2017-01-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/680899摘要：衍生性商品交易包含了前瞻性資訊，資訊交易者可能傾向於衍生性生商品(而非現貨)市場啟動其私有資訊之實現。因此，已有為數不少之研究探討衍生性商品隱含訊息對於標的資產未來價格動態之資訊內涵。然而，大部分之現有研究皆只著重在單一市場(特別是選擇權市場)或只著重在整個市場的層級。此研究計畫再度探討衍生性商品交易之資訊內涵相關議題，但整合了現貨與衍生性商品市場之交易，且特別著重在機構投資人之交易(在財務文獻上，機構投資人往往被視為訊息交易者)。 在第一個子計畫中，此研究將探討是否整合S&P 500指數選擇權和VIX選擇權之交易活動可以進一步提升對於S&P 500指數報酬波動率之預測。在第二個子計畫中，此研究將提出從選擇權交易衡量動態資訊交易機率的指標(包含價格與波動率資訊)，並且實證探討這些指標對於標的資產價格動態的預測，此研究著重在從S&P 500指數選擇權與VIX選擇權市場萃取出的機率。 在第三與四個子計畫中，基於機構投資人於臺灣股票較易所與臺灣期貨交易所之完整交易紀錄的取得，此研究將探討機構投資人跨現貨、期貨與選擇權市場之交易活動對於現貨資產未來價格動態之資訊內涵。第三個子計畫將著重在機構投資人之買賣單不對稱與資訊交易機率，而第四個子計畫將著重在機構投資人之修改下單行為。 此研究預計對於文獻有以下貢獻：(1) 提供多種衡量隱含在現貨與衍生性商品市場之價格與波動率訊息之指標、(2) 加強對於資訊交易者於現貨、期貨與選擇權市場交易之瞭解與(3) 提供如何利用從資訊交易者之交易中萃取資訊進行報酬率與波動率預測之指導方針。 <br> Abstract: Derivatives trading contains forward-looking information, and informed traders may prefer to initiate the realization of their private information from derivatives markets instead of the spot market. Therefore, a number of studies has explored the information content of derivatives-implied information for the future price dynamics of the underlying asset. However, most of these studies focus on only one market, particularly the option market or the market wise level. This project plans to revisit the information content of derivatives trading by aggregating the information across the spot and derivatives markets and by focusing on institutional traders’ transactions, given that institutional traders are usually regarded as informed traders in finance literature. In the first subproject, we plan to explore whether the information aggregated from the trading activities in the S&P 500 index option and VIX option markets can substantially improve the volatility prediction of the S&P 500 index returns. In the second subproject, we plan to propose the measures of probability of informed trading from option contracts in terms of both price direction and volatility and then empirically explore the information content of these measures for future dynamics of the spot asset prices. In particular, we focus on the probabilities extracted from S&P 500 index options and VIX options. In the third and fourth subprojects, given the availability of the complete record of institutional investors’ transactions in the Taiwan Stock Exchange and Taiwan Futures Exchange, we plan to investigate the information content of institutional investors’ trading activities across spot, futures, and option markets for the future price dynamics of the underlying asset. Specifically, the third and fourth subprojects will focus on institutional investors’ order imbalances and probabilities of informed trading and on their order revisions, respectively. This study will contribute to the literature by providing many alternative proxies to measure the price direction and volatility information implied in the transactions across spot and derivatives markets, by enhancing the understanding of informed traders’ transactions across spot, futures, and option markets, and by providing a guideline on how to use the information extracted from informed traders’ transactions to predict returns and volatility.股票期貨選擇權VIX報酬率波動率預測.StockFuturesOptionsVIXReturnsVolatilityPrediction.