臺灣指數週選選擇權未沖銷量對股市是否具有預測能力?

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/92639

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/92639

Title:	臺灣指數週選選擇權未沖銷量對股市是否具有預測能力?
Authors:	李秉聰;Li, Ping-Tsung
Contributors:	財務金融學系在職專班
Keywords:	台指選擇權;未沖銷量;價格發現
Date:	2023-07-04
Issue Date:	2024-09-19 16:03:46 (UTC+8)
Publisher:	國立中央大學
Abstract:	在金融市場中，選擇權是一個重要的交易工具，它不僅提供了投資者保護風險和進行槓桿交易的機會，還反映了市場參與者對未來價格走勢的看法和預期。臺灣指數週選選擇權作為一種近年來快速發展的衍生性金融商品，其交易量在臺灣市場逐年攀升。本研究利用迴歸模型分析臺灣指數週選選擇權未沖銷量與臺灣加權股價指數之關聯性，資料區間以臺灣指數週選選擇權2012年11月首次推出以來至2022年12月28日作為研究樣本，經研究實證後，發現臺灣指數週選選擇權買權未沖銷量對股市具有預測能力。;In the financial market, options are an important trading instrument that not only provides investors with opportunities to hedge risks and engage in leveraged trading but also reflects market participants′ views and expectations regarding future price movements. Taiwanese Weekly Index Options, as a rapidly developing derivative financial product in recent years, have witnessed an increasing trading volume in the Taiwanese market. This study utilizes regression models to analyze the correlation between the open interest of Taiwanese Weekly Index Options and the Taiwan Weighted Stock Index. The data interval used as the research sample is from the inception of Weekly Index Options in November 2012 until December 28, 2022. After empirical analysis, it was found that the open interest of Taiwanese Weekly Index Call Options has predictive capability for the stock market.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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