這篇論文主要在於調查在臺灣指數選檡權市場之不同交易人別之間，真實交易的選擇權傾向為何，並進一步調查在現貨市場表現不同的環境下，如何影響選擇權的交易行為。有別於過去文獻的作法，本論文控制了相同到期月份下，不同選擇權契約之成交量效果後，結果發現市場交易人偏愛交易流動性較高的短天期選擇權契約，且傾向於選擇具有高槓桿效果之價外(out-of-the-money)選擇權。此外，當選擇權交易量增加時，對於股票市場交易量的影響，兩者呈現出正向顯著的交互效果，而此現象亦支持共同均衡假說(pooling equilibrium hypothesis)。
另一方面，對於股票市場價格的走勢，實證結果證實自營商與外資的選擇權交易行為，可提供較多的資訊意涵。當股票市場處於下跌趨勢時，因為股票市場的漲跌幅限制與放空限制之障礙，將引導資訊交易人傾向於增加選擇權的成交量，以獲取握有私有資訊及選擇權槓桿所帶來的好處。然而，在股票市場上漲期間，因為部份機構投資人偏愛於選擇權背後所帶來槓桿效果與波動敏感性，而非股票市場的流動性時，則買權成交量與股票市場成交量將會呈現出正向的交互顯著關係。最後，雖然不同選擇權交易人別對於不同價性的選擇權，抱持著不同的交易傾向與偏好，進而導致不同的實證結果，但就其自營商與外資交易人之選擇權交易行為而言，仍可提供我們實質的資訊意涵。

Using the original transaction recodes from the Taiwan index options market, this study aims to investigate realized options trading tendencies among different investor classes and to further examine how different market conditions affect the options trades. In contrast to previous studies, after controlling for the trading volume effects of different exercise prices with the same term-to-expiration, the results show that market investors prefer to trade short-horizon contracts with larger trading liquidity and tend to choose the out-of-the-money options with higher leverage. In addition, there is a significantly positive reciprocal effect between options and stock markets when the options trade increases. This observation is consistent with the pooling equilibrium hypothesis. 
Moreover, there is strong evidence that options trades by dealers and foreign institutional investors provide more information about stock price movement. In addition, because the market suffers the hindrance of price limits when spot market lie in downtrending tendcy, short-sale constraints may lead informed traders to increase their options by trading to capitalize their access to private information and gain leverage. However, because some institutional investors may prefer the leverage effects of volatility sensitivity over stock market liquidity, the positive effects between the two markets will be evident in the call options during an uptrendinging market. Finally, although different trade preferences for different moneyness classes may result in varied findings among investors, the study concludes that the options trade is more informative, at least with regard to the results achieved by dealers and foreign institutional investors.

CONTENTS
ACKNOWLEDGEMENT I
ABSTRACT IN CHINESE II
ABSTRACT IN ENGLISH III
CONTENTS IV
LIST OF TABLES VII
LIST OF FIGURES VIII

CONTENTS
CHAPTER 1 INTRODUCTION 1
CHAPTER 2 LITERATURE REVIEW 7
2.1The Information Linkage between Option and Stock Market 7
2.2Informed Traders and Market Conditions 9
CHAPTER 3 DATA AND METHODOLOGY 13
3.1Data Sources 13
3.2Variables Definitions 16
3.2.1Stock Market Returns and Trading Volumes 16
3.2.2Volume-weighted Average Strike Price 17
3.2.3Volume-weighted Average Moneyness 18
3.2.4The Ratio of Options to Stock Trading Volumes 19
3.3 Methodology 20
3.3.1The Effects of Term-to-expiration 20
3.3.2Moneyness and Investor Classes	21
3.3.3Uptrending and Downtrending Markets 23
CHAPTER 4 INFORMATION CONTENT FOR TERM-TO-EXPIRATION 24
4.1Summary Statistics 24
4.2Empirical Results from Different Term-to-expiration 34
CHAPTER 5 INFORMATION CONTENT FOR INFORMED TRADERS 38
5.1Empirical Results from Different Investor Classes 38
5.2Empirical Results from Different Market Conditions 42
CHAPTER 6 CONCLUSIONS 47
REFERENCES 49	

LIST OF TABLES
Table 1 Summary statistics for different volume-weighted average moneyness and different term-to-expiration of call options 27
Table 2 Summary statistics for different volume-weighted average moneyness and different term to maturity of put options 28	
Table 3 Average 15 minutes trading volumes sorted by different investor classes and different volume-weighted average moneyness for call options 32	
Table 4 Average 15 minutes trading volumes sorted by different investor classes and different volume-weighted average moneyness for put options 33	
Table 5 Regression results of stock market returns and O/S ratio on option market volumes, by term-to-maturity 37
Table 6 Regression results of stock market returns and O/S ratio on option volumes in entire sample period, by different investor classes 41
Table 7 Regression results of stock market returns and O/S ratio on varying call option moneyness in different market conditions, by different investor classes 45
Table 8 Regression results of stock market returns and O/S ratio on varying put option moneyness in different market conditions, by different investor classes 46

LIST OF FIGURES
Figure 1 The behaviors of call options moneyness in short-term contracts through time	 29
Figure 2 The behaviors of put options moneyness in short-term contracts through time	 29

