從眾與系統性交易行為──臺灣指數選擇權之實證研究

Herding and Systematic Trading Behavior: An Empirical Study of the TAIEX Options Market

在市場上投資人因為諸多因素作出相同投資行為時，這些現象便像是一系列有系統投資行為並反映於市場，若其僅干擾市場價格但卻無法引導至市場均衡價格，便是所謂的系統性噪音。本研究選用2002年1月至2007年12月的臺灣指數選擇權資料，透過國內市場各投資人個別買賣的交易資料來觀察市場上各類型投資人是否具有系統性行為及對市場價格影響的能力。本研究發現在市場具有最顯著群聚、正向系統性交易行為者主要為：市場戶數最少但成交量最高的造市者，及戶數最多且總成交量亦高居第二之散戶。造市者在選擇權市場中，無論是買進、看多、強烈看多之各種操作策略，均獲顯著不錯之正向績效表現；惟散戶在此市場上之各項操作均表現顯著不佳之績效，其系統性交易行為並不具理性操作，顯示為系統性噪音者。

When many investors in the market make the same choices for the same reasons, the effect on the market is similar to a set of systematic investment behaviors. If these behaviors interfere with market prices and do not pull them toward market equilibrium price, then they constitute “systematic noise”. This study examines records of the TAIEX options market from January 2002 to December 2007 for evidence of systematic behavior among the various classes of investor, and for the impact of such behavior on market prices. We find that there is significant herding and positive systematic trading in this market, primarily by market makers (fewest in number but the biggest traders) and individual investors (most in number and second largest trading volume). Market makers achieve good positive abnormal returns in all their trade types: buy, bull, strong bull. However, individual investors achieve poor returns. Their systematic trading is non-rational, and so is a form of systematic noise.