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研究生： 許為森
Wei-sen Hsu
論文名稱： 交易額對價格變動之影響--以台指選擇權為例
Which Trades Move Prices?: Evidence from TAIEX Option Market
指導教授： 張傳章
Chuang-chang Chang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 97
語文別： 英文
論文頁數： 42
中文關鍵詞： 隱藏性交易 、台指選擇權
外文關鍵詞： TAIEX option, stealth trading
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    • 本研究主要是依據Barclay 和Warner (1993)所提出之方法，探討台灣指數選擇權市場是否存在著隱藏性交易行為(stealth trading behavior)。我們發現台指選擇權市場上大部分的累積變動是來自於小型單的交易，而與其所對應之交易次數和交易量皆不成比例，隱含著該市場上的私有資訊者(informed investors)傾向使用小型單。此外本研究也探討選擇權的特性對隱藏性交易行為之影響，實證結果指出價內選擇權的累積價格變動主要來自於小型單；然而，價外以及近價平的選擇權之累積價格變動卻來自於中型單的交易。由於我們所採用的資料具有其特殊性，使得我們進一步地發現那些主要導致累積價格變動的小型單之交易者為機構法人。而研究結果也證實了一般被視為是私有資訊者的國外法人，其交易行為所產生的主要累積價格變動卻是來自於中型單的交易。

    In this thesis, we investigate the stealth trading behaviors by analyzing which trades move price for the TAIEX option market. We find that small-sized trades are associated with a disproportionately large cumulative option-series price change relative to their proportion of trading frequency and volume separately. Besides, we also consider the effects of option characteristics, such as moneyness, on fragmenting trades. Our finding reveals that the largest cumulative price changes from the in-the-moneyness options are attributed to the small trades; whereas, for the out-the-moneyness and the near-the-moneyness options, medium-sized trades are responsible for the most price movements. Due to having the unique dataset, we further verify that the source of this disproportionately large price impact of small-sized trades is mainly initiated by institutions. Moreover, for individual investors, most of the cumulative price changes come from the medium-sized trades.

    中文摘要 ........................................................................................................................ I Abstract ......................................................................................................................... II 誌謝辭 ......................................................................................................................... III List of Table .................................................................................................................. V 1.Introduction ................................................................................................................. 1 2. Hypotheses and Methodology ................................................................................... 5 2.1 Trading Hypotheses ......................................................................................... 5 2.2 Dependent variable .......................................................................................... 6 2.3 Weighted least square regression ..................................................................... 7 3. Data and Classification .............................................................................................. 9 3.1 Data .................................................................................................................. 9 3.2 Trade Size Classification.................................................................................. 9 3.3 Summary Statistics ......................................................................................... 10 4. Empirical Results ..................................................................................................... 11 4.1 All price changes ............................................................................................ 11 4.2 Stealth trading Behaviors varying with option characteristics ...................... 13 4.3 Stealth trading behaviors across different identities of investors .................. 15 5. Conclusions .............................................................................................................. 18 References .................................................................................................................... 19

    Anand, A. and S. Chakravarty, 2007, “Stealth Trading in Options Markets”, Journal of Financial and Quantitative Analysis, Vol.42, No.1, pp.167-188
    Barclay, M. J. and J. B. Warner, 1993, “Stealth Trading and Volatility: Which Trades Move Prices?” Journal of Financial Economics, Vol.34, No.3, pp.281-305
    Cai, B. M., C. X. Cai and K. Keasey, 2006, “Which Trades Move Prices in Emerging Markets? Evidence from China’s Stock Market”, Pacific-Basin Financial Journal, Vol.14, pp.453-466
    Chakravarty, S., 2001, “Stealth-Trading: Which Trader’ Trades Move Stock Prices?” Journal of Financial Economics, Vol.61, No.2, pp.289-307
    Chakravarty, S., Gulen, H., Mayhew, S., 2004, “Informed Trading in Stock and Option Markets”, Journal of Finance, Vol.59, pp.1235-1257
    Chang, C.-C., P.-F. Hsieh and H.-N. Lai, 2008, “Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange”, Journal of Banking and Finance
    Lu, Y.-C., 2008, “Does Stealth Trading Behavior and Price Manipulation Reveal in the Institutional Investors in the Taiwan Stock Market?” (Working paper)
    Pan, J. and A. M. Poteshman, 2006, “The Information in Option Volume for Future Stock Prices”, Review of Financial Studies, Vol. 19, pp.871-220

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