臺灣博碩士論文加值系統

本文使用台指選擇權完整資料對不同交易人類別之投資偏好進行分析，試圖找出不同交易人別下，其投資偏好之差異對選擇權市場流動性的影響。有別於過去文獻，在流動性的衡量上，本文同時考慮價差、交易總值以及價格衝擊不同面向的變化。在控制到期時間效果(time-to-maturity effect)之影響下，研究發現當散戶愈往價外選擇權進行交易時，將擴大市場價差，且造成市場交易活動趨於清淡，導致市場流動性下降，主要是因散戶的交易是出於投機動機。另一方面，當法人愈往價外選擇權進行交易時，將有助於市場活絡，促使流動性上升。此外，當市場交易行為愈積極，將有助於交易總值提升，但卻無助於價差的縮小以及價格衝擊之改善。

This study aims to analyze the investment preference of different trader types using the Taiwan index option trading information and attempts to investigate the effects of the various investment tendencies on the liquidity of option market trade. In contrast with the previous literatures, we use the variables of bid-ask spread, total trading value and price impact to measure the variations of market liquidity. After isolating the time-to-maturity effects, empirical results shown that when individuals trade options more out-to-money, they will expand the bid-ask spread and decrease the trading activities, causing the liquidity of market to decline. The main reason is individuals trading for speculative. On the other hand, when institutions trade options more out-to-money, they will increase trading activities and improve the liquidity of option market. Furthermore, when the trading behaviors are more aggressive, it can increases the total trading value, but be helpless to narrow the bid-ask spread and reduce the price impact of Taiwan option market.

圖表目錄....................................................................................................................... II
第壹章 緒論................................................................................................................ 1
第一節 研究背景與動機 .......................................................................................... 1
第二節 研究目的 ...................................................................................................... 3
第三節 研究架構 ...................................................................................................... 4
第貳章 文獻回顧.......................................................................................................... 5
第一節 流動性 .......................................................................................................... 5
第二節 交易人類別 .................................................................................................. 7
第三節 積極程度與價性 .......................................................................................... 8
第參章 研究方法........................................................................................................ 9
第一節 樣本資料 ...................................................................................................... 9
第二節 變數衡量 .................................................................................................... 10
第三節 研究模型 .................................................................................................... 13
第肆章 實證結果與分析.......................................................................................... 15
第一節 基本統計量 ................................................................................................ 15
第二節 價性與積極程度對價差面向之影響 ........................................................ 19
第三節 價性與積極程度對交易量面向之影響 .................................................... 21
第四節 價性與積極程度對價格衝擊面向之影響 ................................................ 23
第伍章 結論與建議.................................................................................................... 25
第一節 結論 ............................................................................................................ 25
第二節 建議 ............................................................................................................ 25
參考文獻...................................................................................................................... 26
國內文獻 .................................................................................................................. 26
國外文獻 .................................................................................................................. 27
圖 1 - 1 研究架構流程圖 .......................................................................... 4
表 4 - 1 基本統計量 ................................................................................ 16
表 4 - 2 買權相關係數 ............................................................................ 17
表 4 - 3 賣權相關係數 ............................................................................ 18
表 4 - 4 PBA迴歸分析 ............................................................................ 20
表 4 - 5 DVOL迴歸分析 ......................................................................... 22
表 4 - 6 PILLIQ迴歸分析 ....................................................................... 24

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