English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51921/87065 (60%)
Visitors : 8472688      Online Users : 130
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102759


    Title: 選擇權資訊內涵與價格效率性
    Other Titles: The Information Content in Option Volume and Its Impact on Price Efficiency
    Authors: 林蒼祥
    Contributors: 淡江大學財務金融學系
    Keywords: 選擇權交易量;資訊內涵;放空限制;價格效率性;Option volume;Information content;Short-sale constraints;Price efficiency
    Date: 2013-08
    Issue Date: 2015-05-04 15:41:29 (UTC+8)
    Abstract: 本研究將探討不同類別投資人的股票選擇權交易是否存在資訊內涵,以及能否提高標的股票的價格效率性。過去文獻雖有發現選擇權交易量的確存在資訊內涵,且對標的資產的未來報酬率有預測能力,但較少考慮到不同類別投資人所擁有資訊的多寡並不相同。因此本研究以能夠反映投資人私有資訊的選擇權對股票交易量比率,檢驗該比率對標的股票未來報酬率的預測能力,進一步探討各類投資人在股票選擇權的交易量的資訊內涵。本研究也將檢驗選擇權的交易是否能夠提升標的股票的價格效率性,以了解擁有負面資訊的投資人是否因股市存在放空限制而改交易選擇權,使選擇權交易存在資訊內涵。
    In this project, we aim to investigate the information content of stock options trading by different investor groups, including individuals, foreign institutions, proprietary dealers, and domestic institutions, in the TAIEX option market. Instead of using the ratio of call to put volume, which reflects the future return skewness, we use option to stock volume ratio, which is proposed by Johnson and So (2012) and is a better indication of the sign of private information, to investigate the return predictability of stock options trading. In addition, we explore the impact of stock options trading on price efficiency of underlying stock in order to understand whether the information content of stock options trading is due to the short-sale constraint.
    Appears in Collections:[財務金融學系暨研究所] 研究報告

    Files in This Item:

    There are no files associated with this item.

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback