| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 100 === This study investigates the informed traders using intraday data of TAIEX options volume. We further discuss whether the behavior of different types of traders will be affected in major financial event. We use put-call ratios to observe the implied information content. We find that the Taiwanese traders prefer trading call than put options even when the stock market is on a long-term downward trend. Excluding the trading volume of market makers, the information content of open-sell put-call ratio is most significant, and the individual investors are the most predictable of all. We also find that open-interest put-call ratio is a counter indicator. When we examine open-buy put-call ratios, we observe that institutional investors or dealers are trend traders while individual investors are contrarian traders. However, if we explore open-sell put-call ratios, individual investors become momentum traders. Financial crisis has a significant influence on predicting stock index return. To avoid settlement effects, we deduct the data 5 days prior to expire date, and we find that the information content of open put-call ratio is better than close.
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