跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 蘇育賢
Su, Yu Hsien
論文名稱： 賭博與避險：選擇權交易動機之研究
Gambling and Hedging: Motives for Options Trading
指導教授： 周冠男
Robin K. Chou
學位類別： 碩士
Master
系所名稱： 商學院 - 財務管理學系
Department of Finance
論文出版年： 2013
畢業學年度： 101
語文別： 英文
論文頁數： 45
中文關鍵詞： 淨買壓 、賭博動機 、避險需求 、替代效果
外文關鍵詞： net buying pressure, gambling desire, hedging demand, substitution effect
相關次數： 點閱：204  下載：67 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本研究建立「投資機構假說」及「避險假說」，利用此二假說探討兩個主題。1) 選擇權市場中何種投資人擁有影響價格的能力？ 2) 投資人交易選擇權的動機。本研究利用自台灣期貨交易所取得的帳戶別資料，得以將整體市場的淨買壓細部區分為各類別投資人的淨買壓以深入研究本研究之主題。實證結果顯示，台指選擇權市場中，散戶與外資法人皆有能力影響選擇權價格；實證結果也指出，散戶交易選擇權的動機包含賭博動機、避險需求與替代效果，而外資法人交易選擇權的動機則不包含賭博動機。此外，本研究亦發現在兩項賭博動機的替代變數中，僅有類樂透股票交易量顯著影響國內法人交易選擇權的動機，樂透交易的代理變數則不顯著。此一結果顯示，國內法人並未視選擇權與樂透為替代品。

    Abstract
    In this paper, we construct two hypotheses, institutions hypothesis and hedging hypothesis to investigate 1) which types of investors have price impact in options market? 2) motives for investors to trade options, respectively. Thanks to a unique dataset obtained from Taiwan Futures Exchange, we can decompose the overall net buying pressure into net buying pressure initiated by each investor type. Empirical results show that both individual investor and foreign institutions have price impact in Taiwan options market. Besides, we also demonstrate that motives for individual investors to trade options could contain gambling desire, hedging demand, and substitution effect; however, motives for foreign institutions to trade options do not contain gambling desire. Furthermore, we conclude that only trading volume of lottery-style stocks affects NBP from domestic institutions among two gambling proxies. This result suggest that gambling could be one of the motives for domestic institutions to trade options, but lottery and options are not substitution goods. After all, it is non-sense that domestic institutions gamble by buying lotteries.

    Table of Contents
    List of Tables iii
    I. Introduction 1
    II. Literature Review and Hypotheses 4
    II.1 Options Volatility Smile 4
    II.2 Behavioral Bias 5
    II.2.1 Overconfidence 7
    II.2.2 Sensation Seeking (or Gambling) 8
    II.3 Hypotheses 11
    III. Data, TAIFEX, TAIEX Options, and Lottery 13
    III.1 The Trading Mechanism of the TAIFEX and TAIEX Options 13
    III.1.1 Futures Market 13
    III.1.2 Options Market 13
    III.1.3 Lottery Market 14
    III.2 Data Description 15
    IV. Methodology 19
    IV.1 Institutions Hypothesis 19
    IV.2 Hedging Hypothesis 22
    V. Empirical Results 27
    V.1 Institutional Hypothesis 27
    V.2 Hedging Hypothesis 35
    V.3 Robustness Test 40
    VI. Conclusion 41
    VII. Reference 43

