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系統識別號 U0026-0812200914050138
論文名稱(中文) 由台指期貨選擇權未平倉量預測台灣加權股價指數
論文名稱(英文) Forecasting Taiwanese Stock Market Based on the Open Interest on the Futures Option
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士在職專班
系所名稱(英) Institute of International Management (IIMBA--Master)(on the job class)
學年度 96
學期 1
出版年 97
研究生(中文) 張祥麟
研究生(英文) Hsiang-lin Chang
電子信箱 ra794122@mail.ncku.edu.tw
學號 ra794122
學位類別 碩士
語文別 英文
論文頁數 95頁
口試委員 口試委員-吳萬益
召集委員-陳正忠
指導教授-李伯岳
口試委員-張紹基
中文關鍵字 衍生性商品市場  未平倉量  倍數利潤  台指期貨選擇權  價格發現 
英文關鍵字 Taiwanese Index Futures Option  Open Interest  Diploid Profit  Derivatives Market  Price Discovery 
學科別分類
中文摘要 none
英文摘要 In recent years, Taiwanese Index Futures Option has drawn most investors’ attention and more and more investors join the Taiwan Index Futures Option market. Taiwan Index Futures option’s characteristics, limited risk and diploid profit, makes a lot of ordinary investors have dreams of being millionaires. However, in Taiwanese derivatives market, to be an ordinary investor is difficult to make money when trading with professional traders or institutes like banks or trust funds. In Sharleen’s book, Volume and open interest: cutting edge trading strategies in the futures markets (1991), he suggested that volume and open interest are important indicators when trading in derivatives market; according to the foreign empirical studies, it also proves that open interests is more referential that other passive indicators.
The first purpose of this research is to detect the changes in option market as trading references to help investors make decisions in Taiwanese stock market and derivatives market. By using one function of derivatives market, price discovery, we can forecast the price trend in the spot market. So, we can increase the probability of profitability. The second purpose of this research is to offer a warning signal for investors when there are extraordinary trading situation happened in option market.
論文目次 ACKNOWLEDGEMENTS IV

ABSTRACT V

TABLE OF CONTENTS VI

LIST OF TABLES VIII

LIST OF FIGURES IX

CHAPTER ONE INTRODUCTION 1

1.1 Research Background 1

1.2 Research Motivation 2

1.3 Research Questions 5

1.4 Research Purpose 6

1.5 Structure of Research 7

CHAPTER TWO LITERATURE REVIEW 10

2.1 Rationale: “Volume and Open Interest” by Kenneth H. Shaleen 10

2.2 Empirical Experiences of Foreign Option Market 12

CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 18

3.1 Introduction: Qualitative Method 18

3.2 Empirical Evidence 21

3.3 Research Focus, Data Resource, and Limitation of Data Analysis 22

3.3.1 Research Focus and Data Source 22

3.3.2 Limitation of Data Analysis 23

3.4 Data Analysis Procedure 24

3.5 Pilot Study 25

CHAPTER FOUR RESEARCH FINDINGS 28

4.1 Introduction 28

4.1.1 Screening 28

4.1.2 Arranging 29

4.1.3 Analysis 29

4.2 Findings 31

4.2.1 The Long Side Market 31

4.2.2 The Short Side Market 42

4.3 Special Event 46

4.4 Simulation 48

CHAPTER FIVE CONCLUSIONS AND TRADING SUGGESTION 53

5.1 Conclusion / Suggestion 53

5.2 Recommendation For Future Research 55

REFERENCES 57

Appendix 1. Stable Short Side Market: Call 60

Appendix 2. Stable Short Side Market: Put 74

Appendix 3. Unstable Short Side Market: Call 90

Appendix 4. Unstable Short Side Market: Put 93
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