臺灣博碩士論文加值系統

本研究主要是依據Barclay 和Warner (1993)所提出之方法，探討台灣指數選擇權市場是否存在著隱藏性交易行為(stealth trading behavior)。我們發現台指選擇權市場上大部分的累積變動是來自於小型單的交易，而與其所對應之交易次數和交易量皆不成比例，隱含著該市場上的私有資訊者(informed investors)傾向使用小型單。此外本研究也探討選擇權的特性對隱藏性交易行為之影響，實證結果指出價內選擇權的累積價格變動主要來自於小型單；然而，價外以及近價平的選擇權之累積價格變動卻來自於中型單的交易。由於我們所採用的資料具有其特殊性，使得我們進一步地發現那些主要導致累積價格變動的小型單之交易者為機構法人。而研究結果也證實了一般被視為是私有資訊者的國外法人，其交易行為所產生的主要累積價格變動卻是來自於中型單的交易。

In this thesis, we investigate the stealth trading behaviors by analyzing which trades move price for the TAIEX option market. We find that small-sized trades are associated with a disproportionately large cumulative option-series price change relative to their proportion of trading frequency and volume separately. Besides, we also consider the effects of option characteristics, such as moneyness, on fragmenting trades. Our finding reveals that the largest cumulative price changes from the in-the-moneyness options are attributed to the small trades; whereas, for the out-the-moneyness and the near-the-moneyness options, medium-sized trades are responsible for the most price movements. Due to having the unique dataset, we further verify that the source of this disproportionately large price impact of small-sized trades is mainly initiated by institutions. Moreover, for individual investors, most of the cumulative price changes come from the medium-sized trades.

中文摘要 ........................................................................................................................ I
Abstract ......................................................................................................................... II
誌謝辭 ......................................................................................................................... III
List of Table .................................................................................................................. V
1.Introduction ................................................................................................................. 1
2. Hypotheses and Methodology ................................................................................... 5
2.1 Trading Hypotheses ......................................................................................... 5
2.2 Dependent variable .......................................................................................... 6
2.3 Weighted least square regression ..................................................................... 7
3. Data and Classification .............................................................................................. 9
3.1 Data .................................................................................................................. 9
3.2 Trade Size Classification.................................................................................. 9
3.3 Summary Statistics ......................................................................................... 10
4. Empirical Results ..................................................................................................... 11
4.1 All price changes ............................................................................................ 11
4.2 Stealth trading Behaviors varying with option characteristics ...................... 13
4.3 Stealth trading behaviors across different identities of investors .................. 15
5. Conclusions .............................................................................................................. 18
References .................................................................................................................... 19

Anand, A. and S. Chakravarty, 2007, “Stealth Trading in Options Markets”, Journal of Financial and Quantitative Analysis, Vol.42, No.1, pp.167-188

Barclay, M. J. and J. B. Warner, 1993, “Stealth Trading and Volatility: Which Trades Move Prices?” Journal of Financial Economics, Vol.34, No.3, pp.281-305

Cai, B. M., C. X. Cai and K. Keasey, 2006, “Which Trades Move Prices in Emerging Markets? Evidence from China’s Stock Market”, Pacific-Basin Financial Journal, Vol.14, pp.453-466

Chakravarty, S., 2001, “Stealth-Trading: Which Trader’ Trades Move Stock Prices?” Journal of Financial Economics, Vol.61, No.2, pp.289-307

Chakravarty, S., Gulen, H., Mayhew, S., 2004, “Informed Trading in Stock and Option Markets”, Journal of Finance, Vol.59, pp.1235-1257

Chang, C.-C., P.-F. Hsieh and H.-N. Lai, 2008, “Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange”, Journal of Banking and Finance

Lu, Y.-C., 2008, “Does Stealth Trading Behavior and Price Manipulation Reveal in the Institutional Investors in the Taiwan Stock Market?” (Working paper)

Pan, J. and A. M. Poteshman, 2006, “The Information in Option Volume for Future Stock Prices”, Review of Financial Studies, Vol. 19, pp.871-220