| 摘要: | 本論文主要目的在於探討牛熊證商品交易對交易策略與報酬之影響，並選取臺灣資本市場作為研究對象，在依據Roll et al. (2010)所提出以選擇權及其標的現股兩者之間的交易量比例衡量方式，分析選擇權市場和現貨市場之交易相對行為變化，本論文據以引用於牛熊權證市場進行探討，使用資料型態為日內逐筆交易資訊。此外，本論文亦認為使用日內資料較能捕捉到交易之真實性，故進一步劃分不同交易人別在權證交易行為影響，即為法人、自然人以及外資等三類交易人。據此，在以前八大交易量之牛熊權證契約，區分為指數型熊證、非指數型熊證以及非指數型牛證三者，觀察不同交易人在交易策略與標的現股間，是否具有顯著性的差異關聯性。
實證結果證實指數型熊證商品，自然人與其他法人買賣皆造成牛熊證與標的現股之成交量比例造成顯著性影響，但外資僅有在賣出時會造成影響。此外，對於買賣權證造成權證報酬率的變化，外資呈現無統計顯著的結果。另一方面，非指數型牛熊證方面，則證實在熊證方面自然人以及法人買賣雖會造成兩者成交量比例改變，但對權證報酬均無顯著的關聯，而非指數型牛證而言，自然人與法人買賣行為均呈現具參考價值的決策指標。
In this paper, we base on the approach of Roll et al.(2010) which first develops a simple empirical construct, the options/stock trading volume ratio (O/S) which is a variable to measure the relative trading activity in options market and stock market. Our study extends the O/S concept on Taiwan warrants market and stock market , We accordance with the characteristics of warrant, construct directional variable, W(bull)/S and W(bear)/S ,then we want to know whether different investor have different trading preferences or not, we put investors into natural person、other legal person and foreign investment。
The empirical results confirm in Bear index warrants, natural person and Legal person trading may cause W/S ratio significant impacts, but foreign investment is only when sold will be affected, In addition, foreign investment would not significant influence warrants return, on the other hand Non-index bear warrants, natural person and legal person, although change will result in both turnover ratio, but there was no significant association warrants return, Non-index bull warrants, both natural and legal person buying or selling decisions rendered with valuable indicators. |
