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系統識別號 U0002-1306201117460600
中文論文名稱 交易人行為、交易時距與台指選擇權價格波動性
英文論文名稱 Investor Behavior, Trade Duration and TXO Price Volatility
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 張怡婷
研究生英文姓名 Yi-Ting Chang
學號 698530697
學位類別 碩士
語文別 中文
口試日期 2011-05-22
論文頁數 65頁
口試委員 指導教授-邱建良
共同指導教授-吳佩珊
委員-黃博怡
委員-郭宗賢
委員-李命志
中文關鍵字 ACD-GARCH模型  交易人行為  交易時距  價格波動性  資訊交易 
英文關鍵字 ACD-GARCH model  Trading behavior  Trade duration  Price volatility  Informed trading 
學科別分類 學科別社會科學商學
中文摘要 本文利用台指選擇權搭配ACD(1,1)模型以及ACD(1,1)-GARCH(1,1)模型來探討交易時距與其影響變數交易量及到期日之間的關連性,以及交易人於選擇權市場之交易行為對價格波動影響。本文旨在研究各交易人於不同價性選擇權交易筆數及時距並加以比較,另再透過交易時距倒數及交易人行為分別對台指選擇權價格波動之影響解析資訊交易的存在、並分析交易人交易行為。
實證結果顯示:1. 交易量與交易時距呈負相關,而到期效果則與交易時距呈現正相關。2. 價平與價內選擇權市場由資訊交易所主導,價外選擇權則以流動性交易為主。3. 外資在價平及價外選擇權中存在資訊交易,本國機構人則在價平選擇權及價外買權存在資訊交易;另自然人除價平賣權外皆為雜訊交易,而認定為流動性交易者的造市者除了價平買權和價外買權外,的確擔任著提高市場流動性的角色,由上可知,交易人未必只依一種交易目的而交易。4. 資訊交易者並非只存在資訊交易。5. 交易時距確實會影響波動度,由實證得知台指選擇權市場中的確存在資訊交易。
英文摘要 This study uses ACD(1,1) and ACD(1,1)-GARCH(1,1) model to discuss the relatedness of duration between volume and maturity, and effect of price volatility come from investor behavior. We also discusses and compares investors’ trading volume and trading duration, and use the TXO price volatility for inverse of duration and investor behavior to interpret the existence of informed trading.
We found that, the inverse correlation between volume and duration and a positive correlation between maturity and duration. Second, at-the-money and in-the-money options have informed trading. Third, institutional investors trade for informed at at-the-money and out-the-money. In addition to, individual investors not only take noise trading and market maker take liquidity trading and hedging. Forth, informed investors not only make the informed trading, and last, trade duration affect price volatility, and there are informed trading in TXO market.
論文目次 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 4
第三節 研究流程 5
第二章 文獻探討 7
第一節 交易量、價格波動及交易時距之關聯 7
第二節 到期效果 13
第三節 交易量與價格波動性關係 15
第四節 雜訊交易者 18
第五節 市場交易人行為 20
第六節 交易人形態與波動性 25
第三章 研究方法 27
第一節 研究假說 27
第二節 自我相關條件時距模型(ACD模型) 29
第三節 ACD-GARCH模型 31
第四章 實證分析 34
第一節 資料整理與分析 34
第二節 交易時距ACD(1,1)實證結果 47
第三節 交易時距ACD(1,1)-GARCH (1,1)實證結果 48
第五章 結論與建議 56
第一節 結論 56
第二節 未來研究建議 57
參考文獻 58


表目錄
表4.1 各交易人於選擇權之交易比重 36
表4.2 選擇權交易人投資於不同到期時間之交易量 38
表4.3 選擇權交易人之交易時距敘述統計分析 40
表4.4 選擇權日內交易平均時距 46
表4.5 交易時距之 ACD(1,1)參數估計 48
表4.6 交易時距之 ACD-GARCH(1,1)參數估計 53
表4.7 各價性選擇權市場交易整理 54

圖目錄
圖1.1 本論文研究流程 6
圖4.1 價平買權交易時距日內走勢 42
圖4.2 價平賣權交易時距日內走勢 43
圖4.3 價內買權交易時距日內走勢 43
圖4.4 價內賣權交易時距日內走勢 44
圖4.5 價外買權交易時距日內走勢 44
圖4.6 價外賣權交易時距日內走勢 45

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