臺指選擇權非同步交易時段之資訊內涵

Information Content of Nonsynchronous Trading for Taiwan Stock Index Options

透過臺指選擇權市場較現貨市場提早開盤與延後收盤的非同步交易時段資訊內涵的分析，可揭露來自策略交易者的額外交易訊息。本文假設非同步交易時段的資訊內涵隱藏於選擇權隱含波動率之中，實證結果發現，選擇權市場提早開盤時段的資訊內涵與現貨隔夜報酬有顯著的負向變動關係，表示資訊交易者面對選擇權市場的私有資訊可能採取負面看法，於現貨市場開盤時操作而造成隨後開盤的現貨價格（隔夜報酬）下跌；該時段的資訊內涵會持續影響現貨市場開盤後的表現至少15分鐘，但隨交易時間遞延其影響幅度及顯著性皆會逐漸下降。而前一交易日現貨市場收盤後的選擇權資訊內涵與現貨市場報酬則無顯著關聯。

The study investigates whether the extension of trading hours for Taiwan Stock Index Options contains information about the dynamics of future spot returns. Assuming that useful information is retrievable from the option-implied volatility, we found that the information content from the pre-open options trading is significantly negative related to the overnight returns in the spot market. This implies that a lower overnight spot return is expected because informed traders might react negatively to such private information from pre-open options trading. The pre-open option trades also contain useful information in explaining subsequent spot returns up to 15 minutes during the trading day, while the size and significance of the impacts decrease as the trade continues. No significant relationship is evident between information content in post-close options trading and spot returns on the following trading day.