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中文論文名稱 股票選擇權的資訊內涵與其對價格效率性的影響
英文論文名稱 The Information Content in Stock Option and Its Impact on Price Efficiency
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 102
學期 2
出版年 103
研究生中文姓名 胡訓方
研究生英文姓名 Shiun-Fang Hu
學號 601530438
學位類別 碩士
語文別 中文
口試日期 2014-06-25
論文頁數 71頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-涂登才
委員-黃健銘
委員-林蒼祥
中文關鍵字 資訊內涵  價格效率性  放空限制 
英文關鍵字 Information content  Price efficiency  Short-sales constraints 
學科別分類
中文摘要 本文針對台灣股票選擇權及其標的股票進行研究,利用新倉賣權對買賣權交易量比率(put-call ratio)作為資訊內涵的代理變數,將投資人分為法人及散戶兩類,觀察其對未來標的股票報酬的預測能力,判斷有無資訊內涵。此外,本文進一步探討資訊內涵對標的股票價格效率性的影響,透過觀察put-call ratio與價格效率指標Eff間的關係,檢驗其能否促進價格效率性。由於台股存在放空的限制,本文也特別加入了放空限制的虛擬變數去探討其是否會傷害股票的價格效率性。
實證發現,利用put-call ratio作為資訊內涵的代理變數,無法觀察到法人在選擇權市場中的交易對次一日報酬有預測能力,然其可促進標的股票的價格效率性,此現象在價平選擇權中特別明顯。散戶則確定無資訊內涵的存在,因其put-call ratio對標的股票未來的報酬無顯著的預測能力,亦無法促進價格效率性。至於放空限制的部分,在實證中無法觀察到其存在會傷害股票的價格效率性。
英文摘要 In this paper, we set out to investigate the information content of options trading of different types of traders in the Taiwan stock option market and its affect to the underlying asset price efficiency.
First, we use the put-call ratio from option volume initiated by buyers to open new positions as a proxy for information content to examine its predictive power to the underlying asset future return
Second, we employ Eff as our price efficiency indicators and investigate its relationship with the put-call ratio to test whether the information content can enhance underlying asset price efficiency. Since Taiwan stock market has the short-sales constraints, we especially add a short-sales constraints dummy variable to examine whether it hurts the price efficiency.
Our empirical results show that use the put-call ratio as a proxy for information content can’t observe that the trade volume in option market of institutional investors has the information content. However, it can increase the underlying asset price efficiency. We find out this relationship significantly in at-the-money options. In contrast, individual investors have no information content in option volumes. Its put-call ratio can neither predict future stock return nor increase the price efficiency. As the short-sales constraints, we can’t find out that will hurt the price efficiency in ours empirical results.
論文目次 目錄
第一章 前言 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻回顧 7
第一節 選擇權市場及商品介紹 7
第二節 各類投資人之資訊性 11
第三節 選擇權的資訊內涵 13
第四節 放空限制對市場的影響 15
第三章 研究方法 16
第一節 資料來源及介紹 16
第二節 資料處理與配對方式 20
第三節 變數說明 24
第四節 迴歸模型設定 28
第四章 實證結果與分析 33
第一節 資料敘述統計 33
第二節 迴歸分析 41
第五章 結論 64
參考文獻 67
附錄 70

表目錄
表2- 1股票選擇權市場交易結構表 8
表2- 2股票選擇權制度修正 9
表2- 3股票選擇權契約規格 9
表3- 1期交所股票選擇權契約明細 17
表3- 2選擇權成交檔格式 18
表3- 3 股票成交檔格式 19
表3- 4標的股票價格間距分布表 30
表4- 1 2007~2010股票選擇權投資人結構表 33
表4- 2 2007~2010股票選擇權平均交易量表 34
表4- 3 2007年~2010年股票選擇權交易量表 36
表4- 4樣本變數敘述統計表 38
表4- 5 皮爾森相關係數(法人) 40
表4- 6 皮爾森相關係數(散戶) 40
表4- 7法人選擇權對次一日標的股票報酬的預測能力迴歸分析 43
表4- 8散戶選擇權對次一日標的股票報酬的預測能力迴歸分析 44
表4- 9法人價外選擇權對次一日標的股票報酬的預測能力迴歸分析 47
表4- 10法人價平選擇權對次一日標的股票報酬的預測能力迴歸分析 48
表4- 11法人價內選擇權對次一日標的股票報酬的預測能力迴歸分析 49
表4- 12散戶價外選擇權對次一日標的股票報酬的預測能力迴歸分析 50
表4- 13散戶價平選擇權對次一日標的股票報酬的預測能力迴歸分析 51
表4- 14散戶價內選擇權對次一日標的股票報酬的預測能力迴歸分析 52
表4- 15法人選擇權對標的股票價格效率性的迴歸分析 54
表4- 16散戶選擇權對標的股票價格效率性的迴歸分析 56
表4- 17法人價外選擇權對標的股票價格效率性的迴歸分析 58
表4- 18法人價平選擇權對標的股票價格效率性的迴歸分析 59
表4- 19法人價內選擇權對標的股票價格效率性的迴歸分析 60
表4- 20散戶價外選擇權對標的股票價格效率性的迴歸分析 61
表4- 21散戶價平選擇權對標的股票價格效率性的迴歸分析 62
表4- 22散戶價內選擇權對標的股票價格效率性的迴歸分析 63

圖目錄
圖4- 1 2007年~2010年股票選擇權交易量圖(單位:口數) 36
圖4- 2 2007年~2010年股票選擇權各價性交易情形(單位:百分比) 37
參考文獻 臺灣期貨交易所「股票選擇權契約」規格及交割方式調整之規劃研究報告書。

鄭振龍、呂愷、林蒼祥,(2012),「交易量的資訊含量:臺灣期權市場的證據」,金融研究,第6期,頁178~192。

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