個股選擇權市場的流動性不足貼水與波動度差

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林姿瑩(Zih-Ying Lin) 查詢紙本館藏

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財務金融學系

論文名稱

個股選擇權市場的流動性不足貼水與波動度差
(Illiquidity Premium and Volatility Spread in Stock Options Markets)

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摘要(中)

本論文是由兩篇關於個股選擇權市場之研究組成，第一篇探討選擇權流動性
不足風險貼水，第二篇探討選擇權隱含波動度差。

第一篇文章研究美國個股選擇權市場流動性不足與預期選擇權報酬間的關係，由於過去已有許多文獻提及有資訊交易者在個股選擇權市場扮演著重要的角色，因此本文則研究公司在資訊不對稱程度與賣空程度較高時，對於個股選擇權市場流動性不足風險貼水是否有所影響。在實證分析上，本文研究結果發現當公司的資訊不對稱程度越高則選擇權的流動性不足風險貼水也會越大。因此，本文進一步再去看過去文獻所提到的選擇權市場比起現貨市場有較低的賣空成本，有資訊的交易者偏好到選擇權市場做交易。實證結果發現當公司有較高的賣空需求與供給對選擇權的流動性不足風險貼水影響更為劇烈。此外，本文亦將選擇權的特性分為長天期、短天期與價內、價外、價平，結果發現短天期的選擇權結果更為顯著。

第二篇文章研究隱含波動度差和選擇權報酬間的關係，過去文獻指出買賣權隱含波動度差能正向預測未來股票報酬，然而，Doran, Fodor and Jiang (2013)的研究指出隱含波動度差能正向預測股票報酬，但卻負向預測未來的買權報酬。Atilgan (2014) 和 Chan, Ge, and Lin (2015)探討在考慮財務事件下，隱含波動度差能顯著預測財務事件後的股票報酬，不同於過去文獻，本文則探討在考慮盈餘宣告事件下，隱含波動度差是否能正向預測未來的買權報酬。在實證分析上，結果發現在考慮財務事件期間，隱含波動度差反而更為負向預測未來的買權報酬。因此，本文進一步再去探討是否是投資人的情緒影響預測的結果，結果發現，隱含波動度差負向預測未來的買權報酬在投資人情緒越高漲的期間更為顯著。此外，本文亦去驗證投資人是否會透過學習，進而去降低預測偏誤，結果發現，當選擇權市場存在更多有資訊交易者時，即有越多的資訊釋放到市場上，投資人會透過學習使得預測偏誤下降。

摘要(英)

This essay contains two studies on the option illiquidity premium and volatility spread in the stock option market. One is the relationship between option illiquidity and
expected option returns under information environments and another is volatility spread and expected option returns.

First Essay:
The Impacts of Asymmetric Information and Short Sales on the Illiquidity Risk Premium in the Stock Option Market

The illiquidity risk premium hypothesis implies the existence of a positive relationship between illiquidity in the option markets and option returns. Based on numerous studies within the extant literature examining the roles of informed traders in the option markets,we explore the ways in which asymmetric information and short sales can affect the illiquidity risk premium hypothesis. Our findings reveal that the illiquidity risk premium is higher for the options of those firms with higher information asymmetry, as well as those firms with higher short sales demand or supply. These results are found to be particularly robust for short-term options contracts.

Second Essay:
Implied Volatility Spreads and Future Options Returns

While numerous studies have documented that call-put implied volatility spreads positively predict future stock returns,the predictive relationship is recently found to
be negative for future call option returns. We further investigate whether and how the predictive relationship for options returns is influenced by various information events
and conditions. In addition to confirming the existence of the opposite predictive relationships for both call and put returns, our empirical results reveal that the predictive
relationships are stronger during periods of earnings announcement and/or high sentiment. In addition, we find that investors learn from informed trading and revise their predictability bias by examining the impacts of information asymmetry, stock liquidity, and options liquidity on the predictive relationships.

關鍵字(中)

★ 資訊不對稱
★ 賣空
★ 賣空限制
★ 有資訊交易者
★ 選擇權流動性不足貼水
★ 隱含波動度

關鍵字(英)

論文目次

Contents
Chinese Abstract ........................................ i
English Abstract ........................................iii
Acknowledgements ........................................ v
Contents ................................................ vi
List of Tables .........................................viii

First Essay
The Impacts of Asymmetric Information and Short Sales on the Illiquidity Risk Premium in the Stock Option Market

1. INTRODUCTION ......................................... 1
2. HYPOTHESIS DEVELOPMENT................................ 8
3. DATA.................................................. 13
3.1 Stock Option Quotes and Computation of Option Returns 13
3.2 Stock and Option Illiquidity Measures ............... 15
3.3 Information Asymmetry Measures ...................... 17
3.4 Short Sales Measures ................................ 19
4. METHODOLOGY .......................................... 20
5. EMPIRICAL RESULTS .................................... 24
5.1 Preliminary Results ................................. 24
5.2 Results on Information Asymmetry .................... 25
5.3 Results on Demand and Supply of Short Sales ......... 27
6. CONCLUSIONS .......................................... 30
REFERENCES .............................................. 32

Second Essay
Implied Volatility Spreads and Future Options Returns

1. INTRODUCTION ......................................... 50
2. HYPOTHESIS DEVELOPMENT ............................... 55
3. DATA.................................................. 60
4. EMPIRICAL METHODOLOGY ................................ 63
4.1 Full Sample Methodology ............................. 63
4.2 Earnings Announcement Sample Methodology ............ 64
5. EMPIRICAL RESULTS .................................... 65
5.1 Earnings Announcements .............................. 65
5.2 Investor Sentiment .................................. 68
5.3 Individual Investors’ Learning Effect ............... 71
5.3.1 Information asymmetry ............................. 72
5.3.2 Stock liquidity.................................... 74
5.3.3 Options liquidity ................................. 76
6. CONCLUSIONS .......................................... 79
REFERENCES .............................................. 81

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Second Essay
Implied Volatility Spreads and Future Options Returns

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指導教授

張傳章、王耀輝

審核日期

2017-1-19

推文