(3.238.249.17) 您好!臺灣時間:2021/04/14 12:06
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:羅悅寧
研究生(外文):Yueh - Ning Lo
論文名稱:波動度資訊投資人委託單選擇之研究 :以台指選擇權為例
論文名稱(外文):Order Behavior of Informed Volatility Traders : The Case of Taiwan Stock Index Option
指導教授:蔡蒔銓蔡蒔銓引用關係
指導教授(外文):Shih - Chuan Tsai
學位類別:碩士
校院名稱:國立臺灣師範大學
系所名稱:管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:101
語文別:中文
論文頁數:60
中文關鍵詞:波動度需求波動度資訊投資人跨式策略勒式策略
外文關鍵詞:volatility demandinformed volatility traderstraddle strategystrangle strategy
相關次數:
  • 被引用被引用:2
  • 點閱點閱:206
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:49
  • 收藏至我的研究室書目清單書目收藏:2
本研究探討台指選擇權不同下單積極度的投資人,其波動度需求( Vega demand )對標的資產未來實際波動度的預測能力是否有顯著的不同。研究結果發現,外資、本國法人與散戶三者加總的波動度需求,以及三者加總的不積極的限價單與市價單的波動度需求,對次一日至次五日標的資產價格的實際波動度有正向顯著預測能力。從投資人類型來看,整體來說外資與本國法人最有預測能力,散戶最沒有預測能力。從個別類型投資人的投資行為來看,外資的小型委託單、不積極限價單和部分市價單,新倉買入賣權與新倉賣出買權的波動度需求有正向顯著預測能力。本國法人的大型委託單與新倉買入賣權、新倉賣出買權、平倉買入買權、平倉買入賣權的委託單的波動度需求有正向顯著預測能力。散戶的市價單與平倉買入賣權的波動度需求有正向顯著預測能力,但是散戶的積極限價單、跨式策略(straddle strategy)與新倉買入買權、新倉買入賣權、新倉賣出賣權、平倉賣出買權、平倉賣出賣權的波動度需求有負向顯著預測能力。外資、本國法人與散戶三者加總的跨式策略(straddle strategy)與勒式策略(strangle strategy)波動度需求不具預測能力。從投資人類型來看,外資的勒式策略對次一日標的資產價格的實際波動度有正向顯著預測能力,散戶的跨式策略對次一日至次五日標的資產價格的實際波動度有負向顯著預測能力。外資、本國法人與散戶三者加總的大型與小型委託單有正向顯著預測能力,從投資人類型來看,外資的小型委託單對次一日至次五日標的資產價格的實際波動度有正向顯著預測能力。金融風暴前外資、本國法人與散戶三者加總的波動度需求有預測能力,但該預測能力於金融風暴後消失。外資、本國法人與散戶三者加總的波動度需求於台指選擇權契約到期日前一天至前五天無預測能力,可能原因是這段時間的委託單多為平倉或轉倉目的,而非單純波動度需求。
This study investigates whether different levels of aggressiveness of investor’s volatility demand (Vega demand) shows different predict power toward future realized volatility of Taiwan stock index. Our empirical results shows that the aggregate volatility demand have positive predict power, aggregate volatility demand of passive limit order and market order shows positive predict power. Overall, foreign institution and domestic institution have strongest predict power, individual have least predict power. Foreign institution's small order, passive limit order, some market order, open buy put and open sell call have positive predict power. Domestic institution's big order, open buy put , open sell call , close buy call , close buy put have positive predict power. Individual's market order, close buy put have positive predict power, but its aggressive limit order, straddle strategy, open buy call , open buy put , open sell put , close sell call and close sell put have negative predict power. Aggregate volatility demand of straddle strategy and strangle strategy have no predict power. Foreign institution's strangle strategy have positive predict power, individual's straddle strategy have negative predict power. Aggregate volatility demand of big and small order have positive predict power, foreign institution's small order have positive predict power. Aggregate volatility demand shows positive predict power before the financial crisis, but vanished afterwards. Aggregate volatility demand have no predict power during one to five days before maturity of each month, the reasons could be investors' major purpose during this period is change positions or close positions, not just seeking for volatility.