Alexakis, C.A., P. Alexakis, and M. Xanthakis, (2003), “An Investigation of Price-Volume Intraday Pattern under Bull and Bear Market Conditions,” European Research Studies, Vol.6, No.3-4, pp. 53-66.
Back, K., (1993), “Asymmetric Information and Options,” Review of Financial Studies, Vol.6, No.3, pp. 435-472.
Barbar, B.M., Y. Lee, Y. Liu, and T. Odean, (2008), “Just How Much Do Individual Investors Lose by Trading?,” Review of Financial Studies, Vol.22, No.2, pp. 609-632.
Black, F. and M. Scholes, (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol.81, No.3, pp. 637-654.
Black, F., (1975), “Fact and Fantasy in the Use of Options,” Financial Analysts Journal, Vol.31, No.4, pp. 61-72.
Cao, M. and J. Wei, (2010), “Option Market Liquidity: Commonality and Other Characteristics,” Journal of Financial Markets, Vol.13, No.1, pp. 20-48.
Chakravarty, S., H. Gulen, and S. Mayhew, (2004), “Informed Trading in Stock and Option Markets,” Journal of Finance, Vol.59, No.3, pp. 1235-1257.
Chan, K., (1992), “A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market,” Review of Financial Studies, Vol.5, No.1, pp. 123-152.
Chan, K., Y.P. Chung, and H. Johnson, (1993), “Why Option Prices Lag Stock Prices: A Trading-based Explanation,” Journal of Finance, Vol.48, No.5, pp. 1957-1967.
Chan, K., Y.P. Chung, and W. Fong, (2002), “The Information Role of Stock and Option Volume,” Review of Financial Studies, Vol.15, No.4, pp. 1049-1075.
Chan, K.C., Y. Chang, and P.P. Lung, (2009), “Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options,” Pacific-Basin Finance Journal, Vol.17, No.2, pp.189-208.
Chang, C.C., P.F. Nsieh, and H.N. Lai, (2009), “Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange,” Journal of Banking and Finance, Vol.33, No.4, pp.757-764.
Chang, T.H., (2011), “Risk Preference and Trading Motivation Measurement Due to Moneyness: Evidence from the S&P500 Index Option Market,” Applied Financial Economics, Vol. 21, pp. 1049-1057.
Chen, C.R., P.P. Lung, and N.S.P. Tay, (2005), “Information Flow between the Stock and Option Markets: Where Do Informed Traders Trade?” Review of Financial Economics, Vol.14, No.1, pp. 1-23. 
Chen, S.S., (2007), “Does Monetary Policy Have Asymmetric Effects on Stock Retruns,” Journal of Money, Credit and Banking, Vol. 39, No.2/3, pp. 667-688. 
Cherian, J., (1993), “Option Pricing, Self-Fulfilling Prophecies, Implied Volatilities, and Strategic Interaction,” Unpublished Ph.D. Dissertation, Cornell University.
Cheung, Y.L., R.Y.K. Ho, P. Pope, and P. Draper, (1994), “Intraday Stock Return Volatility: The Hong Kong Evidence,” Pacific-Basin Finance Journal, Vol.2, No.2/3, pp. 261-276.
Easley, D., M. O’Hara, and P. Srinivas, (1998), “Option Volume and Stock Prices: Evidence on Where Informed Traders Trade,” Journal of Finance, Vol.53, No.2, pp.431-465.
Griffin, J.M., F. Nardari, R.M. Stulz, (2004), “Are Daily Cross-Border Equity Flows Pushed or Pulled,” Review of Economics and Statistics, Vol.86, No.3, pp.641-657.
Jansen, D.W. and C.L. Tsai, (2010), “Monetary Policy and Stock Returns: Financing Constraints and Asymmetries in Bull and Bear Markets,” Journal of Empirical Finance, Vol. 17, No.5, pp. 981-990.
Kaul, G.., M. Nimalendran, and D. Zhang, (2004), “Informed Trading and Option Spreads,” University of Michigan, Working paper.
Lakonishok, J., I. Lee, and A.M. Poteshman, (2004), “Investor Behavior and the Option Market,” NBER Working Papers 10264, National Bureau of Economic Research, Inc.
Lee, M. and C.D. Chen, (2005), “The Intraday Behaviors and Relationships With its Underlying Assets: Evidence on Option Market in Taiwan,” International Review of Financial Analysis, Vol.14, No.5, pp. 587-603.
Lockwood, L.J. and T.H. Mclnish, (1990), “Tests of Stability for Variances and Means of Overnight/Intraday Returns during Bull and Bear Markets,” Journal of Banking and Finance, Vol. 14, No.6, pp. 1243-1253.
Manaster, S., and R. Rendleman, (1982), “Option Prices as Predictors of Equilibrium Stock Prices,” Journal of Finance, Vol.37, No.4, pp. 1043-1057.
Ni, S., J. Pan, and A. Poteshman, (2008), “Volatility Information Trading in the Option Market,” Journal of Finance, Vol.63, No.3, pp. 1059-1091.
Pagano, M. and A. Roell, (1996), “Transparency and Liquidity: a Comparison of Auction and Dealers Markets with Informed Trading,” Journal of Finance, Vol.51, No.2, pp.579-611.
Pan, J. and A. Poteshman, (2006), “The Information in Options Volume for Future Stock Prices,” Review of Financial Studies, Vol.19, No.3, pp.871-908.
Roll, R., E. Schwartz, and A. Subrahmanyam, (2010), “O/S: The Relative Trading Activity in Option and Stock,” Journal of Financial Economics, Vol.96, No.1, pp.1-17.
Stephen, J.A. and R.E. Whaley, (1989), “Management Entrenchment: The Case of Manager-Specific Investment,” Journal of Financial Economics, Vol.25, No.1, pp. 191-220.
Vijh, A., (1990), “Liquidity of the CBOE Equity Options,” Journal of Finance, Vol.45, No.4, pp. 1157-1179. 
Wood, R.A., T.H. Mcinish, and J.K. Ord, (1985), “An Investigation of Transactions Data for NYSE Stocks,” Journal of Finance, Vol.40, No.3, pp. 723-739.