臺灣博碩士論文加值系統

這一篇文章主要的目的在於檢視 Bollen and Whaley (2004) 所提出來的淨買壓假說 (Net Buying Pressure Hypothesis) 在台指選擇權市場上是否一樣有相同的現象。
在本文的研究當中，我們也發現台指選擇權市場，較符合套利限制假說，包括落後一期的隱含波動率的變化和當期的隱含波動率的變化呈現負相關的現象以及價平選擇權的淨買壓對於價外的選擇權隱含波動率影響的程度較價外選擇權的淨買壓來的小。但是從淨買壓來看，其結果和S&P 500指數選擇權不同，因為台指選擇權的淨買壓，除了深度價外賣權以外，全部都是負數。
另外，本研究也將樣本資料區間中，另外分成總統大選前以及總統大選後這兩個階段來分析選擇權的淨買壓是否對於選擇權的隱含波動率變化仍然具有影響力，其結果發現在總統大選前，對買權來說，買權的市場行為符合套利限制假說。另外對賣權而言，在總統大選前，賣權的市場行為符合學習假說。在總統大選後，對買權而言，買權的市場行為改變為符合學習假說。而對賣權而言，在總統大選後，賣權的市場行為並沒有改變，仍然符合學習假說。

This paper mainly examines that whether the Net Buying Pressure Hypothesis which is issued by Bollen and Whaley (2004) fits the options market in Taiwan?
In this paper, we find that the options market in Taiwan supports the limits to arbitrage hypothesis. These phenomena include the changes of implied volatility with lag one is negative with the changes of implied volatility and the net buying pressure of the at-the-money options have less effect on the changes of the implied volatility in comparison with that of out-of-the-money options. But form the prospect of the net buying pressure, the result is different from that of the S&P 500 index options. This is because the net buying pressures in the options markets in Taiwan are all negative besides the deep-out-of-the-money put options.
Besides, this paper also analyzes that whether the net buying pressure in the options market will affect the changes of implied volatility of the options before the President election and after the President election. Our research finds that before the election, the market behaviors support the limits to arbitrate hypothesis for call options. But the market behaviors support the learning hypothesis for put options. After the election, the market behaviors support the learning hypothesis for call options. For put options, the results are the same, which support the learning hypothesis.

第壹章 緒論 ................................................................................... 1
第一節 研究背景與動機 .......................................................................... 1
第二節 研究問題與目的 .......................................................................... 2
第三節 論文架構以及研究流程 …. .......................................................... 3
第貳章 文獻回顧 ............................................................................ 5
第一節 隱含波動率 .................................................................................. 5
第二節 選擇權的淨買壓 .......................................................................... 8
第三節 重大事件的影響 ......................................................................... 10
第參章 研究方法 ........................................................................... 11
第一節 Black – Scholes 模型 ................................................................. 11
第二節 隱含波動率函數 ......................................................................... 12
第三節 淨買壓假說的檢定 ................................................................. 14
第四節 台股指數波動率的時間序列性質 ......................................... 17
第肆章 實證分析 ........................................................................... 19
第一節 研究資料蒐集與整理 ................................................................ 19
第二節 隱含波動率函數的實證 ........................................................ 22
第三節 台指選擇權的交易行為分析 ................................................... 31
第四節 台指選擇權淨買壓實證結果 ................................................ 36
第五節 總統大選期間淨買壓變化的實證結果 ................................ 46
第伍章 研究結論與建議 ............................................................. 57
第一節 研究結論 ................................................................................ 57
第二節 研究限制 ................................................................................ 58
第三節 後續研究建議 ........................................................................ 60
參考文獻 ........................................................................................ 61




表目錄

表3-1 選擇權價性的分類 ........................................................................... 14
表4-1 臺灣證券交易所股價指數選擇權契約規格 ................................... 20
表4-2 台指選擇權樣本的基本統計資料 ................................................... 21
表4-3 台指選擇權在全部樣本期間由Delta做為分類的平均
隱含波動率 ...................................................................................... 24
表4-4 台指選擇權在全部樣本期間的交易統計資料 ............................... 32
表4-5 台指選擇權在總統大選前期間的交易統計資料 ........................... 33
表4-6 台指選擇權在總統大選後期間的交易統計資料 ........................... 34
表4-7 價平選擇權在全部樣本期間的隱含波動率變化的迴歸
分析結果 .......................................................................................... 39
表4-8 價外買權在全部樣本期間的隱含波動率變化的迴歸分析結果 ..... 42
表4-9 價外賣權在全部樣本期間的隱含波動率變化的迴歸分析結果 ..... 45
表4-10 台灣加權股價指數每日報酬率以及波動率，在選舉前以及選舉
後利用EGARCH 模型，所估計出來的結果 ................................... 49
表4-11 價平買權在全部樣本期間、選舉前以及選舉後的隱含波動率變
化的迴歸分析結果 .......................................................................... 50
表4-12 價平賣權在全部樣本期間、選舉前以及選舉後的隱含波動率變
化的迴歸分析結果 .......................................................................... 51
表4-13 價外買權在全部樣本期間、選舉前以及選舉後的隱含波動率變
化的迴歸分析結果 ((4.3)式) ...................................................... 52
表4-14 價外買權在全部樣本期間、選舉前以及選舉後的隱含波動率變
化的迴歸分析結果 ((4.4)式) ...................................................... 53
表4-15 價外賣權在全部樣本期間、選舉前以及選舉後的隱含波動率變
化的迴歸分析結果 ((4.5)式) ...................................................... 54
表4-16 價外賣權在全部樣本期間、選舉前以及選舉後的隱含波動率變
化的迴歸分析結果 ((4.6)式) ...................................................... 55





圖目錄

圖4-1 台指選擇權在全部樣本期間的隱含波動率以及隱含波動率
的斜率 .............................................................................................. 23
圖4-2 台指選擇權全部樣本期間的平均隱含波動率、買權隱含波動率、
賣權隱含波動率以及和實際波動率的差異 .................................. 25
圖4-3 台指選擇權在全部樣本期間的平均隱含波動率、總統大選前的
平均隱含波動率、總統大選後的隱含波動率 .............................. 26
圖4-4 台指選擇權隱含波動率分佈圖 ....................................................... 27
圖4-5 台灣加權股價指數以及常態分配的累積機率分配圖 ................... 28
圖4-6 台灣加權股價指數在全樣本期間的指數水準、報酬率以及
波動率 …………………………………………………………..... 47

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