本研究旨在觀察台股指數選擇權隱含波動度價差對於台股指數未來走向是否具有預測能力，並且探討當外資活動增加時，是否增強隱含波動度之預測能力。我們使用台指選擇權日內交易資料與選擇權籌碼日資料建構主要解釋變數，實證結果顯示，與美國市場相同地，隱含波動度價差在台灣市場亦存在預測台股指數的能力。另外，在加入外資變數O/S ratio 之後，隱含波動度價差預測能力更加顯著，可以顯著預測到三天後的台灣加權指數報酬，此證實了隱含波動度價差的預測能力與資訊交易 (informed trading) 有關，而外資被視為擁有較多訊息的投資人，在選擇權市場的頻繁活動會使得台股指數更容易被隱含波動度價差預測。 This study seeks the evidence concerning the predictability of volatility spread on future price movements in Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). We also discuss whether the increase of foreign institutional investors’ activities in the option market enhances the predictability of volatility spread. By adopting the TAIEX option intraday transaction data, we find that volatility spread does have predictability in future TAIEX return, which is similar to the finding in the U.S. market. Furthermore, by adding option/stock ratio of foreign institutions as an information variable to represent the degree that foreign institutional investors participate in option markets, we find the predictability is much more significant and is able to foresee TAIEX return up to three days ahead. Our findings support that volatility spread carries information about future returns of the TAIEX index, and the increase in option trading activities of foreign institutional investors enables to enhance the predictive power of volatility spread. It also indicates information that foreign institutional investors possess is superior to other kinds of investors.
