股票選擇權的資訊內涵與其對價格效率性的影響

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Title:	股票選擇權的資訊內涵與其對價格效率性的影響
Other Titles:	The information content in stock option and its impact on price efficiency
Authors:	胡訓方;Hu, Shiun-Fang
Contributors:	淡江大學財務金融學系碩士班林蒼祥;蔡蒔銓
Keywords:	資訊內涵;價格效率性;放空限制;information content;Price Efficiency;Short-sales constraints
Date:	2014
Issue Date:	2015-05-04 09:42:43 (UTC+8)
Abstract:	本文針對台灣股票選擇權及其標的股票進行研究，利用新倉賣權對買賣權交易量比率(put-call ratio)作為資訊內涵的代理變數，將投資人分為法人及散戶兩類，觀察其對未來標的股票報酬的預測能力，判斷有無資訊內涵。此外，本文進一步探討資訊內涵對標的股票價格效率性的影響，透過觀察put-call ratio與價格效率指標Eff間的關係，檢驗其能否促進價格效率性。由於台股存在放空的限制，本文也特別加入了放空限制的虛擬變數去探討其是否會傷害股票的價格效率性。實證發現，利用put-call ratio作為資訊內涵的代理變數，無法觀察到法人在選擇權市場中的交易對次一日報酬有預測能力，然其可促進標的股票的價格效率性，此現象在價平選擇權中特別明顯。散戶則確定無資訊內涵的存在，因其put-call ratio對標的股票未來的報酬無顯著的預測能力，亦無法促進價格效率性。至於放空限制的部分，在實證中無法觀察到其存在會傷害股票的價格效率性。 In this paper, we set out to investigate the information content of options trading of different types of traders in the Taiwan stock option market and its affect to the underlying asset price efficiency. First, we use the put-call ratio from option volume initiated by buyers to open new positions as a proxy for information content to examine its predictive power to the underlying asset future return Second, we employ Eff as our price efficiency indicators and investigate its relationship with the put-call ratio to test whether the information content can enhance underlying asset price efficiency. Since Taiwan stock market has the short-sales constraints, we especially add a short-sales constraints dummy variable to examine whether it hurts the price efficiency. Our empirical results show that use the put-call ratio as a proxy for information content can’t observe that the trade volume in option market of institutional investors has the information content. However, it can increase the underlying asset price efficiency. We find out this relationship significantly in at-the-money options. In contrast, individual investors have no information content in option volumes. Its put-call ratio can neither predict future stock return nor increase the price efficiency. As the short-sales constraints, we can’t find out that will hurt the price efficiency in ours empirical results.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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