1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 賭博與避險：選擇權交易動機之研究
Gambling and Hedging: Motives for Options Trading
作者 蘇育賢
Su, Yu Hsien
貢獻者 周冠男
Robin K. Chou
蘇育賢
Su, Yu Hsien
關鍵詞 淨買壓
賭博動機
避險需求
替代效果
net buying pressure
gambling desire
hedging demand
substitution effect
日期 2012
上傳時間 1-Jul-2013 17:44:15 (UTC+8)
摘要 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.
參考文獻 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
描述 碩士
國立政治大學
財務管理研究所
100357015
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003570151
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Robin K. Chouen_US
dc.contributor.author (Authors) 蘇育賢zh_TW
dc.contributor.author (Authors) Su, Yu Hsienen_US
dc.creator (作者) 蘇育賢zh_TW
dc.creator (作者) Su, Yu Hsienen_US
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:44:15 (UTC+8)-
dc.date.available 1-Jul-2013 17:44:15 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:44:15 (UTC+8)-
dc.identifier (Other Identifiers) G1003570151en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58715-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 100357015zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents 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		zh_TW
dc.format.extent 1008368 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003570151en_US
dc.subject (關鍵詞) 淨買壓zh_TW
dc.subject (關鍵詞) 賭博動機zh_TW
dc.subject (關鍵詞) 避險需求zh_TW
dc.subject (關鍵詞) 替代效果zh_TW
dc.subject (關鍵詞) net buying pressureen_US
dc.subject (關鍵詞) gambling desireen_US
dc.subject (關鍵詞) hedging demanden_US
dc.subject (關鍵詞) substitution effecten_US
dc.title (題名) 賭博與避險：選擇權交易動機之研究zh_TW
dc.title (題名) Gambling and Hedging: Motives for Options Tradingen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 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		zh_TW