| Summary: | 碩士 === 國立高雄第一科技大學 === 金融所 === 98 === In recent years, transaction cost plays an important role for dramatic increase of options turnover. Higher turnover has a great relation with much more frequent trades. Especially, institutional trading has significant changed due to their increasing trade size and frequency. Among all investor, we find the trading activity of institutions has changed the most. We use variance ratios to test whether private information exists while the turnover of institution increases in the same time, and our empirical result shows the phenomenon doesn’t exist. The sensitive of turnover to short-term return has increased recently, but to long-term return doesn’t change significantly, implying that the market become more efficient.
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