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研究生：	林群堯 Lin, Chun-Yao
論文名稱：	股價報酬指數、波動性指數及選擇權未平倉量的動態關係：以台灣指數型選擇權為例 The Relationship between Stock Index Return, Volatility Index, and Options Open Interest: An Example of TAIEX Options
指導教授：	陳俊男 CHEN, CHUN-NAN
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2011
畢業學年度：	99
語文別：	英文
論文頁數：	54
中文關鍵詞：	機構投資者、台灣選擇權市場、未平倉
外文關鍵詞：	Institution Investors, Taiwan option market, Open Interest
相關次數：	點閱：168 下載：0
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這份研究探討的主題在於指數交易報酬、波動度與選擇權未平倉增減的動態關聯，我們分析的資料來源自台灣期貨交易所(TAIFEX)，期間長度為2007年7月2日至2010年12月31日。我們採用的研究方法為向量自我迴歸分析(Auto Regressive Analysis)來研究所選定變數之動態關聯程度。根據實證研究的結果，我們發現機構法人的交易策略將會反應在選擇權留倉的部位。此外，我們透過Granger因果關係檢定後發現台灣指數每日報酬與選擇權未平倉增減的動態關係。實證結果指出，三大法人的每日買賣未平倉增減量將可能在時間上領先大盤指數。這個結果同時也代表著，對於大盤未來走勢之預測時，三大法人選擇權未平倉增減量是一個十分重要的解釋變數。回顧過去文獻，我們得出與過去相關研究一致的結果。例如：Pan與Poteshman(2006)，Pathak與Rastogi(2010)。有別於過去的研究，這篇研究不僅對選擇權相關變數採用差分，並加入台灣三大法人的交易行為與資訊不對稱之問題作為探討。

This research examines the dynamic interaction among trading returns, price volatility, and open interest changes in options market. We analyze daily data of Taiwan index option from July 2, 2007 to December 31, 2010, which is obtained from Taiwan Futures Exchange (TAIFEX). We use vector autoregressive analysis (VAR) to investigate the relation among all variables we input. The empirical evidence indicates that institutional trading strategies may have response to the options position. In addition, we find a significant Granger causal relation between TAIEX return and options open interest change implying that daily change of call or put option position from three types of major institutional trade may be a leading indicator of Taiwan index. This result provides an interesting finding that the daily change of TAIEX options open interest from three types of major institutions is an important explanatory variable when forecasting the future direction of TAIEX. These results are consistent with these of Pan and Poteshman (2006), and of Pathak and Rastogi (2010). Unlike previous studies, this study not only first difference defined variables but also provides an insight trading behaviors of three types of major institutions in options market.

Chapter I.  Introduction...................................1
Chapter II. Literature Review..............................3
I. The Relationship between Volume and Return...............3
II. The Relationship between Volume and Volatility..........5
III. The Relationship between Option and Underlying Asset....7
IV. Informed Trade..........................................9
V. Exogenous Variables.....................................12
Chapter III. Data & Methodologies.........................15
I. Empirical Data..........................................15
II. Methodologies..........................................18
(i) Unit Root Test.........................................19
(ii) Appropriate Lag Length................................20
(iii) Vector Autoregressive Model (VAR)....................20
(iv) Granger Causality Test................................22
(v) Impulse Response Analysis..............................23
(vi) Forecast Error Variance Decomposition.................24
Chapter IV. Empirical Results.............................26
I. Descriptive Statistics..................................26
II. Unit Root Test.........................................28
III. Vector Autoregressive Model (VAR) and Appropriate Lag Length....................................................30
IV. Granger Causality Test.................................32
V. Impulse Response Function...............................35
VI. Forecast Error Variance Decomposition..................43
Chapter V.  Conclusion & Suggestion.......................49
I. Conclusion..............................................49
II. Suggestion.............................................50
Reference.................................................51


                                    

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