不同投資者之交易活動：來自於台灣指數期貨與選擇權市場的帳戶級交易資料之證據

The Information Content of Trading Activities of Different Investor Types Evidence from Account-Level Transaction Data on the Taiwan Futures an d Options Market

利用台灣指數期貨和選擇權市場的帳戶級交易資料，本文發現外國機構投資人之指數期貨的委託單失衡與次日的指數期貨報酬率與波動率呈顯著相關，而外國機構投資者之價外選擇權的委託單失衡則顯著與次日的波動率正相關。有趣的是，我們雖沒在本國機構與個人投資者於指數期貨的交易中發現報酬率或波動度等私有資訊，但本國機構與個人投資者之價外選擇權的委託單失衡具有顯著之報酬率預測能力。此外，我們亦發現上述之報酬率預測力在高市場不確定性及低流動性時更為顯著。

Using unique account-level trading data from Taiwan's index futures and options markets, this paper finds a significant correlation between the order imbalance of index futures by foreign institutional investors and the next day's index futures returns and volatility. Additionally, the order imbalance in out-of-the-money contracts of index options by foreign institutional investors is significantly positively correlated with the next day's volatility. Interestingly, although no private information in terms of returns or volatility was found in the index futures trades of domestic institutions and individual investors, this study reveals that the order imbalance in out-of-the-money options by domestic institutions and individual investors significantly predicts future returns. Furthermore, this predictive ability for returns is more pronounced during periods of high market uncertainty and low liquidity.