本研究利用台灣期貨交易所之選擇權成交檔日內資料，探討不同投資人別在選擇權市場之交易行為是否具有資訊性，並進一步研究在發生重大金融事件時，不同投資人之交易行為是否會有所差異。本研究利用選擇權賣買權結構比率(Put-call ratios)來觀察其所隱含之資訊內涵，研究發現，雖然在股市處於長期下跌趨勢，台灣投資人仍偏好買權甚於賣權，以整體市場來看，在扣除造市者成交量的情況下，新倉賣出賣買權結構比率對預測股價報酬具有顯著資訊性，其中又以散戶最具預測性，而市場未平倉量賣買權結構比率為一反指標。在新倉買進角度下，機構法人或自營商屬趨勢交易者（Trend Traders），散戶則為反向交易者(Contrarian traders)，但若以新倉賣出角度來看，散戶則呈現追蹤趨勢的交易行為。金融海嘯對於以賣買權結構比率來預測股價指數報酬率具有影響力，此外，為避免結算效應影響，在扣除距到期日5日內之資料後，本研究發現新倉的資訊性較平倉佳。

This study investigates the informed traders using intraday data of TAIEX options volume. We further discuss whether the behavior of different types of traders will be affected in major financial event. We use put-call ratios to observe the implied information content. We find that the Taiwanese traders prefer trading call than put options even when the stock market is on a long-term downward trend. Excluding the trading volume of market makers, the information content of open-sell put-call ratio is most significant, and the individual investors are the most predictable of all. We also find that open-interest put-call ratio is a counter indicator. When we examine open-buy put-call ratios, we observe that institutional investors or dealers are trend traders while individual investors are contrarian traders. However, if we explore open-sell put-call ratios, individual investors become momentum traders. Financial crisis has a significant influence on predicting stock index return. To avoid settlement effects, we deduct the data 5 days prior to expire date, and we find that the information content of open put-call ratio is better than close.

目錄
第一章　緒論	1
第一節　研究動機與目的  1
第二節　研究架構	4
第二章　文獻探討	6
第一節　台灣衍生性商品市場結構    6
第二節　選擇權市場中資訊性與策略	11
第三章　研究方法	15
第一節　資料來源與介紹	15
第二節　資料選取	19
第三節　資訊處理模型	21
第四章　實證結果與分析	24
第一節　敍述統計	24
第二節　賣買權交易價值比率之預測性	32
第三節　散戶在控制變數下的迴歸預測	43
第四節　不同賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵	49
第五節　各式合約交易型態下，不同投資人別之交易內涵	64
第五章結論與建議	67
第一節　研究結論	67
第二節　研究建議	69
參考文獻	70


表目錄

【表2-1】全球前20大衍生性商品交易所成交量排名	 8
【表2-2】全球前20大股票指數期貨及選擇權成交量排名 8
【表2-3】台灣期貨市場外資投資比重 10
【表3-1】台指選擇權內容簡介	16
【表3-2】選擇權成交檔資料格式 17
【表4-1】不同交易人別在不同交易型態下之選擇權日內交易內涵	29
【表4-2】新倉買進部位在不同型態及不同交易人別之選擇權日內交易內涵	30
【表4-3】新倉賣出部位在不同型態及不同交易人別之選擇權日內交易內涵	31
【表4-4】不同賣買權結構比率下之預測性  36
【表4-5】金融海嘯前後新倉淨未平倉賣買權結構比率(NOIPCR)之預測性	37
【表4-6】金融海嘯前後新倉買進賣買權結構比率(OBPCR)之預測性	38
【表4-7】金融海嘯前後新倉賣出賣買權結構比率(OSPCR)之預測性	39
【表4-8】金融海嘯前後市場未平倉量賣買權結構比率之預測性	40
【表4-9】賣買權結構比率對未來1天指數股價報酬(R1)之個別迴歸預測	41
【表4-10】賣買權結構比率對未來2天指數股價報酬(R2)之個別迴歸預測	42
【表4-11】散戶新倉賣出賣買權結構比率在不同控制變數下對未來1天報酬的(R1)迴歸預測	45
【表4-12】散戶新倉賣出賣買權結構比率在不同控制變數下對未來2天報酬的(R2)迴歸預測	47
【表4-13】新倉淨未平倉賣買權結構比率(NOIPCR)在不同價性與到期日下，各投資人別之交易內涵	52
【表4-14】新倉買進賣買權結構比率(OBPCR)在不同價性與到期日下，各投資人別之交易內涵	53
【表4-15】新倉賣出賣買權結構比率(OSPCR)在不同價性與到期日下，各投資人別之交易內涵	54
【表4-16】新倉淨未平倉賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (NOIPCR-R2)	55
【表4-17】新倉淨未平倉賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (NOIPCR-R3)	56
【表4-18】新倉淨未平倉賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (NOIPCR-R4)	57
【表4-19】新倉買進賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (OBPCR-R2)	58
【表4-20】新倉買進賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (OBPCR-R3)	59
【表4-21】新倉買進賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (OBPCR-R4)	60
【表4-22】新倉賣出賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (OSPCR-R2)	61
【表4-23】新倉賣出賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (OSPCR-R3)	62
【表4-24】新倉賣出賣買權結構比率在不同價性與到期日下，各投資人別之交易內涵 (OSPCR-R4)	63
【表4-25】各式合約交易型態下，不同投資人別之交易內涵(R1)	65
【表4-26】各式合約交易型態下，不同投資人別之交易內涵(R2)	65
【表4-27】各式合約交易型態下，不同投資人別之交易內涵(R3)	66
【表4-28】各式合約交易型態下，不同投資人別之交易內涵(R4)	66
                    
圖目錄

【圖1-1】台指期貨與選擇權歷年交易量	3
【圖1-2】台灣加權股價指數	3
【圖1-3】研究流程圖	5
【圖2-1】期貨市場機構投資人與一般投資人參與比重變化	9
【圖3-1】台灣加權股價指數	16

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