| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 107 === This paper studies the relationship between underlying stock returns and relative trading volume of option and stock. We use option/stock trading volume ratio (O/S ratio) classified by bull and bear market to quantify the behaviour of foreign institutional investors in Taiwan from July 2, 2007 to December 31, 2017, and use quantile regression to analyse the relationship between O/S ratio and returns. The empirical results show that the O/S ratio of bull market and stock returns have positive relationship, and the O/S ratio of bear market is negatively associated with stock returns, indicating that the investment of foreign institutional investors in Taiwan has information contents. Further, the effects of O/S ratio on next-day stock returns is still hold after controlling for daily trading volume and daily stock returns. Therefore, O/S ratio has a significant predictive power of underlying stock returns.
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