系統識別號 | U0002-1901201610284700 |
---|---|
DOI | 10.6846/TKU.2016.00534 |
論文名稱(中文) | 外資對台灣選擇權市場的價格具較佳預測能力嗎? |
論文名稱(英文) | Are Foreign Institutions Better Informed Traders in the Taiwan Options Market? |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系博士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 104 |
學期 | 1 |
出版年 | 105 |
研究生(中文) | 邱文昌 |
研究生(英文) | Wen-Chang Chiu |
學號 | 800530015 |
學位類別 | 博士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2015-12-26 |
論文頁數 | 41頁 |
口試委員 |
指導教授
-
林蒼祥
委員 - 吳榮義 委員 - 張傳章 委員 - 邱正雄 委員 - 胡勝正 委員 - 薛琦 委員 - 李命志 委員 - 吳壽山 |
關鍵字(中) |
限價委託簿 流動性變數 委託單失衡 資訊優勢 |
關鍵字(英) |
Limit Order Book Liquidity Variables Order Imbalance Information Advantage |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本論文藉由檢視台灣指數選擇權市場中外資機構法人和國內機構法人之限價委託簿中日內資訊內涵,比較外資機構法人與國內機構法人之資訊優勢。由外資機構法人及國內機構法人限價委託簿所計算出來之流動性變數中的高度、長度變數,皆顯示其對選擇權未來價格變動都具有預測能力,尤其在賣權部分;而外資機構法人在買權和賣權方面都具有較顯著之資訊優勢。 另一方面,當以委託單不平衡作為資訊的代理變數時,其結果是混雜的,外資機構法人在賣權方面表現優於國內機構法人,外資機構法人之委託單不平衡變數無法握有相對資訊優勢。另外資機構法人在2008-2009金融海嘯及劇烈價格變動期間仍有與前揭所述一致之資訊優勢。 |
英文摘要 |
This study investigates comparative information advantage for foreign and domestic institutions on Taiwan’s index options by examining the intraday information content of limit orders placed by foreign and domestic institutions. The liquidity variables of height and length calculated from the open limit order book provided by either foreign or domestic institutions exhibit predictive power on subsequent price changes in options, especially for put options. The information advantage is more significant for foreign institutions with respect to both call and put options. On the other hand, the results are mixed when order imbalance is used as the proxy of information on limit order book. Foreign institutions outperform domestic institutions for put options, not call options. Order imbalance, ignoring differential aggressiveness of limit orders, fails to capture comparative information advantage for foreign institutions. The superior information advantage for foreign institutions persists during the Financial Tsunami of 2008-09 and periods of substantial price changes. |
第三語言摘要 | |
論文目次 |
Contents Abstract 1 Chapter 1 Introduction 2 Chapter 2 Literature Review 10 Chapter 3 Data and Methodology 14 3.1 Data Description 14 3.2 Reconstructing the Limit Order Books 14 3.3 The Optimal Time Interval 15 3.4 Variables 16 3.5 Model Specification 18 Chapter 4 Empirical Results 20 4.1 Description Statistics of Order Information Flow Time 20 4.2 Autoregression Tests 21 4.3 Overall Market Empirical Results 21 4.4 Empirical Analysis across Institutional Investors 31 4.5 Empirical Tests in Different Market Conditions 34 4.5.1 Financial Crisis Conditions 34 4.5.2 Empirical Tests with Conditional Information 36 Chapter 5 Conclusion 38 References 40 List of tables Table 1.1.1 Trading Volume in number of contracts of Major TAIFEX Products 5 Table 1.1.2 Trading Volume in Percentage of Major TAIFEX Products 5 Table 1.2 Participation Percentages of Investor Types 6 Table 1.3 Descriptions Statistics of TXO Trading Characteristics for Institutional Investors 7 Table 3.1 Summary Statistics of the Time for Orders to Be Matched 16 Table 4.1 Description Statistics for the Cumulative Executed Portions in a Given Time Interval 20 Table 4.2 The Predictability of Height Variables for the Subsequent Returns on Call and Put Options 23 Table 4.3 The Predictability of Stepwise Length Variables for Future Short-term Returns of Call and Put Options 25 Table 4.4 The Predictability of Stepwise Order Imbalance for Future Short-term Returns of Call and Put Options 26 Table 4.5 The Predictability of Joint Height and Length for Future Short-term Returns of Call and Put Options 28 Table 4.6 The Relative Predictive Performance between FII and DII 32 Table 4.7 The Relative Predictive Performance between FII and DII with Order Imbalance 33 Table 4.8 The Relative Performance of FII and DII during 2008 Financial Tsunami Period 35 Table 4.9 The Relative Performance of FII and DII in Predicting Large Price Changes 37 |
參考文獻 |
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