臺灣博碩士論文加值系統

Abstract
This paper is intended as an investigation of price impacts of signed options and futures volume with transactions data for options and futures on the FTSE 100 index.
The price impacts of signed options and futures volume are investigated under three classified data, which are unclassified, different terms of days to maturity, and each day-of-the-week. The results clearly show that signed futures volume and negative options volume have significant contemporaneous price effect, and price impacts are varied under different terms of days to maturity and dissimilar under each day-of-the-week. After investigated the price impact of signed volume, there further discuss the source of the effect. Under the unclassified data, there reject the perfect market hypothesis in favor of the information hypothesis for negative options volume and positive futures volume, and in favor of the liquidity hypothesis for the negative
futures volume. Under the different terms of days to maturity, on the 0-30 category, there conclude the source of the effect of positive futures volume is result from both information and liquidity factors, but the effect of negative futures volume is the result of liquidity factors. Under the 31-60 category, there suggests that the price impacts of signed futures volume under this category are largely informational. The results observed from over than 60 days category indicate that price effect of signed options volume is reflects liquidity effects, but signed futures volume is represents information effects. Lastly under the day-of-the-week data, the perfect markets hypothesis is not rejected on Thursday, but is in favor of the liquidity effect on Wednesday, and other day-of-the-week is mostly represents information effects, especially on Friday. At the last section of this paper, there examine the relation of
signed options and futures volume and find they are influenced by each other but their relationship is not always constant, it changes under different terms of days to maturity and day-of-the-week.

Abstract
This paper is intended as an investigation of price impacts of signed options and futures volume with transactions data for options and futures on the FTSE 100 index.
The price impacts of signed options and futures volume are investigated under three classified data, which are unclassified, different terms of days to maturity, and each day-of-the-week. The results clearly show that signed futures volume and negative options volume have significant contemporaneous price effect, and price impacts are varied under different terms of days to maturity and dissimilar under each day-of-the-week. After investigated the price impact of signed volume, there further discuss the source of the effect. Under the unclassified data, there reject the perfect market hypothesis in favor of the information hypothesis for negative options volume and positive futures volume, and in favor of the liquidity hypothesis for the negative
futures volume. Under the different terms of days to maturity, on the 0-30 category, there conclude the source of the effect of positive futures volume is result from both information and liquidity factors, but the effect of negative futures volume is the result of liquidity factors. Under the 31-60 category, there suggests that the price impacts of signed futures volume under this category are largely informational. The results observed from over than 60 days category indicate that price effect of signed options volume is reflects liquidity effects, but signed futures volume is represents information effects. Lastly under the day-of-the-week data, the perfect markets hypothesis is not rejected on Thursday, but is in favor of the liquidity effect on Wednesday, and other day-of-the-week is mostly represents information effects, especially on Friday. At the last section of this paper, there examine the relation of
signed options and futures volume and find they are influenced by each other but their relationship is not always constant, it changes under different terms of days to maturity and day-of-the-week.

CONTENTS
ABSTRACT
INTRODUCTION .................................................................................1
LITERATURE REVIEW......................................................................2
ABOUT PRICE IMPACTS AND RELATIONS BETWEEN SIGNED VOLUME....2
ABOUT TRADING VOLUME, MATURITY EFFECT AND DAY-OF-THE-WEEK
EFFECT .................................................................................................4
ABOUT INFERRING TRADE DIRECTION..................................................5
DATA AND EMPIRICAL MODEL......................................................6
EMPIRICAL MODEL..............................................................................6
DATA ....................................................................................................8
EMPIRICAL RESULT........................................................................ 11
PRICE IMPACTS OF SIGNED VOLUME................................................... 11
Estimation procedure ..................................................................... 11
Main findings ................................................................................. 11
Prediction .......................................................................................14
Correlation of futures and options volume.....................................14
LEAD-LAG RELATION BETWEEN OPTIONS AND FUTURES VOLUME...... 16
CONCLUSION....................................................................................18
REFERENCE.......................................................................................19

