選擇權交易量的資訊內涵:以S&P500指數選擇權及VIX選擇權為例; The information content of the options volume: Evidence from S&P 500 Index Options and VIX Options

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Title:	選擇權交易量的資訊內涵:以S&P500指數選擇權及VIX選擇權為例;The information content of the options volume: Evidence from S&P 500 Index Options and VIX Options
Authors:	賴冠廷;Lai,Kuan-Ting
Contributors:	財務金融學系
Keywords:	S&P 500 指數選擇權;VIX 選擇權;交易量;買賣權平價公式;交易量加權隱含VIX指數;資訊內涵;金融海嘯;S&P 500 index options;VIX options;trading volume;put-call parity;volume-weighted implied VIX;information content;financial tsunami
Date:	2013-07-17
Issue Date:	2013-08-22 12:03:55 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文探討選擇權市場價格以及交易量的資訊內涵，有鑑於許多研究指出S&P 500 指數選擇權市場對於未來的S&P 500 指數提供重要的資訊。我們更進一步探討VIX 選擇權市場的價格以及交易量的資訊內涵是否與S&P 500 指數有相關，而VIX 選擇權市場所帶來的資訊內涵是否有助於我們預測未來S&P 500 指數。我們的研究結果指出:我們加入交易量考量後所建構的隱含VIX指數的確包含了對於S&P 500 指數的資訊內涵以及VIX指數所代表的S&P500 指數選擇權市場確實包含了對於S&P 500 指數未來報酬的資訊，因此確認了交易量的資訊內涵，而在兩個市場的高低交易量差異部分所造成的資訊差異，我們推測是由於投資人的避險需求而導致。 This article aims to examine the informational roles and the trading volume of options markets. Numerous studies have indicated that the S&P 500 index options market provide critical information on the future dynamics of the S&P 500 index. We therefore investigate further in this study the existence of any relationship between the trading volume of S&P 500 index options market and VIX option market and volatility of the S&P 500 index and whether this relationship, if it does exist, can provide any incremental information leading to improved S&P 500 index forecasts/predictions. Our results suggest that volume-weighted implied VIX which extracted from the VIX options market and including the information from trading volume does provide critical information on the S&P 500 index. And the S&P 500 index options market provide valuable measures with regard to the future return of the S&P 500 index. And we infer the reason for the different between the information of high trading volume and low trading volume of both the S&P 500 index options market and the VIX options market is caused by the hedge purpose of the market participants.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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