市場狀態和台灣選擇權交易活動與股價關係之探討

The Market States and the Relationship between Option Trade Activity and stock Prices in Taiwan

本文利用獨特的台指選擇權交易活動資料，探討未區分及區分股市市場狀態下，台指選擇權整體市場和其中不同類型投資人的交易活動對台股指數報酬的影響。實證結果發現，市場情況因子具有相當的影響性，未區分市場情況及盤整時，整體市場及個別投資人選擇權交易動向呈現顯著反向股價效果，但在多空頭期間則二者都轉為符合Easley et al. (1998) 理論的顯著正向股價效果；機構投資人和外資的交易動向在未區分市場情況時呈現顯著同期正向股價效果；再者，機構投資人和外資在盤整時價格效果不顯著，然而在多空期間皆轉為顯著正向價格效果，且此現象在空頭時更為明顯。整體上，研究顯示台指選擇權交易對未來台股指數變動有顯著影響，特別的是，在多空期間正確預測價格效果展現地更為明顯，即正（負）台指選擇權交易活動增加，同日及隔日指數報酬顯著增加（減少），故支持Chiyachantana et al. (2004) 的目前市場情況假說在台灣指數選擇權市場成立。

The paper examines the impacts of option trading for future stock price movements at the aggregate market and trader levels with and without conditioning on market states using the non-publicly unique Taiwan stock index option data. First, we find that option trading imbalances by the aggregate market and individual investors tend to move stock prices in the opposite direction of the trades without conditioning on market states and at the flat market, but move stock prices in the direction of trades at the bull and bear markets. Second, the option trading imbalances by institutional and foreign investors move stock prices in the direction of trades without conditioning on market states and at the bull and bear markets, but have no significant price impacts at the flat market. Further evidence shows that the price impacts by institutional and foreign investors are much more apparent at the bear market. Overall, these findings show that the market states seem to play a substantial role in the relation between option trading and stock returns. Specially, this accurate evidence on return predictability is more pronounced at the bull and bear markets, implying that positive (negative) stock index option trades increase and then the stock returns of the simultaneous day and next day increase (decrease) significantly. These results support that the current market condition hypothesis by Chiyachantana et al. (2004) exists in the Taiwan option market.