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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93777

    Title: 期貨選擇權市場提前交易之資訊內涵
    Other Titles: Information content of pre-open trading form index futures and options
    Authors: 巫冠廷;Wu, Kuan-Ting
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang
    Keywords: 淨買壓;資訊內涵;提前交易期間;機構投資人;net buying pressure;information content;Pre-open;Institutional Investors
    Date: 2013
    Issue Date: 2014-01-23 13:30:58 (UTC+8)
    Abstract: 本文探討期貨和選擇權市場在現貨股票市場開盤前的交易時段對於現貨報酬的資訊內涵。利用台灣期貨交易所(Taifex)所提供的日內成交資料,以淨買壓為主要變數去探討市場間的關係。樣本期間為2008年1月至2009年3月。其實證結果顯示1. 在期貨市場中,不管是有無區分長、短天期契約或是同時考慮長、短天期契約去做分析,其實證結果都顯示國內機構投資人在提前交易時間的交易資訊對於現貨開盤後的報酬有顯著影響力,且影響一直持續至現貨市場收盤。而國外機構投資人除了同時考慮長、短天期契約的情況外,其提前交易時間的交易資訊對於現貨開盤後的報酬是有顯著影響力的,但卻只影響短暫的數分鐘而已。2. 在選擇權市場中,無區分價性以及長天期和短天期契約的情形下,同時考慮買權和賣權時,國外機構投資人對於現貨開盤後的現貨報酬有顯著影響力,且影響一直持續至現貨市場收盤。而只探討短天期契約的情況下,國外機構投資人對於現貨開後的報酬也是具有資訊內涵的,且影響將持續至現貨市場收盤。若只探討長天期契約的情況下,國外機構投資人對於現貨開盤後的現貨報酬有顯著影響的,且影響一直持續至現貨市場收盤。而同時探討短天期和長天期契約的情況下,國外機構投資人將在短天期以及長天期契約中具有顯著的影響,且影響至現貨市場收盤。若選擇權只探討價平或價外選擇權或是同時考慮價平和價外選擇權市場,其結果與上述一致,國外機構投資人對於現貨開盤後的現貨報酬是有顯著影響,且影響一直持續至現貨市場收盤。3.若同時探討期貨和選擇權市場,其結果則顯示期貨市場以國內機構投資人具有資訊內涵,而選擇權市場以國外機構投資人對於現貨市場報酬有影響力。
    The thesis uses the derivative financial market of futures and options markets to investigate the price impacts of options and futures trading prior on the stock market opening. The thesis obtains the data the Taiwan Futures Exchange (TAIFEX) database to collect the TAIEX futures index and options index unique intraday data covering the period from January 2008 to March 2009 during the financial crisis of the subprime.
    The thesis examines the result in the futures (options) market: there is positive relationship between net buying pressure and stock return. When the thesis distinguish other investors, the thesis finds that not only short-term but long-term contracts of domestic (foreign) institutional investors of net buying pressure tend to be the most information to the stock return during of all trading period after opening. Moreover, thesis considers the relationship of futures and options market to stock market in chorus. It shows that short and long-term contracts of domestic (foreign) institutional investors of net buying pressure for futures market tend to be the most informed to the stock return during of all trading period after opening. Consequently, whether futures market or options market have information content for pre-open to stock market, especially domestic institutional investors reflect information for futures market and foreign institutional investors reflect information for options market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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