選擇權與股票市場的交易活動對於股市波動之預測能力

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姓名

呂冠賢(Guan-Sian Lyu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

選擇權與股票市場的交易活動對於股市波動之預測能力
(Predictive Ability of Option and Stock Market Trading Activities for Stock Market Volatility)

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摘要(中)

本篇論文主要探討選擇權與股票市場之相對交易量 (O/S ratio) 的資訊內容。我們首先檢驗O/S ratio對於未來股票市場波動程度的預測能力，並建構非造市者淨O/S波動需求作為主要解釋變數，來預測未來股票市場的波動程度，以改善O/S ratio的缺點。實證結果顯示，非造市者淨O/S波動需求比O/S ratio有更佳的預測能力。而在各類別的投資人中，外資的交易量對於次一交易日的市場波動度具有顯著的預測能力，顯示外資對於股票市場波動程度擁有較佳之預測能力，可能與外資在資訊上的優勢有關。

摘要(英)

This thesis investigates the information content in the trading volume in the option market relative to the trading volume in the stock market. First of all, we examine the predictive ability of O/S ratio about the future volatility of stock market. Next, we construct the non-market maker O/S net demand for volatility to predict the stock market volatility to improve the predictive ability of O/S ratio. Our empirical results show non-market maker O/S net demand for volatility has better predictive ability than O/S ratio, and foreign investors exhibit the best predictive ability for the stock market volatility in next day, among different categories of traders. This evidence reveals that foreign investors seem to have informational advantage in the trading of Taiwan stock market.

關鍵字(中)

★ 交易人類別
★ 相對交易量
★ 選擇權交易量
★ 波動度預測

關鍵字(英)

★ option trading volume
★ information content
★ O/S ratio
★ volatility prediction
★ categories of traders

論文目次

中文摘要 ………………………………………………………… i
英文摘要 ………………………………………………………… ii
目錄 ………………………………………………………… iii
表目錄 ………………………………………………………… iv
第1章緒論…………………………………………………… 1
1.1節研究動機……………………………………………… 1
1.2 節研究目的……………………………………………… 4
1.3節研究架構……………………………………………… 6
第2章文獻回顧……………………………………………… 8
2.1節選擇權交易量的資訊內容…………………………… 8
2.2 節不同類別投資人間的資訊不對稱…………………… 11
第3章研究方法……………………………………………… 16
3.1節實證模型……………………………………………… 16
3.2節資料來源……………………………………………… 20
3.3節敘述統計……………………………………………… 20
第4章實證結果……………………………………………… 24
4.1節各類別投資人整體交易量之資訊內容……………… 24
4.2節各類別投資人新倉部位與平倉部位交易量之資訊內容………………………………………………………
26
4.3節各類別投資人之非造市者淨O/S波動需求的資訊內容…………………………………………………………
29
第5章穩健性測試…………………………………………… 34
第6章結論與建議…………………………………………… 35
參考文獻 ………………………………………………………… 38

參考文獻

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2012-7-7

推文