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研究生:吳國堯
研究生(外文):WU, GUOYAO
論文名稱:選擇權與股票現貨相對交易量與股票現貨報酬率之關聯
論文名稱(外文):O/S: The Relationship between O/S Ratio and Stock Returns
指導教授:楊雅薇楊雅薇引用關係
指導教授(外文):Yang, Ya-Wei
口試委員:郭國泰劉怡媛
口試委員(外文):Kuo, AnthonyYi-Yuan Liu
口試日期:2019-06-13
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融與國際企業學系金融碩士班
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:2019
畢業學年度:107
語文別:中文
論文頁數:58
中文關鍵詞:O/S ratio分量迴歸資訊內涵外資法人選擇權市場
外文關鍵詞:O/S ratioQuantile RegressionInformation ContentForeign Institutional InvestorsOption Market
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本文研究選擇權與現貨的相對交易量與現貨報酬率之間的關聯。針對台灣市場中的外資法人於2007年7月2日至2017年12月31日的投資,使用能夠分別多空投資方向的O/S ratio量化投資人在選擇權以及現貨市場的相對投資行為,並且運用分量迴歸分析O/S ratio與報酬率的關係。實證結果發現,外資法人在台灣加權指數選擇權市場的投資確實有資訊內涵,並且次日的現貨報酬率將會有較大的漲跌幅波動。多頭的O/S ratio上升的次日現貨價格將會上漲,空頭的O/S ratio上升的次日現貨價格將會下跌,並且在現貨的當日交易量及當日報酬率的共同影響下依然有顯著的效果,因此O/S ratio對於報酬率有顯著的預測能力。
This paper studies the relationship between underlying stock returns and relative trading volume of option and stock. We use option/stock trading volume ratio (O/S ratio) classified by bull and bear market to quantify the behaviour of foreign institutional investors in Taiwan from July 2, 2007 to December 31, 2017, and use quantile regression to analyse the relationship between O/S ratio and returns. The empirical results show that the O/S ratio of bull market and stock returns have positive relationship, and the O/S ratio of bear market is negatively associated with stock returns, indicating that the investment of foreign institutional investors in Taiwan has information contents. Further, the effects of O/S ratio on next-day stock returns is still hold after controlling for daily trading volume and daily stock returns. Therefore, O/S ratio has a significant predictive power of underlying stock returns.
第一章 研究動機與目的 1
第二章 文獻回顧與探討 3
第三章 研究方法與模型 6
3.1. 數據來源 6
3.2. 研究方法 6
3.3. 變數定義 7
3.3.1. 〖O/S〗_(t(total))變數 7
3.3.2. 〖O/S〗_(t(bull))變數 7
3.3.3. 〖O/S〗_(t(bear))變數 7
3.3.4. 以O/S ratio預測股價模型 7
3.4. 敘述統計量及單根檢定 8
3.5. 預期結果 9
第四章 實證結果 10
4.1. 模型3.3.4.a.結果 9
4.2. 模型3.3.4.b.結果 13
4.3. 模型3.3.4.c.結果 16
4.4. 模型3.3.4.d.結果 19
4.5. 情境分析 23
4.6. 剔除結算日變量的對比 23
第五章 結論 24
參考文獻 26
附錄1 金融海嘯期間結果表 28
附錄2 金融海嘯後結果表 36
附錄3 所有期間 (剔除結算日) 結果表 44
附錄4 金融海嘯期間 (剔除結算日) 結果表 49
附錄5 金融海嘯後 (剔除結算日) 結果表 54


一、中文文獻
1.封福育 (2008),我國滬深股市價量關係實證分析——基於分位數迴歸估計,商業經濟與管理,2005年,200(6),頁75-59。
2.莊家彰、管中閔 (2005),台灣與美國股市價量關係的分量迴歸分析,經濟論文,2005年,33(4),頁379-404。
3.張傳章、謝佩芳 (2016),台灣選擇權市場交易活動之實證研究:文獻回顧與展望,經濟論文叢刊,2016年,44(1),頁57-75。

二、英文文獻
Anthony, Joseph H. (1988), The Interrelation of Stock and Options Market Trading-Volume Data, Journal of Finance, 43(4), 949–964.
Back, Kerry (1993), Asymmetric Information and Options, Review of Financial Studies, 6(3), 435–472.
Black, Fischer (1975), Fact and Fantasy in the Use of Options, Financial Analysts Journal, 31(4), 36–41, 61–72.
Black, Fischer and Myron Scholes (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3), 637–654.
Cao, Charles, Zhiwu Chen, and John M. Griffin (2005), Informational Content of Option Volume Prior to Takeovers, Journal of Business, 78(3), 1073–1109.
Chakravarty, Sugato, Huseyin Gulen and Stewart Mayhew (2004), Informed Trading in Stock and Option Markets, Journal of Finance, 59(3), 1235–1257.
Chan, Kalok, Y. Peter Chung, and Wai-Ming Fong (2002), The Informational Role of Stock and Option Volume, Review of Financial Studies, 15(4), 1049–1075.
Chan, Kalok, Y. Peter Chung, and Herb Johnson (1993), Why Option Prices Lag Stock Prices: A Trading-Based Explanation, Journal of Finance, 48(5), 1957–1967.
Chan, Kam C., Yuanchen Chang, and Peter P. Lung (2009), Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options, Pacific-Basin Finance Journal, 17(2), 189–208.

Chang, Chuang-Chang, Pei-Fang Hsieh, and Hung-Neng Lai (2009), Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange, Journal of Banking and Finance, 33(4), 757–764.
Easley, David, Maureen O’Hara, and P. S. Srinivas (1998), Option Volume and Stock Prices: Evidence on Where Informed Traders Trade, Journal of Finance, 53(2), 431–465.
Han, Bing, Yi-Tsung Lee, and Yu-Jane Liu (2010), Investor Trading Behavior and Performance: Evidence from Taiwan Stock Index Options, Working Paper, University of Texas at Austin.
Hsieh, Pei-Fang, Chuang-Chang Chang, Hung-Neng Lai, and Wei-Sen Hsu (2017), The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange, Journal of Futures and Options, 10(1), 1-39.
Hsieh, Wen-liang G. and Huei-Ru 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 and Money, 31(1), 187–215.
Johnson, Travis and Eric C. So (2012), The Option to Stock Volume Ratio and Future Returns, Journal of Financial Economics, 106(2), 262–286.
Roger Koenker, Gilbert Bassett, Jr. (1978), Regression Quantiles, Econometrica, 46(1), 33-50.
Pan, Jun and Allen M. Poteshman (2006), The Information in Option Volume for Future Stock Prices, Review of Financial Studies, 19(3), 871–908.
Roll, Richard, Eduardo Schwartz, and Avanidhar Subrahmanyam (2010), O/S: The Relative Trading Activity in Options and Stock, Journal of Financial Economics, 96(1), 1–17.
Srinivas, P. S. (1993), Trade Size and the Information Content of Option Trades, Working paper, Cornell University.
Stephan, Jens A. and Robert E.Whaley (1990), Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets, Journal of Finance, 45(1), 191–220.
Vijh, Anand M. (1990), Liquidity of the CBOE Equity Options, Journal of Finance, 45(4), 1157–1179.

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