由於近幾年衍生性金融商品選擇權交易的頻繁，高頻率的日內交易資料有許多文獻去探討淨買壓對隱含波動率之影響。過去學者多使用全體投資人的樣本資料，但不同投資人對市場上有著不同之影響程度，因此本研究以台灣加權股價指數選擇權作為樣本標的，將樣本區分為全樣本及依照交易人身份別區分之兩種樣本型式，檢視台指選擇權市場之不同價內外程度下，隱含波動率的變化是否會受到淨買壓的影響以及台指選擇權市場是較支持套利限制假說或是學習假說。另外檢視選擇權波動率與標的股票報酬間及交易量的關聯性，利用樣本以十分鐘為區間單位，探討隱含波動率的變化程度是否具有槓桿效果及資訊流動效果。最後因選擇權契約結算方式改變，本研究亦探討事件前及事件後台指選擇權市場之不同價內外程度下，隱含波動率的變化是否會受到淨買壓、標的股票報酬及交易量的影響。
實證結果發現隱含波動率的變化不僅會受到選擇權交易的影響，也受價平買賣權以及價外買賣權淨買壓之影響。綜合實證結果發現，其國內外機構投資者可看出是較受到套利限制假說的影響。

As in recent years, options trading have become very popular. Literatures to discuss the impact of net buying pressure on implied volatility because the high frequency intraday data are obtained easily. Over the past scholars use the all investors sample data, but different investors on the market have different degree of influence. Therefore, in this study, TXO data divides into all traders and different traders to view the impact of net buying pressure on implied volatility under different moneyness categories and option market maybe supports limits to arbitrage or learning hypothesis. In addition, this paper examines the relationship between implied volatility and stock return and trading volume by using the ten minutes interval sample to investigate whether have the leverage effect or information flow effect. Finally, because the option’s expiration date changes to the same day as the last trading day, this study also explores the before and after change to examine the impact of net buying pressure and other factors on implied volatility.
The result show that implied volatility is not only affected by option’s trade, but also affected by net buying pressures of ATM call, ATM put, OTM call and OTM put. Comprehensive empirical results find that in the domestic and international institutional investors are support limits to arbitrage hypothesis.

目錄
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	6
第三節	研究架構	7
第四節	研究流程圖	8
第二章	文獻回顧	9
第一節	國外淨買壓假說之相關文獻	9
第二節	國內淨買壓假說之相關文獻	14
第三章	研究方法	19
第一節	選擇權訂價模型	19
第二節	隱含波動率模型	21
第三節	淨買壓假說迴歸模型建立	25
第四節	台股指數的波動率時間序列	30
第四章	實證結果分析	31
第一節	研究資料蒐集與整理	31
一、	台指選擇權與台灣加權股價指數	31
二、	隱含波動率	33
三、	淨買壓之衡量	34
第二節	基本敘述統計分析	34
第三節	台股指數的波動率時間序列實證	39
第四節	淨買壓迴歸模型實證	41
一、	價平買權的隱含波動率	41
二、	價平賣權的隱含波動率	44
三、	價外買權的隱含波動率	48
四、	價外賣權的隱含波動率	52
第五章	結論	56
參考文獻	59
中文部分	59
英文部分	60
表目錄
【表1.1】台灣加權股價指數選擇權例年成交量統計	2
【表2.1】國外淨買壓假說之相關文獻彙整	13
【表2.2】國內淨買壓假說之相關文獻彙整	18
【表3.1】選擇權價性的分類	25
【表4.1】台灣股價指數選擇權契約規格	32
【表4.1】(續)台灣股價指數選擇權契約規格	33
【表4.2】台指選擇權隱含波動率之基本統計量	35
【表4.3】台指選擇權交易統計資料	36
【表4.4】台指選擇權不同投資人別交易統計資料	38
【表4.5】台股指數報酬之模型參數估計表	40
【表4.6】全部樣本期間價平買權迴歸模型實證分析結果	42
【表4.7】事件前及事件後價平買權迴歸模型實證分析結果	43
【表4.8】全部樣本期間、事件前及事件後價平買權迴歸模型係數彙整表	44
【表4.9】全部期間價平賣權迴歸模型實證分析結果	45
【表4.10】事件前及事件後價平賣權迴歸模型實證分析結果	46
【表4.11】全部樣本期間、事件前及事件後價平賣權迴歸模型彙整表	47
【表4.12】全部期間價外買權迴歸模型實證分析結果	48
【表4.13】事件前及事件後價外買權迴歸模型實證分析結果	49
【表4.14】全部樣本期間、事件前及事件後價外買權迴歸模型彙整表	51
【表4.15】全部期間價外賣權迴歸模型實證分析結果	52
【表4.16】事件前及事件後價外賣權迴歸模型實證分析結果	54
【表4.17】全部樣本期間、事件前及事件後價外賣權迴歸模型彙整表	55
圖目錄
【圖1.1】台灣加權股價指數選擇權例年成交量分佈圖	3
【圖1.2】論文架構圖	8
【圖4.1】平均隱含波動率	35
【圖4.2】台指選擇權不同投資人別契約口數分佈圖	39

參考文獻
中文部分
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2.	林宥辰 (2007)，台指選擇權到期日效應與隱含波動度微笑曲線之探討。國立中央大學企業管理研究所碩士論文。
3.	姜書甄 (2005)，淨買壓解釋隱含波動度微笑現象。淡江大學財務金融研究所碩士論文。
4.	湯毅鋒 (2007)，投資環境對淨買壓影響之探討。國立中央大學企業管理研究所碩士論文。
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