利用台灣指數期貨和選擇權市場的帳戶級交易資料，本文發現外國 機構投資人之指數期貨的委託單失衡與次日的指數期貨報酬率與波動率 呈顯著相關，而外國機構投資者之價外選擇權的委託單失衡則顯著與次 日的波動率正相關。有趣的是，我們雖沒在本國機構與個人投資者於指 數期貨的交易中發現報酬率或波動度等私有資訊，但本國機構與個人投 資者之價外選擇權的委託單失衡具有顯著之報酬率預測能力。此外，我 們亦發現上述之報酬率預測力在高市場不確定性及低流動性時更為顯 著。

Using unique account-level trading data from Taiwan's index futures and options markets, this paper finds a significant correlation between the order imbalance of index futures by foreign institutional investors and the next day's index futures returns and volatility. Additionally, the order imbalance in out-of-the-money contracts of index options by foreign institutional investors is significantly positively correlated with the next day's volatility. Interestingly, although no private information in terms of returns or volatility was found in the index futures trades of domestic institutions and individual investors, this study reveals that the order imbalance in out-of-the-money options by domestic institutions and individual investors significantly predicts future returns. Furthermore, this predictive ability for returns is more pronounced during periods of high market uncertainty and low liquidity.

Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effect. Journal of Financial Markets, 5(1), 31–56.
https://doi.org/10.1016/S1386-4181(01)00024-6
Bae, K. H., & Dixon, P. (2018). Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index. Journal of Futures Markets, 38(2), 175–198.
https://doi.org/10.1002/fut.21863
Back, K. (1993). Asymmetric information and options. Review of Financial Studies, 6(3), 435–472. https://doi.org/10.1093/rfs/5.3.435
Barber, B. M., Odean, T., & Zhu, N. (2009). Do retail trades move markets? Review of Financial Studies, 22(1), 151–186.
https://doi.org/10.1093/rfs/hhn035
Black, F. (1975). Fact and fantasy in the use of options. Financial Analysts Journal, 31(4), 36–41. https://doi.org/10.2469/faj.v31.n4.36
Blittlingmayer, G. (1998). Output, stock volatility, and political uncertainty in a natural experiment: Germany, 1880–1940. The Journal of Finance, 53, 2243–2257. https://doi.org/10.1111/0022-1082.00090
Chakravarty, S., Gulen, H., & Mayhew, S. (2004). Informed trading in stock and option markets. The Journal of Finance, 59, 1235–1257.
https://doi.org/10.1111/j.1540-6261.2004.00661.x
Chang, C. C., Hsieh, P. F., & Lai, H. N. (2009). Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. Journal of Banking & Finance, 33(4), 757–764.
https://doi.org/10.1016/j.jbankfin.2008.11.001
Chang, C. C., Hsieh, P. F., & Wang, Y. H. (2010). Information content of options trading volume for future volatility: Evidence from the Taiwan options market. Journal of Banking & Finance, 34(1), 174–183.
https://doi.org/10.1016/j.jbankfin.2009.07.015
Chang, C. C., Hsieh, P. F., & Wang, Y. H. (2015). Sophistication, sentiment, and misreaction. Journal of Financial and Quantitative Analysis, 50(4), 903–928. https://doi.org/10.1017/S0022109015000290
Choe, H., Kho, B. C., & Stulz, R. M. (2005). Do domestic investors have an edge? The trading experience of foreign investors in Korea. Review of Financial Studies, 18(3), 795–829. https://doi.org/10.1093/rfs/hhi028
Chordia, T., Hu, J. F., Subrahmanyam, A., & Tong, Q. (2019). Order flow volatility and equity costs of capital. Management Science, 65(4), 1520–1551.
https://doi.org/10.1287/mnsc.2017.2848
Chordia, T., Huh, S. W., & Subrahmanyam, A. (2007). The cross-section of expected trading activity. Review of Financial Studies, 20(3), 709–740.
https://doi.org/10.1093/rfs/hhl014
Chordia, T., Kurov, A., Muravyev, D., & Subrahmanyam, A. (2021). Index option trading activity and market returns. Management Science, 67(3), 1758–1778.
https://doi.org/10.1287/mnsc.2019.3529
Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order imbalance, liquidity, and market returns. Journal of Financial Economics, 65(1), 111–130.
https://doi.org/10.1016/S0304-405X(02)00136-8
Chordia, T., Roll, R., & Subrahmanyam, A. (2008). Liquidity and market efficiency. Journal of Financial Economics, 87(2), 249–268.
https://doi.org/10.1016/j.jfineco.2007.03.005
Chordia, T., Roll, R., & Subrahmanyam, A. (2011). Recent trends in trading activity and market quality. Journal of Financial Economics, 101(2), 243–263.
