臺灣博碩士論文加值系統

自從台灣期貨交易所2001 年12 月24 號將台灣股價指數選擇權(TXO)掛牌上市後，隨著時間的演進不斷地蓬勃發展，如今也成為避險者、投資者操作的最佳金融工具。這篇文章主要目的在於檢測投資人情緒指標是否會對指數選擇權風險中立偏態和隱含波動率微笑曲線是否會有顯著性的影響。經過實證之後，我們發現到當市場處於熊市的時候，投資人會較樂觀，指數選擇權風險中立偏態的負偏
程度較大，而隱含波動率微笑曲線斜率會較為陡峭；反之，若市場是牛市的型態，投資人則較為悲觀，指數選擇權風險中立偏態的負偏程度變小，而隱含波動率微笑曲線斜率則較為平坦。此外，當期貨選擇權市場環境存在較多的套利限制與障
礙，則上述的狀況會變的更加顯著。
而本論文研究是跟隨在Bollen and Whaley(2004)和Bing Han(2008)的情況下，另外建構了投資人情緒指標，像是：選擇權賣權買權成交量比率、買賣不均衡、當日沖銷比率、選擇權賣權買權未平倉比率和周轉率，再將全體投資人區分為散戶、本土法人、外資、期貨證券商、投信投顧及期經公司和造市者，以細看投資人情緒與投資人類別的關係，而實證結果指出，散戶類別下顯著性明顯高於其他類別投資人。

After Taiwan stock index options (TXO) have been listed in the Taiwan Futures Exchange (TAIFEX) at December 24, 2001, the option market has become much more prosperous. Therefore, arbitrageurs and investors have regarded TXO as one of the best financial instruments for the purpose of hedging. This paper examines whether investor sentiment proxy will affect the risk-neutral skewness of index option and the slope of the index option volatility smile. And we find that the risk-neutral
skewness of index option is more (less) negative and the slope of the index option volatility smile is steeper (flatter) when investor sentiment proxy becomes more
bearish (bullish).
In this paper, we follow the model of Bollen and Whaley (2004) and use the conception of Han (2008) for the purpose to construct other investor sentiment roxies which are called Put-Call Trading Volume Ratio, Buy-Sell Imbalance,Proportion of Day-Trades, Put-Call Open Interest Ratio, and Turnover Ratio. And we eparate different types of investor, such as individual investor, local company, foreign apital, futures and securities dealers, investment trust company, and ,market maker. he result is that individual investor has the strongest effect than the other types of nvestors.

目錄
頁次
中文摘要 ----------------------------------------------------------------------------------- i
英文摘要 ----------------------------------------------------------------------------------- ii
致謝 ------------------------------------------------------------------------------------------ iii
目錄 ------------------------------------------------------------------------------------------ iv
表目錄 --------------------------------------------------------------------------------------- vi
圖目錄 ---------------------------------------------------------------------------------------- vii
第壹章 緒論 ------------------------------------------------------------------------------- 1
第一節 研究背景 ------------------------------------------------------------------ 1
第二節 研究動機 ------------------------------------------------------------------ 2
第三節 研究架構 ------------------------------------------------------------------ 3
第貳章 文獻探討 ------------------------------------------------------------------------- 4
第一節 投資人情緒指標 ------------------------------------------------------- 4
第二節 波動率指數(VIX) ------------------------------------------------------- 5
第三節 隱含波動率與微笑曲線 --------------------------------------------- 6
第參章 研究方法 ------------------------------------------------------------------------ 9
第一節 資料來源與選取 -------------------------------------------------------- 9
第二節 選擇權風險中立偏態 -------------------------------------------------- 9
第三節 投資人情緒指標設計 -------------------------------------------------- 10
第四節 控制變數設計 ------------------------------------------------------------ 13
第五節 隱含波動率曲線(微笑曲線)斜率設計 ---------------------------- 16
第肆章 實證結果與分析 ------------------------------------------------------------------ 17
第一節 敘述統計量 --------------------------------------------------------------- 17
第二節 基本迴歸分析結果 ----------------------------------------------------- 20
第三節 迴歸穩健性檢定 -------------------------------------------------------- 22
第四節 不同風險中立偏態計算方法的穩健性檢定 -------------------- 24
第五節 套利限制下的迴歸分析結果 ---------------------------------------- 26
第六節 指數選擇權波動微笑曲線與投資人情緒 ----------------------- 28
第伍章 結論與後續建議 --------------------------------------------------------------- 30
第一節 結論 ------------------------------------------------------------------------ 30
第二節 後續研究建議 ----------------------------------------------------------- 31
參考文獻 ------------------------------------------------------------------------------------ 32
一、國外文獻 ----------------------------------------------------------------------- 32
二、國內文獻 ----------------------------------------------------------------------- 35
表目錄
頁次
表一 敘述統計量表 ------------------------------------------------------------------------ 37
表二 基本迴歸分析結果 ----------------------------------------------------------------- 41
表三 穩健性迴歸分析結果 -------------------------------------------------------------- 43
表四 偏態不同運算方式的穩健性迴歸分析結果 --------------------------------- 50
表五 套利限制下的迴歸分析結果 ----------------------------------------------------- 55
表六 投資人情緒與微笑曲線迴歸分析結果 ---------------------------------------- 64
圖目錄
頁次
圖一 選擇權偏態與投資人情緒指標的時間序列圖 ------------------------------- 68

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