臺灣股票選擇權市場日內活動研究

Intraday Market Activity for Stock Options in Taiwan

本研究利用2003年1月至2007年12月期間獨特的日內股票選擇權資料，探討臺灣股票選擇權的交易行為，為現有的衍生性金融商品文獻做出貢獻。我們的主要目的是辨別這些不同類別的投資者之間的選擇權交易行為，進行散戶與機構投資人（如本國公司，期貨股票經紀商與外資）更詳細的檢驗。實證結果顯示，以交易量及未平倉量而言，散戶在臺灣股票選擇權市場排名第一，且不同種類之投資人皆喜歡藉由購買買權進行投機交易。此外，追蹤每位投資人帳戶中四種股票選擇權交易策略的平倉或結算利潤，發現交易複雜程度較高的機構投資人相較於散戶，在買買權策略中損失較多，但是在買賣權，賣買權，及賣賣權交易策略，獲利皆高於散戶。另外，本文並利用日內資料研究比較機構投資人與散戶投資人在股票選擇權刪單投資決策過程中所扮演的重要角色。研究結果發現交易複雜程度較高的機構投資人相較於散戶，刪單正確率優於散戶，而且較散戶有效率。

This study contributes to the existing literature on derivatives by investigating stock options trading activities in Taiwan based upon a unique intraday stock options dataset. Our primary aim is to provide a more detailed examination of the retail investors and institutional investors, with the latter falling into the various categories of local companies, futures and stock brokers, and qualified foreign institutional investors. Our results demonstrate that individual investors dominate the options market in Taiwan, with the purchased call strategy being most popular among speculation trading strategies. Furthermore, institutional investors show large losses in the purchased call strategy, but in general exhibit more beneficial trading consequences compared to the retail investors in other strategies. Institutional investors also demonstrate a better accuracy rate in cancellation orders.