探討現貨與選擇權市場之賣空交易行為

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Title:	探討現貨與選擇權市場之賣空交易行為
Other Titles:	Discussion of the Trading Behavior of Short Sales between Spot and Options Markets
Authors:	段昌文
Contributors:	淡江大學財務金融學系
Keywords:	融券成本;訊息交易者;賣空;價格調整速度;價格發現;賣-買權比率;Borrowing cost;Informed trader;Short sales;Speed of price adjustment;Price discovery;Put-call ratio
Date:	2010
Issue Date:	2011-07-05 22:59:26 (UTC+8)
Abstract:	本研究主要透過台灣股票市場與個股選擇權市場資料來探討賣空的交易行為。我們估計價格調整速度以觀察無賣空限制可否增加價格發現的功能，並透過代理變數來剖析個股選擇權的發行是可降低融券成本，且導因於選擇權交易策略與賣空的替代性，最後並比較賣空與賣權何者對個股負報酬具有較佳的預測能力。 The project focuses on the trading behavior of short-selling by using the data from Taiwan’s stock market and stock options. We will explore that short sells contribution to market efficiency by increasing the speed of price adjustment. Furthermore, we analysis that stock with issuing options can reduce borrowing costs by increasing the supply for short sales because of the substitutability of options strategies and short selling. Finally, we will show that which markets is better ability of prediction at future negative return for stocks.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Research Paper

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