選擇權限價委託簿之資訊內涵對價格的預測能力

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Title:	選擇權限價委託簿之資訊內涵對價格的預測能力
Other Titles:	The information content of the option limit-order book and the power to predict price
Authors:	蔡宜芳;Tsai, Yi-Fang
Contributors:	淡江大學財務金融學系碩士班林蒼祥;Lin, William T.;蔡蒔銓;Tsai, Shih-Chuan
Keywords:	限價委託簿;資訊性;臺指選擇權;limit order book;informativeness;TXO
Date:	2014
Issue Date:	2015-05-04 09:42:45 (UTC+8)
Abstract:	本文主要是利用Cao, Hansch and Wang(2009)的方法，套用在台灣期貨市場中研究臺指選擇權的限價委託簿是否存在與未來價格移動有關的資訊，利用臺灣期貨交易所之臺指選擇權日內交易資料重建限價委託簿原始情況，我們獲得最佳五檔的報價及未成交量資訊。針對不同的時間區間（5秒、15秒、30秒、60秒、120秒）將委託簿資訊對價格變動進行迴歸分析，探討委託簿資訊在市場反應的時間。經由實證發現委託簿資訊確實與短時間的未來價格變動相關，並且在5秒的時間區間對價格變動的預測能力最佳，而隨著時間區間拉長，委託簿資訊在市場已經反應，對價格變動的預測能力也會下降。 This paper use the method of Cao, Hansch and Wang(2009) for the Taiwan futures market to discuss the information about future price change content of Taiwan Stock Index Option`s limit order book. We construct the original intraday situation of the limit order book for Taiwan Stock Index Option and we get the best five quotes and the open contract information.For the different time interval(5second、15second、30second、60second、120second ),we use limit order book’s information and price change to do regression analysis, investigate the time of market to react limit order book`s information. The evidence shows that the limit order’s information is related to future short-term price changes. And in 5second interval have the best power to predict price change, after interval becomes longer, the information is already responded, and the power to predict price changes will decrease.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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