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系統識別號 U0002-2106201214113500
中文論文名稱 選擇權交易對波動度之預測性
英文論文名稱 The Predictibility of Options Trading on 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 100
學期 2
出版年 101
研究生中文姓名 張婕妤
研究生英文姓名 Chieh-Yu Chang
學號 699530464
學位類別 碩士
語文別 中文
口試日期 2012-05-19
論文頁數 63頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-胡勝正
委員-莊益源
委員-李沃牆
中文關鍵字 新興市場  資訊內涵  資訊交易者  選擇權交易量  組合交易 
英文關鍵字 Emerging markets  Information content  Informed traders  Option volume 
學科別分類 學科別社會科學商學
中文摘要 本文將分成兩部份,第一部分我們探討開平倉及是否隱含不同的資訊內涵及探討選擇權交易策略是否對隱含對現貨波動度的資訊,第二部分則討論金融海嘯前後各類投資人之資訊內涵是否有所差異。
首先我們使用台灣指數選擇權所有交易人日內的成交資料討論選擇權之買權及賣權開平倉交易是否隱含不同的資訊內涵。我們將投資人做分類可以知道雖然外資的交易量佔全市場交易量比重並不大,但其交易卻能夠顯著的預測現貨指數報酬率之變動。
接下來,我們使用Ni, Pan and Poteshman (2008)之探討選擇權交易是否隱含現貨波動率資訊的研究方法,採用其加權波動淨需求指標(vega-weighted net demand for volatility)討論台灣指數選擇權交易是否隱含現貨波動率之資訊。
本論文證實外資在台灣股價指數選擇權市場的交易確實對現貨指數的波動度有預測能力外,在過去文獻中指數選擇權交易被視為較少資訊交易者存在,而本論文指出台灣股價指數選擇權市場確實存在資訊交易者。
英文摘要 This essay contains two parts. In the first party of this essay we set out to investigate the information content of options trading to examine the predictive power of the put and call positions and the predictive power of trade strategy of different types of traders 。In the second part of this study whether volatility information exists difference after financial crisis in 2008.
At first, we set out to investigate the information content of options trading to examine the predictive power of the put and call positions of different types of traders in the TAIEX option market. If we divided invests into twelve types, although foreign institutional investors do not engage in much trading, there is strong evidence to show that the trading in which they do engage has significant predictive power on the underlying asset returns.
we follows the approach of Ni, Pan and Poteshman(2008) – based upon the vega-weighted net demand for volatility – to determine whether volatility information exists within the Taiwan options market.
Our study sheds some light on the foreign capital flows in the Taiwan option market which
may have predictive power with regard to the underlying asset. Our investigation may provoke further study of the information content of index option markets, which are generally viewed as being less informative than individual stock markets.
論文目次 論文提要內容 I
ABSTRACT II
目錄 III
表目錄 V
圖目錄 VII
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
第四節 研究流程 6
第二章 文獻探討 7
第一節 外資對新興市場的影響 7
第二節 資訊交易 9
第三節交易量與股價波動度的關係 12
第四節 資訊交易者之投資策略 13
第三章 研究方法 15
第一節 研究資料 15
一、資料說明 15
二、研究期間 16
三、交易市場與交易動機分類 17
四、投資人分類 18
五、資料分類 19
第二節 變數定義 22
一、波動度變數 22
二、落後期期數(Lags) 23
三、 迴歸模型 25
第四章 實證結果及分析 27
第一節 樣本資料敘述統計量 28
第二節 全市場及開、平倉之資訊內涵 31
第五章 金融海嘯前後資訊內涵優勢是否改變 45
第一節 變數定義 46
第二節 海嘯前後全市場及開、平倉之資訊內涵是否改變 47
第六章 結論 60
參考文獻 62

表目錄
【表3-1】臺指選擇權商品說明 15
【表3-2】選擇權成交檔資料格式 16
【表3-3】各類交易人進行交易的市場 19
【表3-4】RV自我相關函數 24
【表3-5】RV取一階差分後自我相關函數 24
【表3-6】RV落後自我相關檢定 24
【表3-7】RV之最適落後期數 25
【表4-1】全市場及開、平倉加權波動淨需求之敘述統計 28
【表4-2】STRADDLE交易策略加權波動淨需求之敘述統計 29
【表4-3】STRANGLE交易策略加權波動淨需求之敘述統計 30
【表4-4】全市場加權波動淨需求之迴歸分析 33
【表4-5】開倉加權波動淨需求之迴歸分析 34
【表4-6】平倉加權波動淨需求之迴歸分析 35
【表4-7】LONG STRADDLE交易策略加權波動淨需求之迴歸分析 39
【表4-8】SHORT STRADDLE交易策略加權波動淨需求之迴歸分析 40
【表4-9】STRADDLE交易策略加權波動淨需求之迴歸分析 41
【表4-10】LONG STRANGLE交易策略加權波動淨需求之迴歸分析 42
【表4-11】SHORT STRANGLE交易策略加權波動淨需求之迴歸分析 43
【表4-12】STRANGLE交易策略加權波動淨需求之迴歸分析 44
【表5-1】金融海嘯前後全市場下加權波動淨需求改變之迴歸分析 48
【表5-2】金融海嘯前後開倉下加權波動淨需求改變之迴歸分析 49
【表5-3】金融海嘯前後平倉下加權波動淨需求改變之迴歸分析 50
【表5-4】金融海嘯前後LONG STRADDLE交易策略加權波動淨需求改變之迴歸分析 54
【表5-5】金融海嘯前後SHORT STRADDLE交易策略加權波動淨需求改變之迴歸分析 55
【表5-6】金融海嘯前後STRADDLE交易策略加權波動淨需求改變之迴歸分析 56
【表5-7】金融海嘯前後LONG STRANGLE交易策略加權波動淨需求改變之迴歸分析 57
【表5-8】金融海嘯前後SHORT STRANGLE交易策略加權波動淨需求改變之迴歸分析 58
【表5-9】金融海嘯前後 STRANGLE交易策略加權波動淨需求改變之迴歸分析 59


圖目錄
【圖1-1】研究流程圖 6
【圖4-1】2008年1月~2009年3月現貨市場走勢 38
【圖5-1】2008年1月至2008年9月現貨市場走勢 53
【圖5-2】2008年9月至2009年3月現貨市場走勢 53

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