三大法人選擇權交易量比與隔日報酬關聯性之研究

The Relationship between O/S Ratios of Institutional Investors and Next-day Returns

本研究以選擇權與現貨交易量比做為主要變數，分為以下列兩個部分進行探討，一為選擇權買方在選擇權與現貨上之交易量比，二為選擇權賣方交易量比，藉由三大法人之交易量比，分析其前一日選擇權市場交易量是否具有預測隔日報酬之能力。實證結果發現三大法人除自營商選擇權買方與股票交易量比外，其餘確實具有預測能力，但需與期貨一同納入考量才較準確，因其具有跨市場的交易策略。

This study refers to the ratios of options and stocks transaction volumes as our main variable. The O/S ratios is divided into two section, which is buy and sell. This study takes buy and sell O/S ratios of dealer, investment, and foreign investor to investigate if which of them have predict power of next-day stocks return. This study finds out that all of them can predict next-day stocks return except dealer transacts in buy-call options. Investors need to consider futures because of cross-market strategy.