淡江大學機構典藏:Item 987654321/96072
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/96072


    Title: 淨購買壓力的資訊含量：台指期權市場的證據
    Other Titles: The information content of net purchase's pressure : The evidence of Taiwan's futures and option's market
    Authors: 鄭振龍;呂愷;林蒼祥
    Contributors: 淡江大學財務金融學系
    Date: 2014-04
    Issue Date: 2014-02-18 20:28:09 (UTC+8)
    Abstract: 文利用台指期权市场详细的高频交易数据,在Bollen and Whaley(2004)的净购买压力假设理论基础上,对台指期权市场三类主要投资者的净购买压力指标中所隐含的方向信息和波动率信息进行了实证研究。本文发现,台指期权市场存在部分方向信息交易者,他们拥有未来台指涨跌的私有信息并通过期权交易来获取收益,但三类投资者几乎都不含未来台指波动率的信息。从三类投资者的信息差异来看,岛外机构投资者是最显著的方向信息交易者,其次是岛内机构投资者,个人投资者的净购买压力中的信息含量最为有限。
    Relation: 金融研究 2014(4)
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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