臺灣博碩士論文加值系統

本篇研究主要採用15分鐘頻率的日內資料檢驗股票與選擇權市場之間的關聯性，本篇研究所使用的資料包含台灣加權股價指數選擇權成交量、台灣加權股價指數成交量與報酬率。基於本篇研究資料的特性可進一步將投資人區分為五大類型探討投資人在兩市場之間的交易行為。此外，本研究使用Inclan and Tiao (1994) 所提出ICSS運算法來檢驗一時間序列資料中多重結構性改變的時點，並檢驗此多重轉折點的時點是否導因於國內外重大新聞事件。
本篇研究實證結果發現在台指選擇權市場中，散戶的交易行為與機構投資人的交易行為呈現反向的關係，此實證結果隱含了這兩類投資人有資訊不對稱的情況產生，且機構投資人與散戶相比較，機構投資人擁有較優先的資訊。造市者在選擇權市場扮演提供流動性的角色，然而本篇研究實證結果發現造市者不但提供市場流動性且透過製造流動性而獲得正向的報酬。自營商與外資投資人則會透過台指選擇權來避險，且從實證結果發現這兩類投資人的避險策略為保護性買權。此外，本篇研究使用ICSS運算法來檢驗大盤報酬率資料中是否存在多重結構改變，本篇資料中確實存在多個結構改變點，將此結構轉折點的時點對照當時所發生的國內外重大事件，實證結果發現多重結構轉改變肇因於國內外重大事件的發生。

The main purpose of this study is to investigate the trading behavior of various types of investors between options and stock market as well as to detect the multiple sudden changes in volatility of time series data. This study adopts the intraday time-series data using 15-min frequency options volume, the returns and volume of stock price index to explore the trading behavior between the options and stock market. The empirical results of this study indicate that the trading behavior of individual investors is opposite to the trading behavior of institutional investors. The implication of this result indicates that the information asymmetry may appear between the trading behaviors of these two types of investors. Furthermore, the institutional investors may possess superior information than the individual investors. The empirical results indicate that market makers are not only liquidity providers but also may make profitable in options market. In addition, the institutional investors including dealers and foreign institutional investors may hedge their portfolio by adopting the trading strategy of protective put. Finally, this study attempts to identify the sudden changes in variance by employing the iterated cumulative sums of squares (ICSS) algorithm. The breakpoint in variance can precisely detect the events happened at specific time. This study incorporates the structural changes into the GARCH model to capture the volatility persistence at that time period.

1. Introduction 1
1.1 Background 1
1.2 Motivation 3
1.3 Purpose 5
2. Literature Review 7
2.1 Several advantages of options 7
2.2 Informed trading in options market 7
2.3 The predictability of options volume 8
2.4 The stock and options markets in Taiwan 9
2.5 Structural changes by employing the ICSS algorithm 10
2.6 Summary 11
3. Methodology 12
3.1 Testing the information variable 12
3.2 Decomposing the information variable to examine the returns of the underlying asset 13
3.3 Decomposing the information variable to examine the volume of the underlying asset 14
3.4 The procedure of structural changes adopting the ICSS algorithm 15
3.5 The GARCH model 17
3.6 Integrating the structural changes in variance into the GARCH model 18
4. Data 19
4.1 Data description 19
4.2 Data treatment of variables 20
4.3 Descriptive statistics 21
5. Empirical Results 26
5.1 The regression results of each type of investors 26
5.2 The regression results of integration 33
5.3 The trading behavior of five major investors 35
5.4 Sudden changes in variance 36
5.5 GARCH (1,1) and sudden changes in variance 42
6 Conclusion 49
References 51

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