Information content of investors' trading behavior in the Taiwan options market

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Title:	Information content of investors' trading behavior in the Taiwan options market
Other Titles:	臺灣選擇權市場投資人交易行為之資訊內涵台灣選擇權市場投資人交易行為之資訊內涵
Authors:	黃健銘;Huang, Chien-Ming
Contributors:	淡江大學財務金融學系博士班邱建良;李命志;Chiu, Chien-Liang;Lee, Ming-Chih
Keywords:	指數選檡權;股票市場狀況;資訊交易人;價性;Index Options;Market conditions;Informed trader;Moneyness
Date:	2011
Issue Date:	2011-12-28 17:37:39 (UTC+8)
Abstract:	這篇論文主要在於調查在臺灣指數選檡權市場之不同交易人別之間，真實交易的選擇權傾向為何，並進一步調查在現貨市場表現不同的環境下，如何影響選擇權的交易行為。有別於過去文獻的作法，本論文控制了相同到期月份下，不同選擇權契約之成交量效果後，結果發現市場交易人偏愛交易流動性較高的短天期選擇權契約，且傾向於選擇具有高槓桿效果之價外(out-of-the-money)選擇權。此外，當選擇權交易量增加時，對於股票市場交易量的影響，兩者呈現出正向顯著的交互效果，而此現象亦支持共同均衡假說(pooling equilibrium hypothesis)。另一方面，對於股票市場價格的走勢，實證結果證實自營商與外資的選擇權交易行為，可提供較多的資訊意涵。當股票市場處於下跌趨勢時，因為股票市場的漲跌幅限制與放空限制之障礙，將引導資訊交易人傾向於增加選擇權的成交量，以獲取握有私有資訊及選擇權槓桿所帶來的好處。然而，在股票市場上漲期間，因為部份機構投資人偏愛於選擇權背後所帶來槓桿效果與波動敏感性，而非股票市場的流動性時，則買權成交量與股票市場成交量將會呈現出正向的交互顯著關係。最後，雖然不同選擇權交易人別對於不同價性的選擇權，抱持著不同的交易傾向與偏好，進而導致不同的實證結果，但就其自營商與外資交易人之選擇權交易行為而言，仍可提供我們實質的資訊意涵。 Using the original transaction recodes from the Taiwan index options market, this study aims to investigate realized options trading tendencies among different investor classes and to further examine how different market conditions affect the options trades. In contrast to previous studies, after controlling for the trading volume effects of different exercise prices with the same term-to-expiration, the results show that market investors prefer to trade short-horizon contracts with larger trading liquidity and tend to choose the out-of-the-money options with higher leverage. In addition, there is a significantly positive reciprocal effect between options and stock markets when the options trade increases. This observation is consistent with the pooling equilibrium hypothesis. Moreover, there is strong evidence that options trades by dealers and foreign institutional investors provide more information about stock price movement. In addition, because the market suffers the hindrance of price limits when spot market lie in downtrending tendcy, short-sale constraints may lead informed traders to increase their options by trading to capitalize their access to private information and gain leverage. However, because some institutional investors may prefer the leverage effects of volatility sensitivity over stock market liquidity, the positive effects between the two markets will be evident in the call options during an uptrendinging market. Finally, although different trade preferences for different moneyness classes may result in varied findings among investors, the study concludes that the options trade is more informative, at least with regard to the results achieved by dealers and foreign institutional investors.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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