投資人在選擇權與股票市場之相對投資行為研究──以臺灣證券交易

The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange

本文除了採用Roll et al. （2010）年所建構的選擇權對標的股票（指數）交易量比當市場資訊變數外，為了捕捉市場多空特質對市場資訊變數的影響，我們進一步將Roll et al. （2010）之選擇權對標的股票（指數）交易量比區分為二，一為多頭選擇權對標的股票（指數）交易量比，另一為空頭選擇權對標的股票（指數）交易量比，進而探討不同交易人之選擇權對標的股票指數交易量比，是否可以預測未來臺股指數的報酬。我們的實證結果發現：外資空頭選擇權對標的股票指數交易量比對未來臺股指數的報酬有極顯著預測能力，且外資選擇權對標的股票指數交易量比對未來臺股指數的報酬亦有預測能力，此外，在總體壞消息事件發生前，空頭選擇權對標的股票指數交易量比會比較高，且其亦和隔天股票指數報酬呈正比，此一結果顯示空頭選擇權對標的股票指數交易量比可以正確預測未來臺股指數報酬的變動方向。最後，我們亦發現外資選擇權對標的股票指數交易量比最能預測未來臺股指數波動度。

We set out in this study to investigate the approach of Roll et al. (2010) which first develops a simple empirical construct, the options/stock trading volume ratio (O/S) which is a variable to measure the relative trading activity in options and stock. Our study extends the O/S concept on TAIEX option market and construct directional variables, O/S(Bull) and O/S(Bear), to investigate if O/S of different types of traders could predict future TAIEX index returns with right direction. Our empirical results explore strong evidence that O/S(Bear) of foreign institutional investors contains information to future TAIEX index returns and foreign institutional investors also have significant predict power to upcoming macro-economic events which may impact the whole market. O/S(Bull) is higher before the events shock suggesting increased trades in options market and it is positively related to next-day index return indicating the O/S ratio could predict future index return with right direction. Moreover, we also further investigate the predictability of O/S to future volatility of TAIEX index and we find the foreign institutional investors still have the most significant predict power of future volatility.