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研究生:戴子涵
研究生(外文):Tzu-Han Tai
論文名稱:台灣指數選擇權的散戶情緒與報酬之間的關係
論文名稱(外文):The Relationship between Individual Investor Sentimentand Option Returns: Evidence from TAIEX Options
指導教授:王銘駿王銘駿引用關係
指導教授(外文):Ming- Chun Wang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融理財研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:英文
論文頁數:55
中文關鍵詞:總體經濟變數散戶情緒
外文關鍵詞:Retail Investor SentimentMacroeconomic Variables
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本篇是在研究個別投資人在買進或賣出選擇權時是否具有一致性。我們使用台灣期貨交易所的資料庫去檢視2002~2004年間個別投資人的交易行為。而我們的研究結果顯示,具有系統性的散戶交易可以解釋價內選擇權和價外選擇權的報酬具有反向移動的現象,特別是那些投資組合價值較低的價內選擇權和價外選擇權。也就是說,當投資人的情緒起伏波動越大,那麼投資人就越容易做出錯誤的判斷因而導致投資報酬率降低。然而,總體經濟變數〈例如:市場超額報酬、每月工業生產成長率、違約風險貼水、利率期間結構、預期以及非預期通貨膨脹率〉只有部分變數可以解釋這個結果。總而言之,這裡所探討的因素支持散戶情緒以選擇權特性做分類的型式來呈現的重要性。如果本研究所使用的以選擇權特性做分類的散戶情緒能夠用來研究交易行為的話,那麼本模式可望成為未來研究所需的工具。
This study is to evidence whether individuals buy or sell options in concert. Using the database of Taiwan futures exchange over 2002-2004, we examine the trading behavior of the individual investors. We find that systematic retail trading explains returns move in the opposite direction for in-the-money and out-of-the-money options, especially if these options are also with lower portfolio size. That is, if retail sentiments become larger fluctuations, individual investors are more likely to make misjudgments and cause a decline in investment returns. However, only partial macroeconomic variables (i.e., market return in excess of the risk-free rate, monthly growth in industrial production, change in the risk premium, change in the term spread, unexpected and expected inflation) can explain these results. Overall, the factors studied here support the importance of retail sentiment in the formation of characteristic-sorted options. If this formation of investor sentiment used for this study, in fact, be used to study trading behavior, this formation can become a necessary tool in future research.
Content

摘要 i
ABSTRACT ii
誌 謝 iii
Content iv
List of Tables v
I、Introduction 1
1.1 Background and motivation 1
1.2 Purpose of research 2
1.3 Contributions and limitations 4
1.4 Research framework 5
II、Literature review 6
III、Data and methodology 11
3.1 Evidence of Market-Wide Systematic Element 11
3.2 Retail Sentiment Changes and Option Returns 15
3.3 The Influence of Sentiment in Other Retail “Habitats” 17
IV、Empirical finding and analysis 19
V、Conclusion and remarks 23
References 44











List of Tables


Table I: Summary Statistics: Retail Investor Trading Behavior………….25

Table II: The correlations among retail trading activities………………...29

Table III: Category-level BSI: Time-series statistics and correlation…….31
Table 3-1: Front-month options……………………………………………. 31
Table 3-2: Far-month options……………………………………………. ...31
Table 3-3: In-the-money options …………………………………………. .32
Table 3-4: At-the-money options …………………………………………...32
Table 3-5: Out-of-the-money options……………………………………….33

Table IV: Time-series factor model for characteristic portfolios…………34
Table 4-1: Front-month options …………………………………………….35
Table 4-2: Far-month options ………………………………………………36
Table 4-3: In-the-money options…………………………………………... 37
Table 4-4: At-the-money options……………………………………………38
Table 4-5: Out-of-the-money options ………………………………………39

Table V: Ownership concentration & trading activity of retail investors...40

Table VI: BSI loadings for portfolios formed on option characteristics….42  
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