標題: 台指選擇權相對於股指交易量比率與現貨報酬率間的分量迴歸分析
A Quantile Regression Analysis of the O/S Ratio-Return Relation
作者: 楊雅薇
林姿瑩
吳國堯
Ya-Wei Yang
Zih-Ying Lin
Guo-Yao Wu
關鍵字: 台指選擇權相對於股指交易量比率;分量迴歸;資訊內涵;外資法人;台指選擇權市場;O/S Ratio;Quantile Regression;Information Content;Foreign Institutional Investors;Taiwan Index Options Market
公開日期: 1-一月-2021
出版社: 國立交通大學經營管理研究所
Institute of Business and Magement, National Chiao Tung University
摘要: 本研究探討台指選擇權相對於股指交易量比率(O/S ratio)對現貨報酬率的預測力。採用能夠區分多空頭方向的O/S ratio,捕捉外資法人在選擇權以及現貨市場的交易行為,並且運用分量迴歸的方法,從條件分配整體情況分析O/S ratio與報酬率間的關係。我們發現外資法人在台灣指數選擇權市場的交易確實有資訊內涵,多頭的O/S ratio上升則次日現貨價格將會上漲,空頭的O/S ratio上升則次日現貨價格將會下跌。當我們控制現貨當日交易量及當日報酬率的影響後,O/S ratio一樣具有顯著的預測效果。此外,我們也發現在美國金融海嘯期間對於O/S ratio預測能力有顯著的影響。
This paper examines how the option/stock trading volume ratio (O/S ratio) predicts future underlying stock returns. We use quantile regression to analyse the relationship between O/S ratio and returns. The O/S ratio is classified by bull and bear market to quantify the behaviour of foreign institutional investors in Taiwan. The empirical results show that the O/S ratio in bull market has higher future stock returns and that the O/S ratio in bear market is negatively associated with future stock returns. Such results indicate that the trading of foreign institutional investors in Taiwan contain information. The predictability of O/S ratio is still significant after controlling for stock volumes and current stock returns. In addition, we also find that the predictability of O/S ratio is changed during U.S. financial crisis.
URI: http://dx.doi.org/10.29416/JMS.202101_28(1).0002
http://hdl.handle.net/11536/155840
ISSN: 1023-9863
DOI: 10.29416/JMS.202101_28(1).0002
期刊: 管理與系統
Journal of Management and Systems
Volume: 28
Issue: 1
起始頁: 33
結束頁: 59
顯示於類別:管理與系統