| 摘要: | 本文參考Xing, Zhang, and Zhao (2010)分析選擇權市場與現貨和期貨市場的關係，探討選擇權市場的買方變動量波動度奸笑曲線對於現貨和期貨市場的報酬是否具有資訊內涵。資料來自於台灣期貨交易所日內資料，期間由2008年1月到2009年3月。本文和Xing, Zhang, and Zhao (2010)不同地方在於本文考慮選擇權契約交易的流動性，只使用短天期天數的到期契約。本文並且將奸笑曲線修正為買方變動量波動度奸笑曲線，接著再將其細分為不同投資人(機構投資者、國內機構投資者和國外機構投資者)去探討對現貨和期貨報酬的影響。有別於Xing, Zhang, and Zhao (2010)的論文，利用更高的資料頻率：本文以日資料和日內15分鐘資料型態探討指數選擇權的影響，並利用回歸方式做檢驗。
依照Xing, Zhang, and Zhao (2010)的波動度奸笑曲線去做實證分析發現，不管在日資料還是日內15分鐘資料下，股票市場與期貨市場都不會受前一期的波動度奸笑曲線所影響。因此我們進一步修正其波動度奸笑曲線為買方變動量波動度奸笑曲線，實證結果其日資料顯示買方變動量波動度奸笑曲線對現貨並沒有顯著影響，而期貨只有國外機構更顯著；而在15分鐘的日內資料型態於現貨和期貨市場則以機構投資人以及細分為國外機構投資者的影響較為顯著，代表機構投資人與國外機構投資者在選擇權的資訊內涵對於現貨和期貨報酬有顯著的影響力。而將交易時距區分成現貨開盤後30分鐘和收盤前30分鐘去探討兩個交易時段買方變動量波動度奸笑曲線是否存在更顯著的資訊。另外發現結果全交易時段下以國外機構投資人具備影響能力，國內機構投資人以收盤前30分鐘的交易時段對於樣本期間的資料較有顯著的影響。表示投資人方面以國外機構投資人的操作影響全交易時段，而國內機構投資人在收盤前30分鐘的操作較有顯著的影響。接著透過堅實性檢定，考慮選擇權的槓桿效果下，日內資料15分鐘的機構投資者對於現貨和期貨的報酬有預測的能力。考慮流動性效果下日內資料15分鐘的機構投資者有顯著的影響期貨報酬，表示機構投資人有提供市場的流動性，但本身的買方變動量波動度奸笑曲線並不影響期貨市場。
The thesis adopts unique intraday data to analysis the options volatility skew which defines as the difference between the implied volatilities of out-of-the-money puts and at-the-money call has significant predictive power for futures and stock return. Our sample comes from Taiwan futures exchange intraday unique data which covers from January, 2008 to March, 2009. It shows that the thesis can’t find significant predictive power in the volatility skew that can influence stock and futures market on daily or 15 minutes data even the thesis distinguish investors. However, the past scholars think that the options market exists information content and the buyers have more information so that the thesis modify the volatility skew. It shows that the thesis find significant predictive power in the modified volatility skew that can influence stock and futures market when the thesis distinguish investors. The thesis investigates options market implies information content to stock and futures market, especially foreign institutional investors implies information on full trading time. The thesis investigates that domestic institutional investors implies information on after-hours trading time, when the thesis uses the modified volatility skew to analysis. Moreover, it has a liquidity effect on futures market when the thesis evidences the equation so that it implies options market information has significantly increase for institutional investors trading behavior to futures market. It finds that options market exists information content, which includes leverage effect to futures and stock market on intraday data. To sum up, the thesis provides investors to use options information of modified skew to the stock and futures market return, foreign investors implies information on full trading time and domestic institutional investors implies information on after-hours trading time. And the thesis examines a robustness test that options market has no significant of liquidity effect, yet has significant of leverage effect, especially modified skew for daily data and institutional investors for intraday data for futures and stock market. |
