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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53814


    Title: 選擇權盤前期間的交易包含資訊內涵或學習行為嗎？國內與國外指數選擇權的探討
    Other Titles: Do Option Trades on the Pre-Open Session Contain Information Content or Learning Behavior? Evidence from Domestic and Foreign Index Options
    Authors: 杜化宇
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 選擇權交易;選擇權資訊內涵;股價指數選擇權;選擇權價格發現
    Option trading;Stock Index Options;Information contents of options;Learningbehavior
    Date: 2008
    Issue Date: 2012-10-22 11:10:47 (UTC+8)
    Abstract: 在大部分的選擇權市場中，其開盤的時間一般都比現貨市場提早15 分鐘(稱為盤前 期間)。本研究目的在探討指數選擇權的盤前期間的交易是否包含資訊內涵。我們探討 二個議題：首先，盤前期間選擇權買賣量不平衡是否含有資訊內涵以及是否能有效預測 當日開盤後現貨股價指數的移動？其次，盤前期間的選擇權交易價格是否存在學習行 為？本研究採用的樣本除了國內的台指選擇權之外，我們尚探討在芝加哥交易的 S&P500 指數選擇權、道瓊指數選擇權以及NASDAQ 指數選擇權等。在探討學習效果 的分析中，我們採用無偏迴歸(unbiased regression)的研究方法。假若上述二個假說成立， 這表示盤前期間的設計是有助於選擇權的價格發現功能。
    Options markets always open earlier than the underlying cash markets by 15 minutes. This study examines whether the extended opening session contains useful information about spot returns. It concerns whether the option volume imbalance can effectively explain the overnight stock returns or/and predict the subsequent intraday stock returns. Further, it also tests the hypothesis that pre-opening options prices reflect learning by using the unbiased regression method. Intraday data are used for the Taiwan stock index option and three index options (S&P 500, Dow Jones and NASDAQ) traded on Chicago Board of Options Exchange (CBOE).
    Relation: 應用研究
    學術補助
    研究期間:9708~ 9807
    研究經費:673仟元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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