Gambling and Hedging: Motives for Options Trading

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