台指選擇權對台灣現貨市場與現貨市場資訊不對稱的影響

Abstract

吾人研究台指選擇權市場成立後，對於訊息交易者在股票市場、期貨市場的交易比例之改變。研究資料是取自台灣經濟新報，研究區間為分別為2001年到2003年同期的11月份。利用Easley , Kiefer , O＇Hara (1996)的二市場研究模型，吾人再修改擴展到三市場的新模型方法，發現台指選擇權市場的成立，的確改變了原先在股票和期貨市場的訊息交易比例。結果顯示，訊息性交易者的交易行為符合所預期的。即對訊息交易者而言，衍生性金融市場的確比股票市場更具吸引力。另一方面，流動性交易者卻非吾人所預期的留在股票市場上交易。其在期貨和台指選擇權市場下單筆數亦為增加，而此交易行為使得這兩個市場的市場深度變好。

My research is that after option market is established , the change of dealer's proportion of trade on the stock market , future market of information . Research data is taking from Taiwan economy new newspaper , and the time block from 2001 to 2003 in the same period of November respectively . Utilize Easley , Kiefer , O’Hara (1996) , the research model of two markets , and I revise and expend to three market new model , find that the research refers to the establishment of the market of option , have really originally changed the proportion of information trade in the stock and future market . Result show information trading activity of traders accord with anticipated . Namely as for information traders , the derivative financial market is really more attractive than the stock market . On the other hand , liquidity traders is not what I expect stay at the stock market trading . Because the trading behavior that the number of trading volume is also increasing in the future and option market , making the depth of two market becoming well .