期权市场散户对价格预测能力的检验

A Study of Individual Investors' Ability to Predict Price Changes in the Option Market

机构投资者与散户是期权市场上的两大交易主体。通常认为机构投资者是信息交易者,而对于散户是否具备对价格预测的能力则有待研究。参考Cao等(2009)对限价委托簿信息挖掘方法,利用台指期权(TXO)日内高频数据,可以检验台指期权市场散户对未来价格的预测能力。研究发现,台指期权市场散户具有对未来价格显著预测信息,而且其揭示档不同位置信息含量存在差别。作为新兴市场的代表,台湾期权市场的投资者类型结构与中国大陆非常相似。因此,这一研究结论对中国大陆改善期权市场运行机制具有现实的参考意义。

Institutional investors and individual investors are the two main groups of traders in the option market. Institutional investors are generally considered as informed traders; the issue whether individual investors have the ability to predict future price changes needs further research. Following the data mining methods on the limit order book by proposed by Cao et al.( 2009),this study examines whether individual investors in the TAIEX options( TXO) market can predict their future price changes using an intraday high-frequency data for TXO. The results show that individual investors in TXO market have information on predicting the future price of TXO significantly,and each step of the limit order book for individual investors plays a different role. As one of the prominent emerging markets,Taiwan's options market is similar to that in the Chinese mainland in the structure of investors' types. Therefore,the conclusion of this study has important implications for the mainland's current efforts to improve the operation mechanism for China's option market.