國立聯合大學財務金融系;Department of Finance, National United University ;國立中央大學財務金融學系;Department of Finance, National Central University
Abstract:
本文從理性投機的觀點來進行到期日效應之原因探究，猜測台灣市場的理性投機者（如三大法人、前五大與前十大交易人）有可能為了其在台指選擇權部位的獲利，會對大盤指數進行操控，也有可能提前進行。對此，我們藉由計算理性投機者的台股期貨與台指選擇權未平倉部位所得到的相對做空指標，探尋其對市場走向的預測能力與對市場操控現象的偵測能力。實證結果發現，藉由虛擬變數的設立，可以提升選擇權的相對做空指標之預測能力。另外，使用選擇權相對做空指標，我們也發現出當前五大與前十大交易人偏多或偏空佈局同向且超過一定程度時，將會進行價格操控，並不限於到期日當天，這即是支持De Long et al.(1990)的不穩定理性投機論點的證據。 This study investigates the reason behind the Expiration Day Effect from Rational Speculation argument. Conjecturing that rational speculators (e.g. Institutional investors, Top 5 and Top 10 large traders) in Taiwan markets might manipulate the stock index for the profit of their TXO positions and that this action might advance ahead of the expiration day, we compute the Relative Bear Indexes (RBI) of their open interests of TX and TXO and then investigate their predictability of market trend and detection of price manipulation. Empirical evidence shows that, by the setting of dummy variables, we can improve the predictability of options’ RBI. Further, with option’s RBI, we discover that Top 5 and Top 10 large traders may implement the price manipulation on the stock index when their layout are the same way enough, not confined to the expiration day. This is just the evidence supporting the Destabilizing Rational Speculation argument of De Long et al. (1990).
