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系統識別號 U0002-1306201114272100
中文論文名稱 比較造市者與機構交易人的資訊優勢
英文論文名稱 Comparison advantage of information between market makers and institutional investors
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 99
學期 2
出版年 100
研究生中文姓名 王琛凱
研究生英文姓名 Chen-Kai Wang
學號 698530580
學位類別 碩士
語文別 中文
口試日期 2011-05-14
論文頁數 74頁
口試委員 指導教授-林蒼祥
共同指導教授-段昌文
委員-林蒼祥
委員-段昌文
委員-凃登才
委員-邱建良
委員-陳達欣
中文關鍵字 訊息交易  造市者  波動率訊息 
英文關鍵字 inforamtion trade  market maker  imply volatility 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 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

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