||Information Content of Investors’ Trading Behavior in the Taiwan Options Market
||Department of Banking and Finance
||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)。
||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.
ABSTRACT IN CHINESE II
ABSTRACT IN ENGLISH III
LIST OF TABLES VII
LIST OF FIGURES VIII
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
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
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