過去文獻中，較少針對指數選擇權討論投資人的賭博偏好。本研究使用2002年到2021年的台灣加權股價指數選擇權買權資料，研究樂透屬性對指數選擇權報酬的影響。Kumar (2009)將樂透性質股票定義為具有高獨特性風險和獨特性偏態的低價股票。本文參考Bali et al. (2011)、Hung and Yang (2018)、Barberis and Huang (2008)等文獻，使用MAX及報酬偏態等變數當作賭博偏好的代理變數，實證結果顯示，無論價外、價平、價內選擇權，賭博偏好與台指選擇權報酬皆呈現顯著負相關。除此之外，週到期選擇權因存續期間短，更符合Kumar (2009)定義之樂透屬性。
台灣的金融市場為散戶為主的淺碟市場，本文檢驗了不同身份別投資人的交易行為，結果顯示散戶投資人、國內機構投資人交易台指選擇權較有樂透偏好，國外機構投資人則是相對理性。最後，本文將樂透變數作為買賣訊號，建立了有效且優於大盤之交易策略。

Investors' gambling preferences have rarely been less discussed with index options in recent studies. We use Taiwan-weighted stock price index option call data from 2002 to 2021 to examine the relationship between lottery-like attributes and index option returns. Kumar (2009) defined lottery-like stocks as low-priced stocks with high uniqueness risk and uniqueness skew. We use variables such as MAX and return skewness as proxy variables for gambling preference in Bali et al. (2011), Hung and Yang (2018) and Barberis and Huang (2008). There is a significant negative correlation between gambling preference and Taiwan index option return regardless of the moneyness of options. In addition, due to the short duration of the expiry options, it is more in line with the lottery attributes defined by Kumar (2009).
Taiwan is a thin financial market dominated by retail investors. This study examines the trading behavior with different types of investors. The results show that retail investors and domestic institutional investors are more likely to trade lottery-like options. Foreign institutional investors are relatively rational. Finally, we use lottery variables as trading signals to establish an effective and outperformed trading strategy.

論文審定書 i
誌謝 ii
摘 要 iii
Abstract iv
表次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第二章 文獻回顧與研究假說 3
第一節 賭博偏好 3
第二節 散戶的交易行為 6
第三節 研究假說 8
第三章 研究方法 9
第一節 資料來源 9
第二節 樂透偏好之衡量 10
第三節 考慮Delta避險的選擇權報酬 13
第四節 穩健性測試 14
第五節 不同投資人的樂透偏好 16
第六節 交易策略 17
第四章 實證結果 18
第一節 敘述統計 18
第二節 迴歸模型 19
第三節 穩健性測試 20
第四節 不同投資人的樂透偏好 20
第五節 交易策略 21
第五章 結論 23
第一節 結論 23
第二節 研究限制及建議 24
參考文獻 42

中文部分
蘇育賢. (2012). 賭博與避險：選擇權交易動機之研究. 國立政治大學財務管理學系.

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