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題名：不同類交易人的衍生性金融商品交易活動對標的資產的資訊效果
作者：郭玟秀 引用關係
作者(外文)：Wen-Hsiu Kuo
校院名稱：國立成功大學
系所名稱：企業管理學系碩博士班
指導教授：江明憲
學位類別：博士
出版日期：2006
主題關鍵詞：資訊內容；多市場連續交易資訊模型；交易人類別；符號交易活動；衍生性金融商品；Information content；Multimarket sequential trade information-based m；Derivatives；Traders types；Signed trading activity
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本文主要研究目的是探討台灣衍生性金融商品交易活動對標的資產價格變動的資訊內容，以檢定Easley, O’Hara, and Srinivas (1998)的理論假說(EOS模型)。一、利用台灣期貨交易所提供各類交易人的不同類型的期貨買入和賣出交易活動日資料(交易量、未平倉量、新倉交易量)，定義不同的方向性期貨交易活動衡量指標，(1)檢視衍生性金融商品市場交易活動是否會影響未來標的資產市場價格變動，以驗證台灣衍生性金融和標的資產市場是否處於EOS模型的共同均衡假說；(2)首先在EOS模型中考慮市場內交易人類別因素，以了解EOS理論方向假設在不同類交易人底下，個別資訊內容如何？二、利用台灣期貨交易所的「公布大額交易人未沖銷部位結構資訊」新制資料，探討此資訊揭露新制對標的資產價格變動是否有資訊效果。
本研究重要的實證結果與意涵如下：
1.台灣衍生性金融商品市場交易活動對未來標的資產價格變動有顯著的資訊內容，整體上，支持台灣衍生性金融商品市場和標的資產市場間處於EOS理論的共同均衡假說。然而，性金融商品整體市場交易對標的資產價格變動的影響方向是否符合EOS理論預期，似乎會受市場內交易人結構因素所影響。
2.以下強烈證據顯示，衍生性金融商品方向性交易活動對標的資產價格變動的影響方向是否符合EOS理論假設，確實因不同類交易人而異，支持本文的預期。
(1)自然人的近、遠期期貨交易皆為反向現貨市場指標，不符合EOS,理論方向預期。
(2)各機構交易人的近期期貨交易影響的結果較不一；但遠期期貨交易(交易量、未平倉量、新倉交易量)影響結果一致，為正向現貨市場指標，符合EOS理論方向預期。
(3)整體機構交易人的近月、遠月期貨交易則皆為正向現貨市場指標。
(4)大額交易人的未沖銷部位資訊是一正向現貨市場指標，符合EOS理論方向預期；非大額交易人則是反向指標，不符合EOS理論方向預期。
3本文發現亦符合文獻上交易人行為相關理論所提出的量-價關係會因不同類交易人而異，支持DeLong, Shleifer, Summers, and Waldmann (1990)雜訊交易者模型所指出的市場中知識練達投資人與雜訊交易人二者傾向以相反方向移動價格之假說。
This dissertation investigates the information effects of Taiwan derivatives trading activities on the underlying assets price movements to test the theoretical model of Easley, O’Hara, and Srinivas (1998) (EOS model). First, using a unique data set that consists of different measurements of buying and selling futures trading activity (volume, open interest, open-trades) on a daily basis for various trader types from Taiwan Futures Exchange, this study examines (1) whether the Taiwan derivatives and underlying assets markets are in the pooling equilibrium of EOS model；(2) the individual information content of derivatives trading activities for various trader types on the underlying assets price movements to understand whether the support for the directional hypotheses of EOS model depends on trader types. Second, employing a “Structure of Open Interest of Large Traders” data set reported by Taiwan Futures Exchange newly, this study explore whether the new information release report contains information about the underlying assets price movements.
The findings and implications of these empirical results are as follows:
1. The empirical results show that derivatives trading activities contain information content about future underlying assets price movements in Taiwan. Overall, our results support that the Taiwan derivatives and underlying assets markets are in the pooling equilibrium hypotheses of EOS model. However, whether direction of effect of derivatives marketwide trading on the underlying assets price movements is consistent with the directional hypotheses of EOS model will be influenced by traders structure in derivatives market.
2. We present strong evidence showing that derivatives trading activities of various trader types have different direction of effect on the underlying assets price movements. The findings support our expectation that whether the support for the directional hypotheses of EOS model depends on trader types. We find that
(1) The short- and long-term derivatives trades of individual investors are negatively correlated with subsequent underlying assets price movements, inconsistent with the directional hypotheses of EOS model.
(2) The evidence of direction effect of the short-term derivatives trades for various institutional investors on subsequent underlying assets price movements is mixed. However, the long-term derivatives trades of various institutional investors are positively correlated with subsequent underlying assets price movements, consistent with the directional hypotheses of EOS model.
(3) The short- and long-term derivatives trades of the whole institutional investors are positively correlated with subsequent underlying assets price movements.
(4) The open interest data of large (non-large) futures trader is positively (negatively) correlated with subsequent underlying assets price movements, consistent (inconsistent) with the directional hypotheses of EOS model.
3. The empirical results are also consistent with the suggestions that investor trading may be characterized by specific trading patterns in investors behavior literature, supporting noise trader model of DeLong et al. (1990) documents sophisticated investors and noise traders seem to move prices in contrary direction.
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