    VII. Reference
    1. Anderson, T., Benzoni, L., and Lund, J., 2002, “An empirical investigation of continuous-time equity return models”, The Journal of Finance, 57, 1239-1284
    2. Barberis, N., and Huang, M., 2008, “Stocks as lotteries: The implications of probability weighting for securities prices”, American Economic Review, 98, 2066-2100
    3. Barber, B. M. and Odean, T., 2001, “Boys will be boys: gender, overconfidence, and common stock investment,” Quarterly Journal of Economics, 116, 261-292
    4. Barber, B. M. and Odean, T., 2008, “All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors”, The Review of Financial Studies, 21(2), 785-818
    5. Barber, B.M., Odean, T., and Zhu, N., 2009, “Do retail trades move market?”, The Review of Financial Studies, 22(1), 151-186
    6. Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2009, “Just how much do individual investors lose by trading?” The Review of Financial Studies, 22, 609-632
    7. Bates, D. S., 2000, “Post-’87 crash fears in the S&P 500 futures options market”, Journal of Econometrics, 94, 181-238
    8. Benos, A. V., 1998, “Aggressiveness and survival of overconfident traders”, Journal of Financial Markets, 1, 353-383
    9. Biais, B., Hilton, D., Mazurier, K., and Pouget, S., 2005, “Judgemental overconfidence, self-monitoring, and trading performance in an experimental financial market”, Review of Economic Studies, 72, 287-312
    10. Black, F., 1976, “Studies of stock price volatility changes”, Proceedings of the 1976 Meetings of the Business and Economics Section, 177-181 (American Statistical Association)
    11. Black, F. and Scholes, M., 1973, “The pricing of options and corporate liabilities”, Journal of Political Economics, 81(3), 637-654
    12. Bollen, K., and Whaley, R., 2004, “Does net buying pressure affect the shape of implied volatility functions?”, The Journal of Finance, 59(2), 711-753
    13. Busse, J. A. and Green, T. C., 2002, “Market efficiency in real time”, Journal of Financial Economics, 65, 415-437
    14. Chan, K., Cheng, L., and Lung, P., 2004, “Net buying pressure, volatility smile, and abnormal profit of Hang Seng index options,” The Journal of Futures Markets, 24(12), 1165-1194
    15. Chan, K., Cheng, L., and Lung, P., 2006, “Testing the net buying pressure hypothesis during the Asian financial crisis: evidence from Hang Seng index options,” The Journal of Financial Research, 29(1), 43-62
    16. Christofferson, P., Jacobs, K., and Mimouni, K., 2010, “Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices”, The Review of Financial Studies, 23(8), 3143-3189
    17. Dupire, B., 1998, “Pricing with a smile”, Risk, 7, 536-544
    18. Epps, T. W., and Epps, M. L., 1976, “The stochastic dependence of security price changes and transaction volumes: Implication for the mixture of distribution hypothesis”, Econometrica, 44, 302-321
    19. Frechette, D. L., 2001, “The demand for hedging with futures and options”, The Journal of Futures Market”, 21, 693-712
    20. Gao, X., and Lin, T. C., 2011, “Do individual investors trade stocks as gambling? Evidence from repeated natural experiments”, Working Paper
    21. Garvais, S., and Odean, T., 2001. “Learning to be overconfident”, The Review of Financial Studies, 14(1), 1-27
    22. Glaser, M. and Weber, M., 2007, “Overconfidence and trading volume”, Geneva Risks and Insurance Review, 32, 1-36
    23. Grinblatt, M. and Keloharju, M., 2009, “Sensation seeking, overconfidence, and trading activity”, The Journal of Finance, 64(2), 549-578
    24. Horvath, P. and Zuckerman, M., 1993, “Sensation seeking, risk appraisal, and risky behavior”, Personality and Individual Differences, 14, 41-52
    25. Kahneman, D., and Tverskey, A., 1979, “Prospect theory: An analysis of decision under risk,” Econometrica, 47, 263-291
    26. Kumar, A., 2009, “Who gambles in the stock market?”, The Journal of Finance, 64(4), 1889-1933
    27. Kumar, A., 2009, “Hard-to-value stocks, behavioral biases, and informed trading”, Journal of Financial and Quantitative Analysis, 44(6), 1375-1501
    28. Larkin, J., Brooksby, A., Lin, C.T., and Zurbruegg, R., 2012, “Implied volatility smiles, option mispricing and net buying pressure: evidence around the global financial crisis,” Accounting and Finance, 52, 47-69
    29. Rajnish, M. and Edward, C. P., 1985, “The equity premium a puzzle,” Journal of Monetary Economics, 15, 145-161
    30. Shefrin, H. M., and Statman, M., 2000, “Behavioral portfolio theory”, Journal of Financial and Quantitative Analysis, 35, 127-151
    31. Shlomo, B. and Richaed, H. T., 1995, “Myopic loss aversion and the equity premium puzzle,” The Quarterly Journal of Economics, 110(1), 73-92
    32. Statman, M., 2002, “Lottery players/Stock traders”, Financial Analysts Journal, 58, 14-21
    33. Svenson, O. 1981, “Are we all less risky and more skillful than our fellow drivers?”, Acta Psychologica, 47(2), 143-148
    34. Tauchen, G. E., and Pitts, M., 1983, “The price variability-volume relationship on speculative markets”, Econometrica, 51, 485-505
    35. Tversky, A. and Kahneman, D., 1992, “Advances in prospect theory: Cumulative representation of uncertainty”, Journal of Risk and Uncertainty, 5(4), 297-323
    36. Zuckerman, M., 1994, “Behavioral expression and biosocial bases of sensation seeking”, Cambridge University Press, New York, NY

    QR CODE
    :::