The Predictability of Relative Trading Volume in Options and Stock on Stock Returns

• Main Authors: Ciao-Ying Lyu, 呂喬盈
• Other Authors: Shing-yang Hu
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/c6cby3

碩士 === 國立臺灣大學 === 財務金融學研究所 === 106 === This paper examines if option to stock trading volume can predict stock returns. Past studies have shown a high correlation between trading volume and return. Roll, Schwartz, Subrahmanyam (2010) use the relative trading volume in options and stock as measured. And find that O/S is higher around earnings announcements, suggesting increased trading in the options market. This paper uses Fama-MacBeth regression to analyze data. The results show that in Taiwan market, relative trading volume in options and stock can predict future return, and the relative trading volume has an inverse relationship with return, consistent with the past studies. Informed traders are more willing to trade in the option market when the transaction costs are high and the limitations of the short-selling. This paper extends the idea of relative trading volume to the warrant market. The result also prove that relative trading volume can be used as a factor in the study of Taiwan’s capital markets.