CAJ | 학술논문

本文利用台指期权市场详细的高频交易数据，在Bollen and Whaley（2004）的净购买压力假设理论基础上，对台指期权市场三类主要投资者的净购买压力指标中所隐含的方向信息和波动率信息进行了实证研究。本文发现，台指期权市场存在部分方向信息交易者，他们拥有未来台指涨跌的私有信息并通过期权交易来获取收益，但三类投资者几乎都不含未来台指波动率的信息。从三类投资者的信息差异来看，岛外机构投资者是最显著的方向信息交易者，其次是岛内机构投资者，个人投资者的净购买压力中的信息含量最为有限。
본문이용태지기권시장상세적고빈교역수거，재Bollen and Whaley（2004）적정구매압력가설이론기출상，대태지기권시장삼류주요투자자적정구매압력지표중소은함적방향신식화파동솔신식진행료실증연구。본문발현，태지기권시장존재부분방향신식교역자，타문옹유미래태지창질적사유신식병통과기권교역래획취수익，단삼류투자자궤호도불함미래태지파동솔적신식。종삼류투자자적신식차이래간，도외궤구투자자시최현저적방향신식교역자，기차시도내궤구투자자，개인투자자적정구매압력중적신식함량최위유한。
In this paper, on the basis of net buying - pressure theory in the papers of Bollen and Whaley （ 2004 ）, we examine the informational content of net buying - pressure of three different types of investors by using the detailed high frequency transaction data in TX0 market. We conclude that there do exist some direction information traders in TXO market, they have the private information about the future direction of the index, and make the money by trading option. But all of the three types of investor don＇t have the volatility information. From the view of different information content of investors, we find that the foreign institutional investors have most information, and then the domestic institutional investors, individual investor contain virtually no information.