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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30992


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/30992


    題名: 台指選擇權盤前交易量不平衡的資訊內涵
    作者: 洪彥文
    貢獻者: 杜化宇
    洪彥文
    關鍵詞: 台指選擇權
    資訊內涵
    日期: 2006
    上傳時間: 2009-09-14 09:01:21 (UTC+8)
    摘要: 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。
    參考文獻: 1. Admati, Anat R. and Paul Pfleiderer (1988), “A theory of intraday patterns: volume and price volatility”, Review of Financial Studies, Vol. 1 (1), 3 – 40.
    2. Amihud, Yakov and Haim Mendelson (1987), “Trading mechanisms and stock returns: An empirical investigation”, Journal of Finance, Vol. 42 (3), 533-553.
    3. Amihud, Yakov and Haim Mendelson (1991), “Volatility and trading: Evidence from the Japanese stock market”, Journal of Finance, Vol. 46 (5), 1765-1789.
    4. Barclay, Michael J. and Terrence Hendershott (2003), “Price discovery and trading after hours”, Review of Financial Studies, Vol. 16 (4), 1041-1073.
    5. Berchtold, Fredrik and Lars Nordén (2005), ”Information flows and option bid/ask spreads”, Journal of Futures Markets, Vol. 25 (12), 1147-1172.
    6. Brock, William A. and Allan W. Kleidon (1992), “Periodic market closure and trading volume: A model of intra day bids and asks”, Journal of Economic Dynamics and Control, Vol. 16, 451-489.
    7. Brown, Gregory W. and Michael T. Cliff (2004), “Investor sentiment and asset valuation”, Journal of Business, Vol. 78 (2), 405-440.
    8. Brown, Gregory W. and Michael T. Cliff (2004), “Investor sentiment and the near-term stock market”, Journal of Empirical Finance, Vol. 11 (1), 1-27.
    9. Cairney, Timothy, and Judith Swisher (2004), “The role of the options market in the dissemination of private information”, Journal of Business Finance and Accounting, Vol. 31 (7-8), 1015-1041.
    10. Cao, Charles, Zhiwu Chen and John M. Griffin (2005), “Informational content of option volume prior to takeovers”, Journal of Business, Vol. 78 (3), 1073-1109.
    11. Chakravarty, Sugato, Huseyin Gulen, and Stewart Mayhew (2004), “Informed Trading in Stock and Option Markets”, Journal of Finance, Vol. 59 (3), 1235-1258.
    12. Chan, Kalok, Y. Peter Chung, and Wai-Ming Fong (2002), “The Informational Role of Stock and Option Volume”, The Review of Financial Studies, Vol. 15 (4), 1049-1075.
    13. Chan, Yue-cheong (2005), “Who trades in the stock index futures market when the underlying cash market is not trading?” Pacific-Basin Finance Journal, Vol.13 (5) 547-561.
    14. Chang, Eric C., Prem C.Jain, and Peter R. Locke (1995), “Standard and Poor’s 500 index futures volatility and price changes around the New York Stock Exchange close”, Journal of Business, Vol.68 (1), 61– 84.
    15. Cheng, Louis T. W., Li Jiang, and Renne W. Y. Ng (2004), “Information content of extended trading for index futures”, Journal of Futures Markets, Vol. 24 (9), 861–886.
    16. Easley, David, Maureen O`Hara and P.S. Srinivas (1998),”Option volume and stock prices: Evidence on where informed traders trade”, Journal of Finance, Vol. 53 (2), 431-465.
    17. Fong, Kingsley and Alex Frino (2001), “Stock market closure and intraday stock index futures market volatility: ”Contagion ,” bid–ask bias or both?”, Pacific Basin Finance Journal, Vol. 9 (3), 219– 232.
    18. Forster, Margaret M. and Thomas J. George (1996), “Pricing Errors at the NYSE open and close: evidence from internationally cross-listed stocks”, Journal of Financial Intermediation, Vol. 5 (2), 95-126.
    19. Foster, F. Douglas and S. Viswanathan (1990), “A theory of the interday variations in volume, variance, and trading costs in securities markets”, Review of Financial Studies, Vol. 3 (4), 593–624.
    20. Girma, Paul Berhanu and Mbodja Mougoue (2002), “An empirical examination of the relation between futures spreads volatility, volume, and open interest”, Journal of Futures Markets, Vol.22 (11), 1084-1102.
    21. Ho, Richard Yan-ki and Raymond Siu-kuen Lee (1998), “Market closure effects on return, volatility, and turnover patterns in the Hong Kong index futures market”, Journal of International Financial Markets, Institutions, and Money, Vol. 8 (3-4), 433– 451.
    22. Holmes, Phil and Mark Tomsett (2004), “Information and noise in U.K. futures markets”, Journal of Futures Markets, Vol. 24 (8), 711-731.
    23. King, Mervyn A. and Sushil Wadhwani (1990), “Transmission of volatility between stock markets”, Review of Financial Studies, Vol. 3 (1), 5 –33.
    24. Kumar, Raman, Atulya Sarin, and Kuldeep Shastri (1998), “The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis “, Journal of Finance, Vol. 53 (2), 717-732.
    25. Lee, Charles M. C. and Mark J. Ready (1991), “Inferring Trade Direction from Intraday Data”, Journal of Finance, Vol. 46 (2), 733-746.
    26. Lee, Jason and Cheong H. Yi (2001), “Trade Size and Information-Motivated Trading in the Options and Stock Markets”, Journal of Financial and Quantitative Analysis, Vol. 36 (4), 485-501.
    27. Meulbroek, Lisa (1992), “An empirical analysis of illegal insider trading”, Journal of Finance, Vol. 47 (5), 1661-1699.
    28. Ross, Stephen A. (1976), “Options and efficiency”, Quarterly Journal of Economics, Vol. 90 (1), 75-89.
    29. Schlag, Christian and Hans Stoll (2005), “Price impact of options volume”, Journal of Financial Markets, Vol. 8 (1), 69-87.
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    31. Vijh, Anand M. (1990), “Liquidity of the CBOE Equity Options”, Journal of Finance, Vol. 45 (4), 1157-1179.
    描述: 碩士
    國立政治大學
    財務管理研究所
    94357018
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094357018
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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