臺灣博碩士論文加值系統

臺灣加權股價選擇權在全球市場上具有代表性與流動性高之特性，且選擇權的交易成本低、成交量大，相對流動性較佳，學術界許多研究都對選擇權的交易策略有深入的著墨。本論文針對資料期間2005年1月3日至2009年6月30日，臺灣地區加權股價指數選擇資料來源為台灣期貨交易所，而台灣股票市場報酬率與成交量則擷取自臺灣經濟新報(Taiwan Economic Journal)，將上述市場資料透過巨量資料切割為不同交易人別於選擇權市場之交易資訊。
本論文主要探討一般交易人、外資機構、造市者等三種不同交易人別選擇權交易資訊對價性之影響，進一步分析不同類型的交易人對於選擇權交易的影響。對市場不同交易人價性、市場報酬率、成交量等變化，觀察市場上相關之交易訊息，進而分析不同交易人別從事選擇權交易之影響。

Taiwan's weighted stock option is significant, representative and has the characteristics of high liquidity in the global market. The transaction cost of the option is low, the transaction volume is large, and the liquidity is relatively better. Many academic studies have described the trading strategies of option in depth.
The raw data of this paper is from the weighted stock price index option in Taiwan, data period January 3, 2005 to June 30, 2009, and the data source was from the Taiwan Futures Exchange. The Taiwan stock market return and trading volume were drawn from Taiwan Economic Journal. The big data of above mentioned market data were divided into variant trading information that was made by different traders in the option market.
This paper is mainly discussing the influences on the moneyness of the option trading made by three different traders, such as general traders, foreign-funded institutions and market makers.Analyzing further the influences on the option trading from different types of traders based on the moneyless of different traders, market returns, volume variation, etc.

目錄

摘要 i
第一章　緒論 1
第一節　研究背景、動機 1
　第二節　研究問題與目的 5
第三節　研究架構說明與流程步驟 7
第二章　文獻回顧與探討 10
第一節　不同交易人別之交易行為對股票市場價格的影響 10
第二節　交易行為之報酬與風險分析 13
第三節　開放外資參與市場 14
第三章　研究方法 15
　第一節　變數操作性定義與計算方式 15
　第二節　控制變數 19
第三節　實證模型設定 20
第四章　資料來源與處理過程 21
　第一節　資料來源 21
　第二節　資料基本統計量分析 26
第五章　實證結果與分析 27
第六章　結論與建議 34
參考文獻 35

表 目 錄

【表4.1.1】臺灣選擇權市場不同交易人別價性分布 24
【表4.1.2】臺灣選擇權市場各交易人資料期間每年之平均價性與平均成交量表 25
【表4.2.1】臺灣證券市場與選擇權市場不同交易人別之買權攸關變數基本統計特性 26
【表4.2.2】臺灣證券市場與選擇權市場不同交易人別之賣權攸關變數基本統計特性 27
【表5.1.1】臺灣選擇權市場買權不同交易人之成交量迴歸估計結果 29
【表5.1.2】臺灣選擇權市場賣權不同交易人之成交量迴歸估計結果 31

圖 目 錄

【圖1.3.1】研究流程說明圖 9

中文文獻
1.外資資訊領先地位之探討(游志賢，賴育志，1999)
2.投資機構交易資訊與市場報酬之互動關係(林美珍，馬麗菁，2002)
3.三大法人未平倉量與成交量對臺股期貨報酬之研究(廖仁杰 ，2010)
4.外資台指期未平倉量對台指期之影響(周偉康，2012)
英文文獻
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