本文利用選擇權限價委託簿之高度、寬度及委託單不平衡等資訊，並沿用Cao, Hansch, and Wang(2009)利用期貨限價委託簿之資訊預測異常報酬之模型，推估委託簿資訊對大台指選擇權的價格預測能力，並以區分投資人為散戶、非造市者法人及造市者。因樣本期間包含金融海嘯以及現貨揭示頻率調整，本文亦探討上述二者是否會影響委託簿資訊對價格之預測能力。
     由於各類投資人的所掌握之資訊及專業程度不同，且大台指選擇權(TXO)之交易量幾乎占了整體選擇權市場，故本文使用TXO交易資料重建不同投資人的限價委託簿，並算出各類投資人的最佳五檔委託價格及委託量。利用上述之資訊，可以了解市場買賣雙方的下單積極性，並推估以此選擇權價格的未來趨勢。本文研究發現，散戶委託簿的內涵資訊最能有效預測未來價格走向；金融海嘯時期委託簿預測能力會下降，現貨揭示頻率增加則會上升。

This paper collect height, weight and order imbalance information of option limit order book, and use model of Cao, Hansch, and Wang(2009) which uses the information of future limit order book to predict the abnormal return, to test the predictability of options limit order book on return, and divide the investor to individual investor, institution excluding market maker, and market maker. Because the sample period including financial crisis and the changing of the revealing frequency in stock market, we also test whether predictability of options limit order book would change or not in these two period,
Because different kind of investor would not have the same information and knowledge, and the trading volume of TXO is largest in option market, we use the TXO data to build the different kind investor’s limit order book, and calculate the best five order price and order volume. By this information, we could realize the order aggressive of different kind investor, and expect the future trend of option price. This paper’s empirical figures out that, limit order book of individual investor has the best predictability on option price. In financial crisis period, the predictability would be down, but when revealing frequency in stock market increases, the predictability on option price would up.

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	                            3
第三節 研究架構	                            5
 第二章　文獻探討	                            7
第一節 限價委託簿	                            7
第二節 投資人之資訊性	                   11 
 第三章　理論與研究方法	                   15
第一節 衍生性市場簡介	                   15
第二節 資料來源與介紹	                   18
第三節 委託簿資訊預測未來報酬模型	           29
第四節 迴歸分析方法	                           36
 第四章　實證結果與分析	                   37
第一節 敘述統計分析	                           37
第二節 委託簿高度、寬度與報酬率之關係	           46
第三節 以限價委託簿不平衡資訊預測選擇權報酬率	   49
第四節 金融海嘯下限價委託簿訊息對價格的預測能力	   52
第五節 現貨揭示頻率改變時限價委託簿對價格預測能力   57
 第五章 結論	                           62
 參考文獻	                                   64

 
表目錄
【表3-1】每年各類型投資人平均每日成交量佔當日整體成交量比例	16
【表3-2】每年各類型投資人平均每日成交量佔當日整體成交量比例	17
【表3-3】台指選擇權契約格式	18
【表 3-4】選擇權委託檔資料格式	22
【表 3-5】選擇權成交檔資料格式	22
【表 3-6】各類型投資人每日成交量佔當日總成交量比例敘述統計	23
【表 3-7】委託單成交時間	26
【表 4-1】散戶買權委託簿資訊敘述統計	40
【表 4-2】法人買權委託簿資訊敘述統計	41
【表 4-3】造市者買權委託簿資訊敘述統計	42
【表 4-4】散戶賣權委託簿資訊敘述統計	43
【表 4-5】法人賣權委託簿資訊敘述統計	44
【表 4-6】造市者賣權委託簿資訊敘述統計	45
【表 4-7】不同投資人委託簿高度、寬部對未來選擇權價格趨勢之預測能力比較	48
【表 4-8】各類投資人委託簿高度、寬度不均衡對報酬率預測能力之比較	51
【表 4-9】金融海嘯投資人買權委託簿長度、寬度對報酬率預測能力之比較	53
【表 4-10】金融海嘯投資人賣權委託簿長度、寬度對報酬率預測能力之比較	54
【表 4-11】金融海嘯各投資人買權委託簿高度、寬度不均衡對價格預測能力	55
【表 4-12】金融海嘯各投資人賣權委託簿高度、寬度不均衡對價格預測能力	56
【表 4-13】揭示改制後投資人買權委託簿長度、寬度對報酬率預測能力之比較	58
【表 4-14】揭示改制後投資人賣權委託簿長度、寬度對報酬率預測能力之比較	59
【表 4-15】揭示改制後各投資人買權委託簿高度、寬度不均衡對價格預測能力	60
【表 4-16】揭示改制後各投資人賣權委託簿高度、寬度不均衡對價格預測能力	61


 
圖目錄
【圖 0-1】 研究流程圖	                 6
【圖 3-1】 TXO成交量時間序列圖	        17
【圖 3-2】 VIX時間序列圖	                20
【圖 3-3】 當日交易量最大之買權契約價性分配圖	25
【圖 3-4】當日交易量最大之賣權契約價性分配圖	25
【圖 3-5】 委託簿形狀	                28

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