The Analysis of the Market Momentum in Individual Stock Options

[[abstract]]選擇權市場動能效果假說為在給定過去股票報酬為正時，投資人因為預期正報酬的持續而提升對買權的投資量，因此買權價格將受到買壓而有異常高估的現象；相反的，過去股票報酬為負時，投資人因為預期負報酬的持續而提升賣權的投資量，因此賣權價格將受到買壓而有異常高估的現象。此篇研究使用美式選擇權界線條件分別對買賣權價格與過去股票報酬進行動能效果存在與否的檢測；再以選擇權的隱含波動差對過去股票報酬建構迴歸模型，觀察整體動能效果。我們以公司規模股票市值作為個股的特性，依照規模大小分為十組並依序做動能檢測；我們發現越小規模之公司，該選擇權動能效果越是明顯。以整體來說，當過去股票價格持續上漲時，投資人有追加購買買權的傾向；然而，當過去股票價格持續下跌時，賣權則較沒有此現象。[[abstract]]Stock options market momentum hypothesis is given positive past stock return as investors increase their purchase on call options because they expect positive return to continue As a result call options will overprice easily cause of price pressure In contrast given negative past stock return investors increase their purchase on put options because they expect negative return to continue Similarly put options will overprice easily cause of price pressure This study use boundary condition test for American options respectively test whether existence of market momentum between two types options and past stock return Then we use implied volatility spread to regress on past return to observe overall momentum effect We use company size which means stock market value as the characteristics of individual stock in accordance with the size divided into ten groups and sequentially test momentum effect We found that the smaller size of the company the effect is much more significant And with the whole when the stock price continued to rise in the past investors tend to purchase additional call options However put options momentum effect is not significant when the stock price continued to down in the pas