https://doi.org/10.1016/j.jfineco.2011.03.008
Chordia, T., & Subrahmanyam, A. (2004). Order imbalance and individual stock returns: Theory and evidence. Journal of Financial Economics, 72(3), 485–518. https://doi.org/10.1016/S0304-405X(03)00175-2
Easley, D., Engle, R. F., O’Hara, M., & Wu, L. (2008). Time-varying arrival rates of informed and uninformed trades. Journal of Financial Econometrics, 6(2), 171–207. https://doi.org/10.1093/jjfinec/nbn003
Easley, D., O’Hara, M., & Srinivas, P.S. (1998). Option volume and stock prices: Evidence on where informed traders trade. The Journal of Finance, 53(2), 431–465. https://doi.org/10.1111/0022-1082.194060
Ferreira, M. A., Matos, P., Pereira, J. P., & Pires, P. (2017). Do locals know better? A comparison of the performance of local and foreign institutional investors. Journal of Banking & Finance, 82, 151–164.
https://doi.org/10.1016/j.jbankfin.2017.06.002
Gallant, A. R., Rossi, P. E., & Tauchen, G. (1992). Stock prices and volume. Review of Financial Studies, 5(2), 199–242.
https://doi.org/10.1093/rfs/5.2.199
Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics, 55(1), 43–67.
https://doi.org/10.1016/S0304-405X(99)00044-6
Hau, H. (2001). Location matters: An examination of trading profits. The Journal of Finance, 56(5), 1959–1983.
https://doi.org/10.1111/0022-1082.00396
Ho, T. S. Y., & Stoll, H. R. (1983). The dynamics of dealer markets under competition. The Journal of Finance, 38(4), 1053–1074.
https://doi.org/10.1111/j.1540-6261.1983.tb02282.x
Huang, H. G., Tsai, W. C., Weng, P. S., & Wu, M. H. (2021). Volatility order imbalance of various types of institutional traders and expected asset returns: Evidence from Taiwan. Journal of Financial Markets, 52, 100546.
https://doi.org/10.1016/j.finmar.2020.100546
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315-1335. https://www.jstor.org/stable/1913210
Karolyi, G.A. (2002). Did the Asian financial crisis scare foreign investors out of Japan? Pacific-Basin Finance Journal, 10(4), 411–442.
https://doi.org/10.1016/S0927-538X(02)00067-7
Kaniel, R., Liu, S., Saar, G., & Titman, S. (2012). Individual investor trading and return patterns around earnings announcements. The Journal of Finance, 67(2), 639–680. https://doi.org/10.1111/j.1540-6261.2012.01727.x
Kuo, W. Y., & Lin, T. C. (2013). Overconfident individual day traders: Evidence from the Taiwan futures market. Journal of Banking & Finance, 37(9), 3548–3561. https://doi.org/10.1016/j.jbankfin.2013.04.036
Lee, C. M. C., & Ready, M. J. (1991). Inferring trade direction from intraday data. The Journal of Finance, 46(2), 733–746.
https://doi.org/10.1111/j.1540-6261.1991.tb02683.x
Muravyev, D. (2016). Order flow and expected option returns. The Journal of Finance, 71(2), 673–708. https://doi.org/10.1111/jofi.12380
Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. https://doi.org/10.2307/1913610
Pan, J., & Poteshman, A. M. (2006). The information in option volume for future stock prices. Review of Financial Studies, 19(3), 871–908.
https://doi.org/10.1093/rfs/hhj024
Richards, A. (2005). Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets. Journal of Financial and Quantitative Analysis, 40(1), 1–27.
https://doi.org/10.1017/S0022109000001721
Stoll, H. R. (1978). The pricing of security dealer services: An empirical study of NASDAQ stocks. The Journal of Finance, 33(4), 1153–1172.
https://doi.org/10.1111/j.1540-6261.1978.tb02054.x
Van Nieuwerburgh, S., & Veldkamp, L. (2009). Information immobility and the home bias puzzle. The Journal of Finance, 64(3), 1187–1215.
https://doi.org/10.1111/j.1540-6261.2009.01462.x
Weng, P. S., & Tsai, W. C. (2018). Do foreign institutional traders have private information for the market index? The aspect of market microstructure. International Review of Economics and Finance, 55, 308–323.
https://doi.org/10.1016/j.iref.2017.07.011
Weng, P. S., Wu, M. H., Chen, M. L., & Tsai, W. C. (2017). An empirical analysis of the dynamic probability of institutional informed trading: Evidence from the Taiwan futures exchange. Journal of Futures Markets, 37(9), 865–891.
https://doi.org/10.1002/fut.21830