第一章 緒論
一、研究動機 ………………………………………………………1
二、研究目的 ………………………………………………………1
三、研究架構 ………………………………………………………2
四、研究流程 ………………………………………………………6
第二章 文獻回顧
一、金融市場私有資訊相關文獻 …………………………………7
二、投資人下單積極度相關文獻 …………………………………8
三、投資人行為與波動度相關文獻 ………………………………10
四、交易策略相關文獻 ……………………………………………11
五、到期日效應相關文獻 …………………………………………12
第三章 研究設計與方法
一、 資料介紹
1. 樣本選取與樣本期間 ……………………………………13
2. 投資人分類 ………………………………………………15
二、實證模型
1. 積極度分類(以委託價分類) ……………………………16
2. 積極度分類(以委託量分類) ……………………………17
3. 跨式策略與勒式策略 ……………………………………18
4. 到期日效應與金融海嘯前後 ……………………………19
5. 變數定義 …………………………………………………23
6. 迴歸模型 …………………………………………………25
第四章 實證結果與分析
一、敘述統計 ………………………………………………………29
二、整體波動度需求實證結果 ……………………………………32
三、外資波動度需求實證結果 ……………………………………40
四、本國法人波動度需求實證結果 ………………………………44
五、散戶波動度需求實證結果 ……………………………………48
六、到期日與金融海嘯前後整體波動度需求實證結果 …………52
第五章 結論與研究限制 …………………………………………………55
參考文獻………………………………………………………………………58

Amber Ananda, Sugato Chakravartyb, Terrence Martell, 2005. Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. Journal of Financial Markets 8: 289 - 309
Anthony Richards, 2004. Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets. Journal of Financial and Quantitative Analysis 40: 1 - 27
Angelo Ranaldo, 2004. Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets 7: 53 - 74
Bruno Biais, Pierre Hillion, Chester Spatt, 1995. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. The Journal of Finance 50(5): 1655 - 1689
Brad M. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, 2009. Just How Much Do Individual Investors Lose by Trading? Review of Financial Studies 22(2): 609 - 632
Chuang - Chang Chang, Pei - Fang Hsieh, Hung - Neng Lai, 2008. Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange. Journal of Banking &; Finance 33(4): 757 - 764
Chuang - Chang Chang, Pei - Fang Hsieh, Yaw - Huei Wang, 2010. Information content of options trading volume for future volatility: Evidence from the Taiwan options market. Journal of Banking &; Finance 34: 174 – 183
David Easley, Maureen O’Hara, 1987. Price, Trade Size, and Information in Securities Markets. Journal of Financial Economics 19: 69 - 90
Hee-Joon Ahn, Jangkoo Kang, Doojin Ryu, 2008. Informed Trading In The Index Option Market: The Case Of KOSPI 200 Options. The Journal of Futures Markets 28(4): 1118 - 1146
Jangkoo Kang, Hyoung Jin Park, 2008. The information content of net buying pressure:
Evidence from the KOSPI 200 index option market. Journal of Financial Markets 11: 36 - 56
Jason Lee, Cheong H Yi, 2001. Trade Size and Information - Motivated Trading in the Options and Stock Markets. Journal of Financial and Quantitative Analysis 36(4): 485 - 501
Josef Lakonishok, Inmoo Lee, Neil D. Pearson, Allen M. Poteshman, 2006. Option Market Activity. Review of Financial Studies 20(3): 813-857
Joel Hasbroucl, 1991. Measuring the Information Content of Stock Trades. The Journal of Finance 46: 179 - 207
Jun Pan, Allen M. Poteshman, 2006. The Information in Option Volume for Future Stock Prices. Review of Financial Studies 19(3): 871 - 908
Mark D Griffiths, Brian F Smith, D Alasdair S Turnbull, Robert W White, 2000. The costs and determinants of order aggressiveness. Journal of Financial Economics 56: 65 - 88
Nicolas P. B. Bollen and Robert E. Whaley, 2004. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? The Journal of Finance 59: 711 - 753
Ron Kaniel and Hong Liu, 2006. So What Orders Do Informed Traders Use? Journal of Business 79(4): 1867 - 1914
Rudiger Fahlenbrach, Patrik Sandas, 2010. Does information drive trading in option strategies? Journal of Banking &; Finance 34: 2370 - 2385
Robert Bloomfield, Maureen O’Hara,Gideon Saar, 2005. The “Make or Take” Decision in an Electronic Market: Evidence on the Evolution of Liquidity. Journal of Financial Economics 75: 165 - 199
Sophie X. Ni, Jun Pan, Allen M. Poteshman, 2008. Volatility Information Trading in the Option Market. The Journal of Finance 63(3): 1059 - 1091
Tomas Dvorak, 2005. Do Domestic Investors Have an Information Advantage? Evidence from Indonesia. The Journal of Finance 60(2): 817 - 39
Ying - Foon Chow, Haynes H. M. Yung, Hua Zhang, 2002. Expiration day effects : The case of Hong Kong. The Journal of Futures Markets 23(1) : 67–86

連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