| 摘要: | 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. |
