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

10.29416/JMS.202101_28(1).0002

楊雅薇(Ya-Wei Yang)；林姿瑩(Zih-Ying Lin)；吳國堯(Guo-Yao Wu)

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

管理與系統

28卷1期（2021 / 01 / 01）

33 - 59

繁體中文

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.

1. Lin, Z. Y.,Hsieh, P. F.(2020).Impact of Net Buying Pressure on the Trading Demand of Different Types of Traders.Review of Securities and Futures Markets,32(2),119-146.
   連結：
2. 張傳章,謝佩芳(2016)。台灣選擇權市場交易活動之實證研究：文獻回顧與展望。經濟論文叢刊，44(1)，57-75。
   連結：
3. 莊家彰,管中閔(2005)。台灣與美國股市價量關係的分量迴歸分析。經濟論文，33(4)，379-404。
   連結：
4. Anthony, J. H.(1998).The Interrelation of Stock and Options Market Trading-Volume Data.Journal of Finance,43(4),949-964.
5. Back, K.(1993).Asymmetric Information and Options.Review of Financial Studies,6(3),435-472.
6. Badshah, I. U.(2013).Quantile Regression Analysis of the Asymmetric Return Volatility Relation.Journal of Futures Markets,33(3),235-265.
7. Black, F.(1975).Fact and Fantasy in the Use of Options.Financial Analysts Journal,31(4),36-41.
8. Black, F.,Scholes, M.(1973).The Pricing of Options and Corporate Liabilities.Journal of Political Economy,81(3),637-654.
9. Cao, C.,Chen, Z.,Griffin, J. M.(2005).Informational Content of Option Volume Prior to Takeovers.Journal of Business,78(3),1073-1109.
10. Chakravarty, S.,Gulen, H.,Mayhew, S.(2004).Informed Trading in Stock and Option Markets.Journal of Finance,59(3),1235-1257.
11. Chan, K. C.,Chang, Y.,Lung, P. P.(2009).Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options.Pacific-Basin Finance Journal,17(2),189-208.
12. Chan, K.,Chung, Y. P.,Fong, W. M.(2002).The Informational Role of Stock and Option Volume.Review of Financial Studies,15(4),1049-1075.
13. Chang, C. C.,Hsieh, P. F.,Lai, H. N.(2009).Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange.Journal of Banking and Finance,33(4),757-764.
14. Chen, C. C.,Wang, S. H.(2017).Net Buying Pressure and Option Informed Trading.Journal of Futures Markets,37(3),238-259.
15. Chow, G. C.(1960).Tests of Equality between Sets of Coefficients in Two Linear Regressions.Econometrica,28(4),591-605.
16. Chuang, C. C.,Kuan, C. M.,Lin, H. Y.(2009).Causality in Quantiles and Dynamic Stock Return Volume Relations.Journal of Banking and Finance,33(7),1351-1360.
17. Easley, D.,O’Hara, M.,Srinivas, P. S.(1998).Option Volume and Stock Prices: Evidence on Where Informed Traders Trade.Journal of Finance,53(2),431-465.
18. Fousekis, P.,Tzaferi, D.(2019).Price Returns and Trading Volume Changes in Agricultural Futures Markets: An Empirical Analysis with Quantile Regressions.Journal of Economic Asymmetries,19,1-1.
19. Gebka, B.,Wohar, M. E.(2013).Causality between Trading Volume and Returns: Evidence from Quantile Regressions.International Review of Economics and Finance,27(C),144-159.
20. Han, B.,Lee, Y. T.,Liu, Y. J.(2010).McCombs Research Paper SeriesMcCombs Research Paper Series,未出版
21. Hsieh, P. F.,Chang, C. C.,Lai, H. N.,Hsu, W. S.(2017).The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange.Journal of Futures and Options,10(1),1-39.
22. Hsieh, W. L. G.,He, H. R.(2014).Informed Trading, Trading Strategies and the Information Content of Trading Volume: Evidence from the Taiwan Index Options Market.Journal of International Financial Markets, Institutions and Money,31(1),187-215.
23. Huang, H. G.,Tsai, W. C.,Weng, P. S.,Wu, M. H.(2020).Volatility of Order Imbalance of Institutional Traders and Expected Asset Returns: Evidence from Taiwan.Journal of Financial Markets
24. Johnson, T.,So, E. C.(2012).The Option to Stock Volume Ratio and Future Returns.Journal of Financial Economics,106(2),262-286.
25. Kocagil, A.,Shachmurove, Y.(1998).Return-volume Dynamic in Futures Markets.Journal of Futures Markets,18(4),399-426.
26. Koenker, R.,Bassett, G., Jr.(1978).Regression Quantiles.Econometrica,46(1),33-50.
27. Lee, J.,Lee, G.,Ryu, D.(2019).The Difference in the Intraday Return-volume Relationships of Spot and Futures: A Quantile Regression Approach.Economics,13,1-37.
28. Lee, Y. H.,Wang, D. K.(2016).Information Content of Investor Trading Behavior: Evidence from Taiwan Index Options Market.Pacific Basin Finance Journal,38,149-160.
29. Newey, W. K.,Powell, J.(1987).Asymmetric Least Squares Estimation and Testing.Econometrica,55,819-847.
30. Pan, J.,Poteshman, A. M.(2006).The Information in Option Volume for Future Stock Prices.Review of Financial Studies,19(3),871-908.
31. Roll, R.,Schwartz, E.,Subrahmanyam, A.(2010).O/S: The Relative Trading Activity in Options and Stock.Journal of Financial Economics,96(1),1-17.
32. Ryu, D.,Yang, H.(2019).Who Has Volatility Information in the Index Options Market?.Finance Research Letters,30(C),266-270.
33. Shiu, Y. M.,Pan, G. G.,Lin, S. H.,Wu, T. C.(2010).Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime Crisis.Journal of Derivatives,17(4),54-66.
34. Srinivas, P. S., “Trade Size and the Information Content of Option Trades,” Working Paper, Cornell University, 1993.
35. Stephan, J. A.,Whaley, R. E.(1990).Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets.Journal of Finance,45(1),191-220.
36. Suominen, M.(2001).Trading Volume and Information Revelation in Stock Market.Journal of Financial and Quantitative Analysis,36(4),545-565.
37. Vijh, A. M.(1990).Liquidity of the CBOE Equity Options.Journal of Finance,45(4),1157-1179.
38. Wang, J.(1994).A Model of Competitive Stock Trading Volume.Journal of Political Economy,102(4),127-168.
39. Yu, H. Y.,Hsieh, S. F.(2010).The Effect of Attention on Buying Behavior During a Financial Crisis: Evidence from the Taiwan Stock Exchange.International Review of Financial Analysis,19(4),270-280.
40. 封福育(2008)。我國滬深股市價量關係實證分析─基於分位數迴歸估計。商業經濟與管理，200(6)，75-59。

1. (2022)。三大法人選擇權交易量比與隔日報酬關聯性之研究。期貨與選擇權學刊，15(1)，77-112。