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

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/54820

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/54820

Title:	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
Authors:	呂冠賢;Lyu,Guan-Sian
Contributors:	財務金融研究所
Keywords:	交易人類別;相對交易量;選擇權交易量;波動度預測;option trading volume;information content;O/S ratio;volatility prediction;categories of traders
Date:	2012-07-07
Issue Date:	2012-09-11 19:07:40 (UTC+8)
Publisher:	國立中央大學
Abstract:	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。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.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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