臺灣博碩士論文加值系統

臺灣期貨交易所於民國90年12月24日上市之臺指選擇權商品是我國選擇權市場交易之創始。臺指選擇權上市所代表的意義，不只是開發一項新的衍生性商品，更代表另一個市場之開拓。因此，本研究針對台灣加權指數選擇權做實證研究，利用複迴歸模型及最小平方法，分別研究其隱含波動是否具有微笑曲線現象。其次，利用虛擬變數來驗證臺指選擇權週一至週五波動是否有差異存在。
研究結果有以下的發現。第一，臺指選擇權市場確實存在波動微笑現象，不同的到期日同樣亦具有波動微笑曲線效果。第二，隱含波動率週一至週五是有顯著性的差異存在。第三，臺指選擇權市場隱含波動率，買權週一波動率最大而賣權以週三波動率最大，但兩者皆以週五波動率最小。

Taiwan Stock Index Option issued by Taiwan Futures Exchange (TAIFEX) on December 24, 2001 is the initiation of Option market in Taiwan. The issue of this new financial product not only provides a new derivative, but also opens a new market. This empirical research focuses on the study of the volatility of Taiwan Stock Index Option. Using Multiple Regression Models and Least Square Method this paper examined if the implied volatility of Taiwan Stock Index Option possesses smile phenomenon. Moreover, this study also tests if the volatility has weekend effect by using dummy variables.
The following results are found: First, the implied volatility of Taiwan Stock Index Option presents smile. Second, the implied volatility shows difference among weekdays. Third, the implied volatility on Monday is the largest for call option and it falls on Wednesday for put option. Yet, both have the smallest implied volatility on Friday.

第一章　緒論..............................................................................................1
第一節　研究動機...................................................................................1
第二節　研究目的...................................................................................2
第三節 研究流程...................................................................................4
第四節　論文架構...................................................................................5

第二章　臺指選擇權相關契約規定與波動微笑................................6
第一節 臺指選擇權契約規定.............................................................6
第二節 隱含波動微笑曲線...............................................................13

第三章　文獻回顧....................................................................................19
第一節　選擇權隨機定價模型部分...................................................19
第二節　隱含波動微笑.........................................................................22
第三節 週末效果.................................................................................24

第四章　研究設計....................................................................................28
第一節　 資料來源與樣本描述...............................................................28
第二節　 選樣結果...................................................................................28
第三節　 研究方法與實證模型...............................................................29

第五章　實證結果....................................................................................31
第一節 隱含波動實證結果..................................................................31
第二節 週末效果實證結果..................................................................37
第三節 隱含波動與週末效果相結合實證結果................................45

第六章 結論與建議...............................................................................51
第一節 結論...........................................................................................51
第二節 建議...........................................................................................53

參考文獻.......................................................................................................54

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期刊：
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