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研究生:林奕成
研究生(外文):LIN, I-CHENG
論文名稱:台灣加權指數與台指選擇權交易量 之分量迴歸分析
論文名稱(外文):A Quantile Regression analysis of the Taiwan Stock Index and the trading volume of Taiwan Stock Index Option
指導教授:張大成張大成引用關係
指導教授(外文):CHANG, TA-CHENG
口試委員:黃啟瑞黃健銘
口試委員(外文):HUANG, CHI JUIHUANG, CHIEN-MING
口試日期:2022-06-11
學位類別:碩士
校院名稱:東吳大學
系所名稱:國際經營與貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2022
畢業學年度:110
語文別:中文
論文頁數:44
中文關鍵詞:台灣加權指數O/SPut-Call Ratio分量迴歸預測能力
外文關鍵詞:TAIEXO/SPut-Call RatioQuantile RegressionPredicion
相關次數:
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  • 收藏至我的研究室書目清單書目收藏:1
由於槓桿效應的優點,交易選擇權可能比交易股票對知情交易者更具吸引力。我們想了解投資者的選擇權相關交易活動是否能夠預測標現貨的未來報酬。
為了衡量選擇權對現貨未來報酬率的預測能力,本文以Roll, Schwartz and Subrahmanyam(2010) 建構的選擇權/股票交易量比率 (Option/Stock ratio, O/S)為基礎,使用台灣經濟新報專業版資料庫(Taiwan Economic Journal Professional, TEJ Pro)中的台灣加權指數價量資料和台灣期貨交易所官方網站的選擇權細分資料建立台指選擇權的O/S ratio。相較於Hsieh, Chang, Lai and Hsu (2017) 的文獻中使用Easley, O’Hara, and Srinivas (1998) 的多空二分法(Bull or Bear)建構O/S ratio,本研究使用買賣權二分法(Call or Put)來建立O/S ratio。
本文擷取市場三大法人中外資與自營商的交易資料,將其分類為外資 f 和自營商 d 來建立各自對應的O/S ratio,並將上述投資者的O/S ratio在19個不同的分量上進行分量迴歸分析。
本研究發現發現外資的O/S ratio對次日的TAIEX報酬率有顯著的預測能力,外資在選擇權市場的交易方向與次日的TAIEX報酬率呈顯著負相關。

Trading options may be more attractive than trading stocks to informed traders due to the advantages of leverage. We wanted to know whether investors' option-related trading activity could predict future returns on the underlying spot.
This article is based on the Option/Stock ratio(O/S) constructed by Roll, Schwartz and Subrahmanyam (2010). We use the Taiwan-weighted index price-volume data from Taiwan Economic Journal Professional edition database (TEJ Pro) and the option’s volume data from Taiwan Futures Exchange to establish the O/S ratio of Taiwan index options and measure their predictability on spot future returns. This article uses the Call and Put dichotomy to establish the O/S ratio which differs from Hsieh et al. (2017) and Easley et al. (1998)’s Bull and Bear dichotomy.
This article extracts the transaction data of two major juridical person in the market, foreign investment and dealer, and classifies them into foreign investment f and dealer d to establish their respective O/S ratios. Two major juridical person’s O/S ratio are analyzed by Quantile Regression on 19 different quantiles.
This article finds that foreign investment’s O/S ratio has a significant predictability for the next day return rate of TAIEX. There is a significant negative correlation between the foreign investment’s trading behavior and the next day return rate of TAIEX in the option market.

第一章 序論 8
第二章 文獻回顧 11
2.1資訊交易者(Informed Traders) 11
2.2交易量與現貨未來報酬率 13
2.3 選擇權/股票交易量比率(Option/Stock ratio, O/S) 14
2.4 選擇權看跌/看漲比率(Put/Call ratio, PCR) 16
2.5衍生性商品交易量的分量迴歸 16
第三章 研究方法 18
3.1資料來源 18
3.2變數分析 18
3.2.1 選擇權/股票比率(Option/Stock ratio, O/S) 18
3.2.2 賣權/買權比率(Put/Call ratio, PCR) 19
3.3研究模型 21
3.4實證模型 22
第四章 實證分析結果 23
4.1樣本敘述統計 23
4.2主要分量迴歸分析 26
4.3對稱性檢定 28
4.4考慮台灣加權指數當日報酬率的影響 29
第五章 穩健性檢定 33
5.1模型一與模型二的穩健性檢定 33
5.2模型一與模型二的穩健性檢定綜合比較 36
第六章 結論 38
參考文獻 39
附錄: 文獻整理表 42

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