臺灣博碩士論文加值系統

理論指出選擇權相較於股票此投資工具有吸引有資訊的投資人，利用其資訊在選擇權市場先行(偷跑)以追求超額報酬的誘因，使得選擇權價格因為較早反應資訊而領先股價。
本研究主要在檢定股票大額交易前後(在此視股票大額交易為資訊事件的發生)，選擇權與股票報酬率是否有顯著變動情形。藉以觀察選擇權價格產生異常波動的時點，是否確實早於股價的波動。實證結果發現，選擇權市場並未明顯有私有資訊者先行(偷跑)的情形產生。
本研究並接著以股票報酬和選擇權報酬做時間序列的檢定，觀察兩者之間的因果關係，利用的是二元VAR(10)模型。結果顯示只有股票報酬對選擇權報酬有顯著影響，而過去的選擇權報酬不對現在的股票報酬有影響。表示選擇權並無價格發現的功能，反倒是股價領先選擇權的價格。
至於選擇權的交易量是否有助於推測未來的股價? 再以簡單的迴歸模型檢定，選擇權的交易量在股票大額交易前後是否有顯著的變動情形。實證結果顯示，選擇權交易量在股票大額交易前亦無顯著增加的情形，無法利用交易量來猜測未來股價的可能方向。

The suggestion in the literature that options provide a superior investment vehicle implies that informed investors may prefer to trade in options, thereby causing the option market to lead the stock market.
This paper investigates the behavior of option and stock returns around large block transactions in the underlying security in order to observe whether the option market does lead the stock market or not. The empirical results indicate that not only uptick block trading but also downtick block trading there is no evidence of any option price reaction before the block trade.
Besides, this paper also investigates the causality of returns on option and returns on stock；that is, dose option returns cause stock returns or just oppositely stock returns cause option returns. The statistical measure is using by vector autoregresstion model whose lag is ten. The results shows that only stock returns cause option returns. So stock option in Taiwan does not have the ability of price discovery.
Finally, this paper investigates if transaction volumes of option can be an indicator of the trend in future stock prices. The answer is also “no”. Transaction volumes of option do not rise statistically before the block trades. That implies that we cannot predict future stock prices thanks to transaction volumes of option.

目 錄
第一章 研究動機與目的 1
第二章 文獻回顧 3
第三章 樣本描述與實證方法 6
第一節 樣本描述 6
1. 母體樣本 6
2. 股票大額交易樣本描述 6
第二節 實證方法 9
1. 股票大額交易前後股票與選擇權報酬率變動情形 9
2. 利用VAR檢定股票報酬與選擇權報酬之間的關係 11
3. 檢定選擇權交易量在股票大額交易前後是否有顯著變化 13
第四章 實證結果 18
1. 股價與選擇權價格在股票大額交易前後的變動情形 18
2. 股票報酬與選擇權報酬之間的關係 24
3. 股票大額交易前後選擇權交易量的變動情形 31
第五章 結論 33
參考文獻 35
附錄 37

參考文獻
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