投資人波動度需求之資訊內涵

Information Content of Investors’ Demand for Volatility

本研究探討各種投資人類別對波動度需求之差異，及其波動度需求對預測未來實際波動度之不同資訊內涵。本研究利用臺灣期貨市場完整的選擇權交易資料，建構各類投資人之淨波動度需求，分析在2008年金融危機期間，哪些類別的投資人之交易，對於市場指數未來的波動度，具有資訊性。實證分析顯示，國內法人之淨波動度需求擁有與未來實際波動度相關之資訊內涵，國內法人利用不積極的委託單取得之淨波動度需求對於未來實際波動度具有預測能力。此外，國內法人淨波動度需求之新增部位，對於未來實際波動度也具有較顯著的預測能力。整體來說，相關的實證分析顯示，各類投資人之差異在分析波動度之資訊交易上，是不可忽略的重要因素。

This paper examines the information content of investors’ demand for volatility in an option market where investors possess heterogeneous information of future volatility. Using comprehensive transaction data on the Taiwan options market during the period of financial crisis, we construct the vegaweighted net demand for volatility by heterogeneous investor types, and investigate whether volatility trading of certain investor group is more informative about future market-level volatility. We find that the vega demand of investors such as domestic institutional investors exhibits significant predictive power. Specifically, vega demand from domestic institutional investors using passive orders predicts future realized volatility. Moreover, vega demand from domestic institutional investors who open new positions predicts future realized volatility. Overall, our findings highlight the importance of investor heterogeneity in examining informativeness of volatility trading.