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題名：臺灣選擇權市場交易活動之實證研究：文獻回顧與展望
書刊名：經濟論文叢刊
作者：張傳章 引用關係／謝佩芳 引用關係
作者(外文)：Chang, Chuang-chang／Hsieh, Pei-fang
出版日期：2016
卷期：44:1
頁次：頁57-75
主題關鍵詞：資訊內涵；行為財務學；臺指選擇權；實證研究；文獻回顧；Information content；Behavior finance；Taiwan index options；Empirical study
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:0
  • 點閱點閱:16
台灣期貨交易所自2001年12月推出臺指選擇權以來，其交易量逐年增加，至2006年時，台指選擇權已成為全球前五大交易頻繁之選擇權商品，因此以台指選擇權為對象之實證研究益顯得重要。本文撰寫之目的在於有系統地彙整以台灣選擇權市場為研究對象之代表性文章，並以選擇權商品交易量之資訊內涵為主軸加以回顧整理希望能有助於國內學者了解並深化研究台灣選擇權市場之相關重要議題。
An index option was launched in December 2001 by the Taiwan Futures Exchange, and became one of the world’s top five trading index options in terms of trading frequency in 2006. Therefore, many scholars have done empirical studies on the Taiwan index option over the past few years. The purpose of this study is to systematically investigate representative articles that focus on the Taiwan options market data. We hope that this survey article can help scholars understand and do further interesting research on the Taiwan options market.
期刊論文
1.Liu, Yu-Jane、Wang, Ming-Chun、Zhao, Longkai(2010)。Narrow framing: Professions, sophistication, and experience。Journal of Futures Markets，30(3)，203-229。  new window
2.Johnson, Travis L.、So, Eric C.(2012)。The Option to Stock Volume Ratio and Future Returns。Journal of Financial Economics，106(2)，262-286。  new window
3.Anand, Amber、Chakravarty, Sugato(2007)。Stealth Trading in Options Markets。Journal of Financial and Quantitative Analysis，42(1)，167-187。  new window
4.Chang, Chuang-Chang、Hsieh, Pei-Fang、Lai, Hung-Neng(2013)。The Price Impact of Options and Futures Volume in After-Hours Stock Market Trading。Pacific-Basin Finance Journal，21(1)，984-1007。  new window
5.Chou, Robin K.、Wang, Yun-Yi(2009)。Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange。The Journal of Futures Markets，29(12)，1102-1129。  new window
6.Han, Bing(2008)。Investor Sentiment and Option Prices。Review of Financial Studies，21(1)，387-414。  new window
7.Cao, Charles、Chen, Zhiwu、Griffin, John M.(2005)。Informational content of option volume prior to takeovers。Journal of Business，78(3)，1073-1109。  new window
8.Chan, Kam C.、Chang, Yuanchen、Lung, Peter P.(2009)。Informed trading under different market conditions and moneyness: Evidence from TXO options。Pacific Basin Finance Journal，17，189-208。  new window
9.Chang, Chuang-Chang、Hsieh, Pei-Fang、Wang, Yaw-Huei(2010)。Information content of options trading volume for future volatility: Evidence from the Taiwan options market。Journal of Banking and Finance，34，174-183。  new window
10.Mayhew, Stewart、Sarin, Atulya、Shastri, Kuldeep(1995)。The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements。Journal of Finance，50(5)，1635-1653。  new window
11.Pan, Jun、Poteshman, Allen M.(2006)。The information in option volume for future stock prices。Review of Financial Studies，19，871-908。  new window
12.Ni, Sophie X.、Poteshman, Allen M.、Pan, Jun(2008)。Volatility Information Trading in the Option Market。Journal of Finance，63(3)，1059-1091。  new window
13.Lee, Mingchih、Chen, Chun-Da(2005)。The Intraday Behaviors and Relationships With its Underlying Assets: Evidence on Option Market in Taiwan。International Review of Financial Analysis，14(5)，587-603。  new window
14.Chang, Chuang-Chang、Hsieh, Pei-Fang、Lai, Hung-Neng,(2009)。Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange。Journal of Banking & Finance，33，757-764。  new window
15.Chan, Kalok、Chung, Y. Peter、Fong, Wai-Ming(2002)。The Informational Role of Stock and Option Volume。Review of Financial Studies，15(4)，1049-1075。  new window
16.Levin, Irwin P.、Schneider, Sandra L.、Gaeth, Gary J.(1998)。All Frames Are Not Created Equal: A Typology And Critical Analysis of Framing Effects。Organizational Behavior and Human Decision Processes，76(2)，149-188。  new window
17.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。Journal of Finance，50，1175-1199。  new window
18.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-Volume Data。Journal of Finance，43(4)，949-964。  new window
19.Vijh, Anand M.(1990)。Liquidity of the CBOE Equity Options。Journal of Finance，45(4)，1157-1179。  new window
