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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30992


    Title: 台指選擇權盤前交易量不平衡的資訊內涵
    Authors: 洪彥文
    Contributors: 杜化宇
    洪彥文
    Keywords: 台指選擇權
    資訊內涵
    Date: 2006
    Issue Date: 2009-09-14 09:01:21 (UTC+8)
    Abstract: 台指選擇權契約自民國九十年底開始交易至今不過短短數年，成交量已迅速竄升至全球第三名。在如此大量的選擇權交易下，台指選擇權在台灣股市開盤前的交易是否隱含可以預測當日台股加權指數走勢的未公開資訊？或投資人僅是反映前一個交易日收盤後至當日開盤前所累積的已公開資訊？又或者是投資人僅依據雜訊 (noise)而交易？

    本研究以在台灣期貨交易所交易之台指選擇權契約做為研究標的，取每日開盤前15分鐘的交易資料、經計算處理後得到 ”選擇權交易量不平衡” (Option Volume Imbalance)為解釋變數，並嘗試加入虛擬變數與交互作用變數以提高模型解釋能力。檢驗結果顯示台指選擇權在開盤前的交易主要應是反映前一個交易日收盤後至當日所累積的已公開資訊、而並不具有能夠預測當日加權股價指數的未公開資訊。且台指選擇權對於台股加權指數報酬率的解釋能力並不因週一至週五不同的交易日而有所差異。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    94357018
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094357018
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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