本研究探討選擇權市場中投資人在不同價性及市場狀況下的交易行為，並將投資人別分成國內機構投資人、國外機構投資人、個別投資人及造市者。樣本期間為2008年3月24日至2009年3月31日，另將樣本期間區分為選舉期間、熊市及牛市三區間。本研究以每15分鐘台灣股價指數日內報酬與台指選擇權的買賣權交易量價值比率當作股市和選擇權市場資訊傳遞的兩變數。利用向量自我迴歸模型來觀察股市和選擇權市場彼此間領先落後效果。 本研究發現交易人最常於價外選擇權市場進行交易，其因推測為價外選擇權市場較具流動性及財務槓桿效果。發現當未考慮投資人別、市場狀況及價性水準時，股市資訊領先選擇權市場。然而，在考慮投資人別、市場環境及價性水準下，國內機構投資人於全期價外、熊市價外、牛市價外及國外機構投資人於熊市時，選擇權市場資訊傳遞將領先股市。因此機構投資人在不同市場環境與價性下較具有資訊內涵。 This thesis examines investors of options across exercise prices under different market conditions and moneyness, and documents regularities related to trading patterns of domestic institution investors, foreign institution investors, individual invsetors and market maker. Our sampling period covers from March 24, 2008 through March 31, 2009, and consists a period of political tension; a bear market and a bull market. This thesis uses a 15-min trading interval stock returns and call-put options trading value ratio to measure the information flow between Taiwan stock index returns and TXO options trading activities based on VAR model. This empirical result reports that traders are likely to trade OTM option because of liquidity and leverage effect in TXO options. When without considering investors, market conditions and moneyness, the empirical results find that the stock leads the options markets. However, as considering investors, market conditions and moneyness, the results find that options market lead stock as domestic institution investors trade in OTM of entire period, OTM of bear market, OTM of bull market and foreign institution investors trade in bear markets. Therefore, institution investors are likely to obtain informative information under different market conditions and moneyness.
