本篇論文主要研究投資人在選擇權與標的現貨市場的相對投資行為對未來現貨報酬的預測能力。Roll et al.(2010)率先提出O/S指標變數來量化投資人在選擇權市場和現貨市場的投資相對行為，因而本研究將O/S的概念延伸到台灣加權指數選擇權市場並且研究不同投資人所建構的O/S指標對台灣加權指數未來報酬率的預測能力。本研究同時建構了O/S(Bull)和O/S(Bear)兩個變數，改良單純的O/S指標使其可以反應市場方向性。經由本文實證發現，以不同投資人樣本進行分析後，外資法人在台指選擇權與台灣加權指數現貨市場的相對投資行為對次日的台指報酬率具有隱含資訊，並且外資法人對市場上重大總體事件的發生也具有顯著的預測能力。O/S(Bull)比率在市場重大事件發生前有顯著的增加代表投資人投資在選擇權市場的交易量相對現貨市場增加，而O/S(Bull)對次日台灣加權指數報酬的迴歸系數為正代表O/S可以正確的預測台灣市場指數未來走向。此外，本篇研究也發現外資法人的O/S指標對台灣加權指數的次日波動度同樣具有顯著的預測能力。In this paper, we follows the approach of Roll et al.(2010) which first develops a simple empirical construct, the options/stock trading volume ratio (O/S) which is a variable to measure the relative trading activity in options and stock. Our study extends the O/S concept on TAIEX option market and construct directional variables, O/S(Bull) and O/S(Bear), to investigate if O/S of different types of traders could predict future TAIEX index returns with right direction. Our empirical results explore strong evidence that O/S of foreign institutional investors contains information to future TAIEX index returns and foreign institutional investors also have significant predict power to upcoming macro-economic events which may impact the whole market. O/S(Bull) is higher before the events shock suggesting increased trades in options market and O/S(Bull) is positively related to next-day index return indicating the O/S ratio could predict future index return with right direction. Moreover, we also further investigate the predictability of O/S to future volatility of TAIEX index and we find the foreign institutional investors still have the most significant predict power to future TAIEX index volatility.
