| Summary: | 碩士 === 東海大學 === 財務金融學系 === 104 === To investigate the information content contained in trading volume of TAIEX futures and TAIEX options, this research adopts Schlag and Stoll’s (2005) method to divide trading volume of TAIEX futures and TAIEX options into bullish trading volume and bearish trading volume, respectively. Based on empirical results, both TAIEX futures volume and TAIEX options volume are found to have significant impacts on changes in the TAIEX index and have the ability to predict index returns. The price impact of futures volume is larger than that of options volume, indicating that futures trading volume carries more information. With respect to the relationship of options and futures volume, we find that futures trading volume is a leading indicator of options trading volume. In addition to the information content of total trading volume, we further investigate the stealth-trading hypothesis of Barclay and Warner’s (1993) by using data consisting of medium-sized trades only. The price impacts of trading volume from medium-sized trades not only are similar to those of total trading volume, but are stronger. However, options trading volume and the futures trading volume are found cross leading each other instead of leading by futures volume. Based on empirical results, we suggest that the medium-sized trades in the futures and options markets carry more information, supporting that stealth trading exists in Taiwan’s futures and options markets.
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