19
Reference
1. Abhyankar, A., 1995. Return and Volatility Dynamic in the FTSE 100 Stock Index and Stock Index
Futures Markets. Journal of Futures Markets 15, 457-489.
2. Admati, A., Pfleiderer, P., 1988. Selling and Trading Information in Financial Markets. American
Economic Review 78, 96-103.
3. Admati, A., Pfleiderer, P., 1989. Divide and Conquer: A Theory of Intraday and Day-of-the-Week
Mean Effect. Review of Financial Studies 2, 189-223.
4. Anderson, R., 1985. Some Determinants of the Volatility of Futures Prices. Journal of Futures
Markets 5, 331-349.
5. Anthony, J., 1988. The interrelation of stock and options market trading-volume data. Journal
of Finance 43, 949-964
6. Atkins, A., Dyl, E., 1990. Price Reversals, Bid-Ask Spreads, and Market Efficiency. Journal of
Financial and Quantitative Analysis 25, 535-547.
7. Ball, C., Torous, W., 1986. Futures options and the Volatility of Futures Prices. Journal of Finance
41, 857-870.
8. Chan, K., 1992. A Further Analysis of the Lead-Lag Relationship Between the Cash Market and
Stock Index Futures Market. Review of Financial Studies 5, 123-152.
9. Chan, K., Chung, P., Johnson, H., 1993. Why Option Prices Lag Stock Prices: a trading-based
explanation. Journal of Finance 48, 1957-1967.
10. Chan, K., Chung, Y., Fong, W., 2002. The informational role of stock and option volume. Review
of Financial Studies 15, 1049-1075
11. Chordia, T., Roll, R., Subrahmanyam, A., 2002. Order imbalance, liquidity and market returns.
Journal of Financial Economics 65, 111-130.
12. Copeland, T., Galai, D., 1983. Information Effects on the Bid-Ask Spread. Journal of Finance 38,
1457-1469.
13. De Long, J., Shleifer, A., Summers, L., Waldmann, R., 1990. Positive Feedback Investment
Strategies and Destabilizing Rational Speculation. Journal of Finance 45, 379-395.
14. De Bondt, W., Thaler, R., 1985. Does the Stock Market Overreact? Journal of Finance 40, 793-805.
15. Easley, D., O’Hara, M., Srinivas, P., 1998. Option volume and stock prices: evidence on where
informed traders trade. Journal of Finance 53, 431-466.
16. Finucane, T., 2000. A direct test of methods for inferring trade direction from intra-day data.
Journal of Financial and Quantitative Analysis 35, 553-576.
17. Galloway T., Kolb, R., 1996. Futures Prices and The Maturity Effect. Journal of Futures Markets
16, 809-828.
18. Harvey, C. R., Whaley, R. E., S&P100 Index Option Volatility. Journal of Finance 46, 1551-1561.
19. Huffman, G., 1992. Information, Asset Prices, and the Volume of Trade. Journal of Finance 47,
1575-1590.
20. Jegadeesh, O., Titman, S., 1995. Overreaction, Delayed Reaction, and Contrarian Profits. Review
of Financial Studies 8, 973-993.
21. Ji-Chai, Lin., Sanger, G. C., Booth, G., 1995. Trade Size and Components of the Bid-Ask Spread.
Review of Financial Studies 8, 1153-1183.
22. Kyle, A., 1985. Continuous auctions and insider trading. Econometrica 53, 1315-1335.
23. Lakonishok, J., Maberly, E., 1990. The Weekend Effect: Trading Patterns of Individual and
Institutional Investors. Journal of Finance 45, 231-243.
24. Manaster, S., Rendleman, R., 1982. Option prices as predictors of equilibrium stock prices. Journal
of Finance 37, 1043-1057.
25. Milonas, Nikolaos, T., 1986. Price Variability and the Maturity Effect in Futures Markets. Journal
of Futures Markets 6, 443-461.
26. Posteshman, A., 2001. Underreaction, Overaction, and Increasing Misreaction to Information in
the Options Market. Journal of Finance 56, 851-876.
27. Schlag, C., Stoll, H., 2005. Price impacts of options volume. Journal of Financial Markets 8,
69-87.
28. Stephan, J. A., Whaley, R. E., 1990. Intraday Price Change and Trading Volume Relations in the
Stock and Stock Option Markets. Journal of Finance 45, 191-220.