本文藉由Easley, O’Hara and Srinivas (1998)提出的多元市場序貫交易模型（multimarket sequential trade model）來驗證台灣選擇權與股票市場間資訊的連結。利用台指選擇權交易量來探討與股價指數之間的關連，檢定台灣選擇權是否有知情交易者交易。結果指出台灣選擇權市場中投資人的交易活動是具有資訊內涵的，因此台指選擇權交易量具有預測股價指數的能力，亦即台指選擇權的交易量含有股價指數未來變動的資訊。台指選擇權的正、負交易量領先股價指數長達45分鐘以上；而與Easley, O’Hara and Srinivas (1998)實證結果不同的是一般標準定義的台指選擇權交易量也具有預測股價指數的能力，其領先股價指數長達25分鐘。

We investigate the information link between Taiwan option and stock markets by using the multimarket sequential trade model developed by Easley, O’Hara and Srinivas (1998). We test the condition if informed traders trade in the Taiwan option market by investigating the information role of TXO trading volume in Taiwan option market. The result shows that traders’ activity in Taiwan option market is informative and TXO trading volumes have information content for future stock index movements. We show that the “positive news” and “negative news” option volumes can predict stock index over 45 minutes; what is different from the empirical result of Easley, O’Hara and Srinivas (1998) is that in Taiwan option market even the standard call, put or all option volumes have predictive power for 25 minutes.

目錄
第一章 緒論 ……………………………………………………………1
第一節 研究動機 ……………………………………………………………………1
第二節 研究目的 ……………………………………………………………………2
第三節 研究流程 ……………………………………………………………………4
第四節 論文架構與內容簡介 ………………………………………………………6
第二章 理論與文獻探討 ………………………………………………7
第一節 股票及選擇權市場的資訊連結 ……………………………………………7
第二節 資訊交易機率模型 ………………………………………………………..11
第三節 多元市場序貫交易模型之基礎結構 ……………………………………..15
第四節 均衡價格與知情交易者 …………………………………………………..19
第五節 因果關係測試 ……………………………………………………………..27
第六節 小結 ………………………………………………………………………..29
第三章 研究方法 ……………………………………………………..30
第一節 研究假設 …………………………………………………………………..30
第二節 實證方法 …………………………………………………………………..31
第三節 樣本選取與處理 …………………………………………………………..36
第四章 實證分析 ……………………………………………………..39
第一節 交易分類結果 ……………………………………………………………..39
第二節 序列檢定與調整結果 ……………………………………………………..40
第三節 市場狀態檢定結果 ………………………………………………………..43
第四節 預測力的時間及方向檢定結果 …………………………………………..46
第五章 結論與建議 …………………………………………………..53
第一節 研究結論 …………………………………………………………………..53
第二節 研究限制 …………………………………………………………………..55
第三節 研究建議 …………………………………………………………………..55
參考文獻 ………………………………………………………………57
國外文獻 ……………………………………………………………………………57
附錄一…………………………………………………………………..60

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