三大法人选择权交易行为之研究

The Study of Three Institutional Investors' Behavior of Options Trading

本文目的在实证探讨三大法人选择权之交易行为。实证结果显示,外部资金、投信、自营商之买卖权交易量与未平仓量对台指期货报酬率及台湾股市之加权股价指数报酬率皆不具有显着影响,表示没有证据显示其有领先落后关系,唯外部资金之买卖权未平仓量(SI)对台湾股市之加权股价指数报酬率在VAR估计中有出现显着关系,以及在预测变异分解时出现较高的解释能力,表示外部资金之买卖权未平仓量(SI)对台湾股市之加权股价指数报酬率较具有预测及解释的能力,可知在三大法人当中,外部资金的买卖权未平仓量(SI)比投信及自营还具参考价值。

The purpose of this study is to investigate the relationship between trading behavior of three institutional investors and options.First of all,the empirical results show the foreign investors in the options market as the negative feedback traders while the investment trust as the positive feedback traders.Both of their trading behaviors are to follow the returns of index futures.Second,irrespective of volume or open interest calculation from three institutional investors,no significant effect is found on index futures return in Taiwan stock.However,the impact of Taiwan stock index return for the open interest shows persistent effect.Finally,this study finds that the extreme net open interest of dealer displays the prediction for options.