20.Lakonishok, Josef、Lee, Inmoo、Pearson, Neil D.、Poteshman, Allen M.(2007)。Option market activity。Review of Financial Studies，20，813-857。  new window
21.Johnson, Herb、Chung, Y. Peter、Chan, Kalok(1993)。Why option prices lag stock prices: A trading-based explanation。Journal of Finance，48，1957-1967。  new window
22.Stephan, Jens A.、Whaley, Robert E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance，45(1)，191-220。  new window
23.Jiang, George J.、Tian, Yisong S.(2010)。Misreaction or misspecification? A re-examination of volatility anomalies。Journal of Banking and Finance，34(10)，2358-2369。  new window
24.Poteshman, Allen M.(2001)。Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market。Journal of Finance，56(3)，851-876。  new window
25.Black, Fischer(1975)。Fact and Fantasy in the Use of Options。Financial Analysts Journal，31(4)，36-41+61-72。  new window
26.Roll, Richard、Schwartz, Eduardo、Subrahmanyam, Avanidhar(2010)。O/S: The relative trading activity in options and stock。Journal of Financial Economics，96(1)，1-17。  new window
27.Chakravarty, Sugato、Gulen, Huseyin、Mayhew, Stewart(2004)。Informed trading in stock and option markets。Journal of Finance，59(3)，1235-1257。  new window
28.Chang, Chuang-Chang、Hsieh, Pei-Fang、Wang, Yaw-Huei(2015)。Sophistication, Sentiment, and Misreaction。Journal of Financial and Quantitative Analysis，50(4)，903-928。  new window
29.Tversky, Amos、Kahneman, Daniel(1981)。The Framing Effect of Decisions and the Psychology of Choice。Science，211，453-458。  new window
30.Barclay, Michael J.、Warner, Jerold B.(1993)。Stealth and Volatility: Which Trades Move Prices?。Journal of Financial Economics，34，281-306。  new window
31.Chang, Chuang-Chang、Hsieh, Pei-Fang、Tang, Chih-Wei、Wang, Yaw-Huei(2013)。The Intraday Behavior of Information Misreaction Across Various Categories of Investors in the Taiwan Options Market。Journal of Financial Market，16(2)，362-385。  new window
32.Hsieh, Wen-liang G.、He, Huei-Ru(2014)。Informed Trading, Trading Strategies and the Information Content of Trading Volume: Evidence from the Taiwan index options market。Journal of International Financial Markets, Institutions and Money，31(1)，187-215。  new window
33.Kuo, Wei-Yu、Lin, Tse-Chun、Zhao, Jing(2012)。Does Cognitive Limitation Affect Investor Behavior and Performance? Evidence from Limit Order Clustering。Review of Financial Studies，28，838-875。  new window
34.Lee, Tsun-Siou、Lu, Chia-Yu、Chiang, Mu-Wei(2005)。The Information Content of the Volatility Index Implied by TAIEX Index Options。Review of Securities and Futures Markets，17，1-42。  new window
35.Mahani, Reza S.、Poteshman, Allen M.(2008)。Overreaction to Stock Market News and Misevaluation of Stock Prices by Unsophisticated Investors: Evidence from the Options Market。Journal of Empirical Finance，15，635-655。  new window
36.Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance，53(2)，431-465。  new window
37.Stein, Jeremy(1989)。Overreactions in the Options Market。Journal of Finance，44(4)，1011-1023。  new window
38.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
39.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance，46(2)，733-746。  new window
40.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
41.Back, Kerry(1993)。Asymmetric Information and Options。Review of Financial Studies，6，435-472。  new window
42.Lee, Jason、Yi, Cheong H.(2001)。Trade size and information-motivated trading in the options and stock markets。Journal of Financial and Quantitative Analysis，36，485-501。  new window
研究報告
1.Chang, Chuang-Chang、Hsieh, Pei-Fang、Lai, Hung Neng、Lai, Wei cheng(2014)。The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange。National Central University。  new window
2.Han, Bing、Lee, Yi-Tsung、Liu, Yu-Jane(2010)。Investor Trading Behavior and Performance: Evidence from Taiwan Stock Index Options。University of Texas at Austin。  new window
3.Lemmon, Michael L.、Ni, Sophie X.(2008)。The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options。University of Utah。  new window
4.Srinivas, P. S.(1993)。Trade Size and the Information Content of Option Trades。Cornell University。  new window
 
 
 
 
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