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研究生:魏君洪
研究生(外文):Chun-Hung Wei
論文名稱:韓國KOSPI200指數選擇權波動度指數與標的指數之不對稱非線性動態調整模式
論文名稱(外文):Nonlinear Asymmetric Dynamics and Causality Behavior between the Korean KOSPI 200 Volatility Index and Its Underlying Stock Index
指導教授:盧陽正盧陽正引用關係李忠榮李忠榮引用關係
指導教授(外文):Yang-Cheng LuChung-Jung Lee
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:42
中文關鍵詞:波動度指數非線性因果關聯性置入GJR-GARCH平滑轉換向量誤差修正模型波動率不對稱性KOSPI 200選擇權
外文關鍵詞:Volatility IndexOptionsKOSPI 200Volatility AsymmetrySTVECM-GJR-GARCHNonlinear Granger Causality
相關次數:
  • 被引用被引用:3
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  • 下載下載:37
  • 收藏至我的研究室書目清單書目收藏:4
本研究援用不對稱平滑轉換向量誤差修正模型(Asymmetric Smooth transition vector error-correction model),建立韓國KOSPI 200指數選擇權波動度指數(KVI)與其標的指數(KIX)偏離系統性共移均衡時,報酬的不對稱非線性動態調整模式;文中採用的波動度指數乃依據韓國證券市場之交易特性,適度修改換月原則及資料選取準則得到之結果。

由於選擇權商品具有非線性的報酬動態,且與標的指數間具有不對稱的負向相關特性(Whaley, 2000及Giot, 2001),因此本研究嘗試在估計殘差異質變異數的過程中置入Glosten,Jagannathan及Runkle (1993)所提出的GJR-GARCH模型,藉以捕捉波動度指數與標的指數間共移關係的波動性非對稱因子。針對上述選擇權商品非線性報酬的特性,本文亦加入Hiemstra及Jones (1994)所提出的非線性Granger 因果關聯性檢測,探討非線性架構下KVI與KIX間的領先落後關係。

最後,本研究實證結果發現,加入轉換函數與不對稱波動性因子後之模型,在描述韓國證券市場波動度指數與標的指數間不對稱非線性動態調整現象上具有堅韌性及優越性,且非線性架構下亦存在相異於線性架構下的因果關聯性結論,即KOSPI 200指數選擇權波動度指數(KVI)領先KOSPI 200指數。
In this paper, a STVECM embedded with GJR-GARCH model is constructed to examine the dynamically asymmetric nonlinear adjustments between KOSPI 200 Volatility Index (KVI) and KOSPI 200 Index (KIX) in the Korean stock market. We properly revised the calculation of KVI from the spirit of CBOE volatility index (VIX) according to its market characteristics.

Under the nonlinearity of derivatives and negative correlation between stock returns and volatility (Giot,2002;Whaley,2000), we set GJR-GARCH (Glosten, Jagannathan and Runkle, 1993) in residuals. In addition, nonlinear Granger causality test (Hienstra and Jones, 1994) is used in this article to find evidence of nonlinear causality in between KVI and KIX.

Our results make sure with the superiority of LSTVEC model with asymmetric factor in explaining the nonlinear asymmetric adjustments between KVI and KIX. The nonlinear Granger causality test (Hienstra and Jones, 1994) detects different causality behavior than linear framework that is options volatility index (KVI) does lead its underlying stock index (KIX).
目 錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究問題與內容 3
第三節 研究架構流程 5
第二章 文獻探討與研究定位 6
第一節 平滑轉換模型與波動性不對稱因子 6
第二節 波動率指數文獻回顧 8
第三節 研究定位 9
第三章 研究方法 10
第一節 時間數列之單根檢定 10
第二節 共整合檢定與線性GRANGER因果關聯性分析 12
第三節 向量誤差修正模型、非線性檢測與模型認定 14
第四節 不對稱平滑轉換向量誤差修正模型之估計 17
第五節 KVI與KIX間之非線性GRANGER因果關聯性 18
第四章 實證結果與分析 19
第一節 資料來源與分析 19
第二節 單根檢定與共整合檢定分析 20
第三節 非線性檢測與模型認定 22
第四節 不對稱平滑轉換向量誤差修正模型的估計 23
第五節 KVI與KIX間之非線性GRANGER因果關聯性 26
第五章 結論 27
參考文獻 29
中文部份 29
英文部分 29
附錄:非線性GRANGER因果關聯性檢測之數學推導過程 33
參考文獻
中文部份
1.盧陽正、李忠榮、方豪(2005),「放寬QFII投資中國股市A股市場的限制對A股及B股的單邊或雙邊市場之影響-Smooth Transaction Vector Error Correction Model之應用」,Working Paper
2.盧陽正、李忠榮、魏裕珍(2005),「波動度指數與標的指數間領先落後關係之研究」,Working Paper
3.盧陽正、李忠榮、張健偉(2005),「效率性雙門檻共整合模型之構建及其於選擇權波動率指數與標的資產間因果性資訊內涵之辨認-韓國KOSPI 200指數與選擇權日內高頻資料分析」,Working Paper
4.王佑鈞(2005),「選擇權波動率指數與標的資產之因果性資訊內涵-效率性門檻共整合模型於德國股價指數市場之應用」,碩士論文,銘傳大學財金研究所
5.蔡蓓婷(2004),「台灣貨幣需求函數-非線性平滑轉換誤差修正模型之分析」,碩士論文,淡江大學財務金融研究所
6.邱奇珍(2005),「實質工資對失業衝擊的非線性反應—台灣之實證」,碩士論文,逢甲大學經濟研究所

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