選擇權交易對波動度之預測性

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Title:	選擇權交易對波動度之預測性
Other Titles:	The predictibility of options trading on volatility
Authors:	張婕妤;Chang, Chieh-Yu
Contributors:	淡江大學財務金融學系碩士班林蒼祥
Keywords:	新興市場;資訊內涵;資訊交易者;選擇權交易量;組合交易;Emerging markets;information content;informed traders;Option volume
Date:	2012
Issue Date:	2013-04-13 10:50:28 (UTC+8)
Abstract:	本文將分成兩部份，第一部分我們探討開平倉及是否隱含不同的資訊內涵及探討選擇權交易策略是否對隱含對現貨波動度的資訊，第二部分則討論金融海嘯前後各類投資人之資訊內涵是否有所差異。首先我們使用台灣指數選擇權所有交易人日內的成交資料討論選擇權之買權及賣權開平倉交易是否隱含不同的資訊內涵。我們將投資人做分類可以知道雖然外資的交易量佔全市場交易量比重並不大，但其交易卻能夠顯著的預測現貨指數報酬率之變動。接下來，我們使用Ni, Pan and Poteshman (2008)之探討選擇權交易是否隱含現貨波動率資訊的研究方法，採用其加權波動淨需求指標(vega-weighted net demand for volatility)討論台灣指數選擇權交易是否隱含現貨波動率之資訊。本論文證實外資在台灣股價指數選擇權市場的交易確實對現貨指數的波動度有預測能力外，在過去文獻中指數選擇權交易被視為較少資訊交易者存在，而本論文指出台灣股價指數選擇權市場確實存在資訊交易者。 This essay contains two parts. In the first party of this essay we set out to investigate the information content of options trading to examine the predictive power of the put and call positions and the predictive power of trade strategy of different types of traders 。In the second part of this study whether volatility information exists difference after financial crisis in 2008. At first, we set out to investigate the information content of options trading to examine the predictive power of the put and call positions of different types of traders in the TAIEX option market. If we divided invests into twelve types, although foreign institutional investors do not engage in much trading, there is strong evidence to show that the trading in which they do engage has significant predictive power on the underlying asset returns. we follows the approach of Ni, Pan and Poteshman(2008) – based upon the vega-weighted net demand for volatility – to determine whether volatility information exists within the Taiwan options market. Our study sheds some light on the foreign capital flows in the Taiwan option market which may have predictive power with regard to the underlying asset. Our investigation may provoke further study of the information content of index option markets, which are generally viewed as being less informative than individual stock markets.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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