本研究透過檢視台指選擇權市場中供給及需求不平衡的狀況，來探討投資者行為對選擇權隱含波動率的影響，並研究投資者的投資行為到底是會被套利限制所影響，還是被市場預期所主導。以及探討投資者在面對不同的投資環境時，選擇權的淨買壓對隱含波動率的影響是否相同。 本研究中發現，台指選擇權市場在整個研究期間較符合套利限制假說，前一期隱含波動率的變化對當期的隱含波動率變化呈負相關，以及價外選擇權的淨買壓比價平選擇權的淨買壓更能影響隱含波動率的變化。本研究再將樣本資料區分為景氣循環及市場波動兩個層面，個別探討選擇權的淨買壓是否對隱含波動率變化仍然具有影響力，發現在景氣前景較差及多頭市場的投資環境中，選擇權市場仍普遍支持套利限制假說，但在景氣前景較好及空頭市場的投資環境中卻出現不一致的分析結果。本研究推論在市場短期變動較大的投資環境中，投資者對新訊息較為敏感，並以操作價平選擇權的買賣來避免新訊息所帶來的風險，而使學習假說代替套利限制假說來決定隱含波動度。 In this study, we investigate how the investment behavior influences option implied volatility by inspecting the supply and demand imbalance of the option market in Taiwan. Moreover, we wonder whether the investment behavior is affected by the arbitrage limitations or the anticipation of the market. Finally, we discuss the influence of the investor’s net buying pressure on the implied volatility under different investment environments. The results of empirical test find that the option market in the entire research period conforms to the limits to arbitrate hypothesis. This research also discusses the net buying pressure whether still to have the influence to the implied volatility change, when the sample discrimination for the business cycle and the market fluctuation. We find that in the recession or bull market investment environment, the option market still generally supported the limits to arbitrate hypothesis, but in the booming or bear market investment environment actually presents the inconsistent analysis result. The learning hypothesis will replace the limits to arbitrate hypothesis to decide the implied volatility when the large changes of investment environment in short term.
