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    Title: 交易人行為, 交易時距與臺指選擇權價格波動性
    Other Titles: Investor behavior, trade duration and TXO price volatility
    Authors: 張怡婷;Chang, Yi-Ting
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang
    Keywords: ACD-GARCH模型;交易人行為;交易時距;價格波動性;資訊交易;ACD-GARCH model;Trading behavior;Trade duration;price volatility;Informed trading
    Date: 2011
    Issue Date: 2011-12-28 17:36:20 (UTC+8)
    Abstract: 本文利用台指選擇權搭配ACD(1,1)模型以及ACD(1,1)-GARCH(1,1)模型來探討交易時距與其影響變數交易量及到期日之間的關連性,以及交易人於選擇權市場之交易行為對價格波動影響。本文旨在研究各交易人於不同價性選擇權交易筆數及時距並加以比較,另再透過交易時距倒數及交易人行為分別對台指選擇權價格波動之影響解析資訊交易的存在、並分析交易人交易行為。
    實證結果顯示:1. 交易量與交易時距呈負相關,而到期效果則與交易時距呈現正相關。2. 價平與價內選擇權市場由資訊交易所主導,價外選擇權則以流動性交易為主。3. 外資在價平及價外選擇權中存在資訊交易,本國機構人則在價平選擇權及價外買權存在資訊交易;另自然人除價平賣權外皆為雜訊交易,而認定為流動性交易者的造市者除了價平買權和價外買權外,的確擔任著提高市場流動性的角色,由上可知,交易人未必只依一種交易目的而交易。4. 資訊交易者並非只存在資訊交易。5. 交易時距確實會影響波動度,由實證得知台指選擇權市場中的確存在資訊交易。
    This study uses ACD(1,1) and ACD(1,1)-GARCH(1,1) model to discuss the relatedness of duration between volume and maturity, and effect of price volatility come from investor behavior. We also discusses and compares investors’ trading volume and trading duration, and use the TXO price volatility for inverse of duration and investor behavior to interpret the existence of informed trading.
    We found that, the inverse correlation between volume and duration and a positive correlation between maturity and duration. Second, at-the-money and in-the-money options have informed trading. Third, institutional investors trade for informed at at-the-money and out-the-money. In addition to, individual investors not only take noise trading and market maker take liquidity trading and hedging. Forth, informed investors not only make the informed trading, and last, trade duration affect price volatility, and there are informed trading in TXO market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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