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研究生:李佳樺
研究生(外文):Chia-hua Lee
論文名稱:選擇權交易和標的股票報酬之關係探討:臺指選擇權的實證研究
論文名稱(外文):Relationship Between Options Trading Activity and Underlying Stock''s Return: Evidences from the Taiwan Index Options
指導教授:李建強李建強引用關係
指導教授(外文):Chien-Chiang Lee
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2018
畢業學年度:106
語文別:中文
論文頁數:56
中文關鍵詞:市場因子臺指選擇權O/S比率
外文關鍵詞:O/S ratioTXOmarket factors
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本文採用Roll et al. (2010)提出的選擇權相對股票交易量比率(O/S比率)應用在台灣市場上,實證結果顯示O/S比率能預測加權指數報酬。因價格的隱含訊息比交易量多,O/S dollar比率相較於O/S volume比率是預測加權指數報酬更好的指標。本研究依Chiyachantana et al. (2004)的市場假說,區分不同的市場情形,分析不同交易者的O/S比率對加權指數報酬的預測力。實證發現在強勢多頭市場的情況時,看漲O/S比率會更有預測力,市場因子是影響股價報酬的重要因素。和過去的研究不同,本研究發現從近年的資料中,自營商在臺指選擇權市場的交易有預測力,並且比起外資更偏好在選擇權市場實現私有資訊。
This research used the option/stock trading volume ratio (O/S ratio) which was adopted by Roll et al. (2010) to the Taiwan market. The empirical results showed that O/S ratio could predict the Taiwan Capitalization-Weighted Stock Index’s future return. Since the implicit information of price is more than the trading volume, the O/S dollar ratio is a better indicator than the O/S volume ratio in predicting the future weighted index returns. This research followed the market hypothesis of Chiyachantana et al. (2004) to distinguish different market conditions and analyze the predict power of different traders’ O/S ratios on weighted index returns. The empirical results showed that in the case of a strong bull market, the bullish O/S ratio had more predict power. The market factor is an important factor that affects future index return. Different from the prior researches, this study found the trading of the dealer in the Taiwan Index Options had predict power in recently years, and it prefers to realize private information in the option market compared with foreign institutional investors.
第一章、緒論 1
1.1 研究背景及動機 1
1.2 研究目的 5
1.3 研究架構 5
第二章、文獻回顧 7
2.1 選擇權交易量和標的股票報酬的關係 7
2.2 O/S比率和標的股票報酬的關係 9
2.3 臺灣相關研究 11
2.4 小結 13
第三章、研究方法 15
3.1 資料來源 15
3.2 敘述統計 15
3.2.1交易量和未平倉量比例 15
3.2.2交易量和未平倉量不平衡變數 17
3.2.3 O/S比率 19
3.2.4 加權指數(TAIEX)報酬率 21
3.3實證模型 21
3.3.1 臺指選擇權(TXO)和加權指數(TAIEX)市場的因果關係 22
3.3.2 O/S比率預測加權指數(TAIEX)報酬率 23
3.3.3 在不同市場情形下以O/S比率預測加權指數(TAIEX)報酬率 24
3.3.4 分析O/S volume比率和O/S dollar比率預測力差異 26
第四章、實證結果 28
4.1 臺指選擇權(TXO)和加權指數(TAIEX)市場的因果關係 28
4.2 O/S比率預測加權指數(TAIEX)報酬率 29
4.3 在不同市場情形下以O/S比率預測加權指數(TAIEX)報酬率 34
4.4 分析O/S volume比率和O/S dollar比率預測力差異 37
第五章、結論 43
參考文獻 45
中文文獻
郭玟秀(2014), 「市場狀態和台灣選擇權交易活動與股價關係之探討」, 《應用經濟論叢》, 第95期, 101-145.
張傳章、謝佩芳(2016), 「台灣選擇權市場交易活動之實證研究:文獻回顧及展望」, 《經濟論文叢刊》, 第44卷1期, 57-75.
賴惟正(2012), 「O/S:投資人在選擇權和現貨市場相對投資行為研究:以台灣加權指數市場為例」, 《中央大學財務金融學系碩士論文》.

英文文獻
Cao, C., Z. Chen, and J. Griffin (2005), “Informational content of option volume to takeovers”, Journal of Business, 78, 1073-1109.
Chakravarty, S., H. Gulen, and S. Mayhew (2004), "Informed Trading in Stock and Option Market", The Journal of Finance, 59:1235-1258.
Chan, K., Y. Chung, and W. Fong (2002), “The Informational Role of Stock and Option Volume”, Review of Financial Studies, 15, 1049-1075.
Chan, K., Y. Chang, and P. Lung (2009), “Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options”, Pacific-Basin Finance Journal, 17, 189-208.
Chang, C., P. Hsieh, and H. Lai (2009), “Do informed option investors predict stock returns evidence from the Taiwan stock exchange”, Journal of Banking & Finance, 33(4), 757-764.
Chiyachantana, C., P. Jain, C. Jiang, and R. Wood (2004), “International Evidence on Institutional Trading Behavior and Price Impact”, The Journal of Finance, 59:869-898.
Chordia, T., S. Huh, and A. Subrahmanyam (2007), “The cross-section of expected trading activity”, Review of Financial Studies, 20, 709-740.
Dennis, P. and S. Mayhew (2002), “Risk-neutral Skewneww: Evidence from Stock Options”, Journal of Financial and Quantitative Analysis, 37, 471-493.
Easley, D., M. O’Hara, and P. Srinivas (1998), “Option Volume and Stock Prices: Evidence on Where Informed Traders Trade”, Journal of Finance, 53, 431-465.
Fabozzi, F. and J. Francis (1977), “Stability Tests for Alphas and Betas over Bull and Bear Market Conditions”, Journal of Financial Economics, 32, 1093-1099.
Ge, L., T. Lin, and N. Pearson, (2015), “Why does the option to stock volume ratio predict stock returns?”, Journal of Financial Economics, 120, 601-622.
Granger, C. (1969), “Investigating causal relations by econometric models and cross-Spectral methods.”, Econometrica, 37, 424-438.
Granger, C. and P. Newbold. (1974), “Spurious regressions in econometrics.”, Journal of Econometrics, 2, 111-120.
Hsieh, W. and H. He (2014), “Informed Trading, Trading Strategies and the Information Content of Trading Volume: Evidence from the Taiwan index options market”, Journal of International Financial Markets, Institutions & Money, 31, 187-215.
Johnson, T. and E. So (2012), “The option to stock volume ratio and future returns”, Journal of Financial Economics, 106(2), 262-286.
Kamesaka, A., J. Nofsinger, and H. Kawakita (2003), “Investment patterns and performance of investor groups in Japan”, Pacific-Basin Finance Journal, 11, 1-22.
Lee, Y. and D. Wang (2016), “Information content of investor trading behavior: Evidence from Taiwan index options market”, Pacific-Basin Finance Journal, 38, 149-160.
Pan, J. and A. Poteshman (2006), “The information in options volume for future stock prices”, Review of Financial Studies, 19, 871-908.
Pan, J. and A. Poteshman (2008), “Volatility information trading in the options market”, Journal of Financial, 63, 1059-1091.
Roll, R., E. Schwarz, and A. Subrahmanyam (2010), “O/S: The relative trading activity in options and stock”, Journal of Financial Economics, 96, 1-17.
World Federation of Exchanges (2005-2017), “IOMA Derivatives Market Survey”, Available online at: https://www.world-exchanges.org/home/index.php/statistics/annual-statistics#IOMA
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