future volatility: Evidence from the Taiwan options market." Journal of Banking and Finance, 34, 174-183. 
19.	Chaput, J. S. and L. H. Ederington, 2005, "Volatility trade design." Journal of Futures Markets, 25, 243-279. 
20.	Christie, A. A. 1982, "The stochastic behavior of common stock variances:: Value, leverage and interest rate effects." Journal of Financial Economics, 10, 407-432. 
21.	Doidge, C. and J. Z. Wei, 1998, "Volatility forecasting and the efficiency of the Toronto 35 index options market." Canadian Journal of Administrative Sciences/Revue Canadienne des Sciences de l'Administration, 15, 28-38. 
22.	Easley, D., S. Hvidkjaer, and M. O'Hara, 2002, "Is information risk a determinant of asset returns?" Journal of Finance, 57, 2185-2221. 
23.	Easley, D., N. M. Kiefer, M. O'Hara,and J. B. Paperman, 1996, "Liquidity, information, and infrequently traded stocks." Journal of Finance, 51, 1405-1436. 
24.	Easley, D. and M. O'Hara, 1987, "Price, trade size, and information in securities markets." Journal of Financial Economics, 19, 69-90. 
25.	Ellis, K., R. Michaely, and M. O'Hara, 2000, "The accuracy of trade classification rules: Evidence from Nasdaq." Journal of Financial and Quantitative Analysis, 35, 529-551. 
26.	Engle, R. F. 2000, "The econometrics of ultra‐high‐frequency data." Econometrica, 68, 1-22. 
27.	Engle, R. F. and C. W. J. Granger, 1987, "Co-integration and error correction: representation, estimation, and testing." Journal of the Econometric Society, 251-276. 
28.	Eun, C. S. and S. Shim, 1989, "International transmission of stock market movements." Journal of financial and quantitative Analysis, 24, 241-256. 
29.	Fama, E. F. 1970, "Multiperiod consumption-investment decisions." American Economic Review, 60, 163-174. 
30.	Foster, F. D. and S. Viswanathan, 1990, "A theory of the interday variations in volume, variance, and trading costs in securities markets." Review of Financial Studies, 3, 593. 
31.	Galai, D. 1977, "Tests of market efficiency of the Chicago Board Options Exchange." Journal of Business, 50, 167-197. 
32.	Glosten Paul, R. and R. Lawrence, 1985, "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders." Journal of Financial Economics, 14, 71-100. 
33.	Grundy, B. D. and M. McNichols, 1989, "Trade and the revelation of information through prices and direct disclosure." Review of Financial Studies, 2, 495. 
34.	Harvey, C. R. and R. E. Whaley, 1992, "Market volatility prediction and the efficiency of the S & P 100 index option market." Journal of Financial Economics, 31, 43-73. 
35.	Hasbrouck, J. 1991, "The summary informativeness of stock trades: An econometric analysis." Review of Financial Studies, 4, 571. 
36.	Hasbrouck, J. 1988, "Trades, quotes, inventories, and information." Journal of Financial Economics, 22, 229-252. 
37.	Hatch, B. C. 2003, "The intraday relation between NYSE and CBOE prices." Journal of Financial Research, 26, 97-112. 
38.	Heuson, A. J. and T. Su, 2003, "Intra–day behavior of treasury sector index option implied volatilities around macroeconomic announcements." Financial Review, 38, 161-177. 
39.	Holthausen, R. W. and R. E. Verrecchia, 1990, "The effect of informedness and consensus on price and volume behavior.” Accounting Review, 65, 191-208. 
40.	Huang, R. D. 2002, "The quality of ECN and Nasdaq market maker quotes." Journal of Finance, 57, 1285-1319. 
41.	James, C., S. Koreisha, and M. Partch, 1985, "A VARMA analysis of the causal relations among stock returns, real output, and nominal interest rates." Journal of Finance, 40, 1375-1384. 
42.	Jeng, Y., C. W. Kim, and W. Wan-Sulaiman, 1992, "International transmission of stock market movements and Korea and Taiwan fund prices." Pacific-Basin Capital Markets Research, 3, 205-223. 
43.	Johnson, N. J. 1978, "Modified t tests and confidence intervals for asymmetrical populations", Journal of the American Statistical Association, 73, 536-544. 
44.	Kalev, P. S., A. H. Nguyen, and N. Y. Oh, 2008, "Foreign versus local investors: Who knows more? Who makes more?" Journal of Banking and Finance, 32, 2376-2389. 
45.	Kim, O. and R. E. Verrecchia, 1991, "Trading volume and price reactions to public announcements." Journal of Accounting Research, 29, 302-321. 
46.	Kyle, A. S. 1985, "Continuous auctions and insider trading." Journal of the Econometric Society, 1315-1335. 
47.	Lee, B. S. 1992, "Causal relations among stock returns, interest rates, real activity, and inflation." Journal of Finance, 47, 1591-1603. 
48.	Lee, Y. T., J. C. Lin, and Y. J. Liu, 1999, "Trading patterns of big versus small players in an emerging market: An empirical analysis." Journal of Banking and Finance, 23, 701-725. 
49.	Lee, Y. T., Y. J. Liu, R. Roll, and A. Subrahmanyam, 2004, "Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange." Journal of Financial and Quantitative Analysis, 39, 327-341. 
50.	Manaster, S. and R. J. Rendleman, 1982, "Option prices as predictors of equilibrium stock prices." Journal of Finance, 37, 1043-1057. 
51.	McInish, T. H. and R. A. Wood, 1992, "An analysis of intraday patterns in bid/ask spreads for NYSE stocks." Journal of Finance, 47, 753-764. 
52.	Ni, S. X., J. Pan, and A. M. Poteshman, 2008, "Volatility information trading in the option market." Journal of Finance, 63, 1059-1091. 
53.	Noh, J., R. F.Engle, and A. Kane, 1994, "Forecasting volatility and option prices of the S&P 500 index." Journal of Derivatives, 2, 17-30. 
54.	Pappas, G. 2004, "Implementing volatility trades in the Athens derivatives exchange." Risk and Insurance, 
55.	Parkinson, M. 1980, "The extreme value method for estimating the variance of the rate of return." Journal of Business, 53, 61-65. 
56.	Payne, R. 2003, "Informed trade in spot foreign exchange markets: an empirical investigation." Journal of International Economics, 61, 307-329. 
57.	Shapira, Z. and I. Venezia, 2001, "Patterns of behavior of professionally managed and independent investors", Journal of Banking and Finance, 25, 1573-1587. 
58.	Shiller, R. J. and A. E. Beltratti, 1992, "Stock prices and bond yields: Can their comovements be explained in terms of present value models?" Journal of Monetary Economics, 30, 25-46. 
59.	Simon, D. P. 2002, "Implied volatility forecasts in the grains complex.", Journal of Futures Markets, 22, 959-981. 
60.	Sims, C. A. 1980, "Macroeconomics and reality." Journal of the Econometric Society, 1-48. 
61.	Stoll, H. R. 1978, "The supply of dealer services in securities markets." Journal of Finance, 33, 1133-1151. 
62.	Wahab, M. and M. Lashgari, 1993, "Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach." Journal of Futures Markets, 13, 711-742. 
63.	Xekalaki, E. and S. Degiannakis, 2005, "Evaluating volatility forecasts in option pricing in the context of a simulated options market", Computational Statistics and Data Analysis, 49, 611-629.