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.
