股票與選擇權市場之資訊交易與訊息揭露

Informed Trading and Information Revelation in Stock and Option Markets

10.29698/FJMR.200909.0001

韓千山(Chien-Shan Han)；李宗培(Tsung-Pei Lee)；杜俊賢(Chun-Hsien Tu)

市場微結構 ； 資訊不對稱 ； 分離均衡 ； 混合均衡 ； 槓桿效果 ； Market Microstructure ； Information Asymmetry ； Separating Equilibrium ； Pooling Equilibrium ； Leverage Effect

輔仁管理評論

16卷3期（2009 / 09 / 01）

1 - 21

繁體中文

本文延伸Easley & O'Hara(1987)之股票市場微結構模型，考慮開放選擇權市場後對股票市場交易會有何衝擊，並且探討擁有優勢訊息的交易者如何利用他的訊息在股票與選擇權市場上進行交易而獲得利潤。本文發現選擇權的加入會使知訊者不願在股票市場交易大額股票，因爲當知訊者看到好消息發生並且交易大額股票會提升股票價格，而進一步壓縮了選擇權的利潤空間。除此之外，知訊者在股票交易的數量，以及在選擇權使用買賣權的可能性，本文也檢驗了相關市場變數對資訊優勢者在股票交易行爲以及選擇權交易策略的影響。

This paper extends the model built by Easley & O'Hara (1987) to develop a two-period model to analyze how options trading influence the stock market. In our model, informed traders should decide how to use his private information to make profit from stock and option trading. We find that the informed traders are unwilling to trade with larger amounts in the stock market. The reason is that trading with larger amounts will worsen the stock price conditions and then reduce the profits of trading options. Furthermore, we also examine the relative variables that determine the stock trading volume and the option strategies.

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