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研究生:李興瑋
研究生(外文):Li Shing-Wei
論文名稱:台灣加權股價指數波動率與選擇權操作策略之研究
論文名稱(外文):The study of the Taiwan Stock Index Volatility and Operation Strategy of TXO
指導教授:詹錦宏詹錦宏引用關係
指導教授(外文):Chan Chin-Horng
學位類別:碩士
校院名稱:長庚大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:91
中文關鍵詞:選擇權行為財務學波動度台灣股價指數波動度指數
外文關鍵詞:TXOvarianceoptionbehavior financeVIX
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本文在探討台灣股價指數選擇之評價以及市場交易價格的正確性。由於選擇權的價值是基於其標的物的價值變動而來,因此本文對於台灣股價指數的本身以及其選擇權市場兩者都加以分析。
經由分析後發現,台灣股價指數的行為與一般對於股市的認知大體上符合相同,亦即其符合幾何布朗運動,但是存在著高狹厚尾的問題,然而其並不存在著偏態的問題。而這些特性的成因是由於市場上參與者的行為及偏好所造成。整體股價指數選擇權市場是有效率的,然而隨著到期月份的增加,效率性有降低的現象,並且可能由於我們對於股市報酬分配認知的錯誤,造成價外的選擇權有長期錯估的情況。(買權實際價值高於市價、賣權實際價值低於市價)在到期時間的選取方面,不直接使用距離到期的日曆天為基準,也並非使用剩餘的開盤日為基準,而是應以剩餘開盤日加上休假次數乘以0.44,再加上0.36後的數字。
台灣的利率會隨著時間變動,而且股利的發放並不如同模型的假設是連續性的,然而市場上面的計算方式是直接採用將期貨的結算價格套用入現貨的價格以解決以上的問題,因此似無進行這些修正的必要。
過去的研究都是假設市場上交易的價格即為真實的價格,因此模型的參數估計或是比較修正都是以市價為基準。然而結果發現市價其實是有長期偏離的情形,而且選擇權的價格越接近到期日受到人的行為影響異常的情形也越多,因而建議市價必須修正後才適用。
This literature is probing into the pricing in the Taiwan stock index option and the exactness of price of marketing. Because the value of the option is to come on the basis of value change of its subject matter, so this literature analyses both the index itself and its option market.
Find via analyses, the behavior of the index of Taiwan stock index is almost the same with the cognition of the investors of Taiwan stock Index market. Namely it accords with Geometry Brownian motion, but it has the question of the high narrow thick and fat tail. However, it does not have the problem of its skew. The formation is resulted by the participant’s behavior and partiality.
The efficiency of the option market of the whole stock price is good, but by the increase in month with expire, the efficiency have phenomenon that reduce. Perhaps because we assign the cognitive mistake for the stock market remuneration, out-of-the-money options are estimated mistakely for a long time. (The real value of call options are higher than market prices and the real value of put options are lower than market prices.)
In respect of choosing time of expiring, we use neither calendar nor trade days. We should use the day that remaining trade days add holidays multiplied by 0.44 and than add 0.36.Interest rate of Taiwan changes with time, and dividends are not continuity. However, calculation of market is using price of future into stock price in order to solve the problem.
Research in the past was all to suppose that the traded price was the true price, so the parameter of the model is estimated or relatively revises are all on a basis of market price. But we find that actually there is a situation deviated for a long time at the market price. So we propose that the traded price can’t use.
第壹章 緒論………………………………………………………………………1
第一節 研究背景與動機………………………………………………………1
第二節 研究目的………………………………………………………………3
第三節 研究流程………………………………………………………………6
第貳章 文獻回顧…………………………………………………………………8
第一節 選擇權理論價格及其與市場價格之關係……………………………8
第二節 市場價格與真實價格關係……………………………………………13
第參章 現貨市場之報酬率與波動率分析………………………………………19
第一節 股價指數基本分析……………………………………………………19
第二節 股價指數進階分析……………………………………………………27
第三節 波動度分析……………………………………………………………36
第肆章 台指選擇權市場隱含波動度分析………………………………………41
第一節 台指選擇權市場成交量分析…………………………………………46
第二節 台指選擇權市場價格隱含波動度……………………………………48
第三節 真實波動度微笑曲線…………………………………………………53
第四節 波動率指數……………………………………………………………57
第伍章 選擇權交易策略模擬……………………………………………………64
第一節 台指選擇權交易模擬…………………………………………………64
第二節 由模擬結果看隱含波動度與市場行為………………………………75
第陸章 結論與建議………………………………………………………………80
第一節 結論……………………………………………………………………80
第二節 研究建議………………………………………………………………83
參考文獻……………………………………………………………………………86
附錄 VIX計算方式-CBOE舊制與新制…………………………………………89
中文文獻:
1.胡僑芸,2003,『台指選擇權VIX指數之編制與交易策略分析』,國立中山大學財務管理研究所未出版碩士論文。
2.黃劍鈺,2005,『台灣股市投資人處分效果之探討~考量資訊揭露、股票風險與投資人情緒之實證研究』,國立台灣科技大學財務金融學研究所未出版碩士論文。
3.楊真珠,2003,『台指選擇權市場效率性之分析』,國立政治大學經濟學系未出版碩士論文。
4.龔怡霖,2001,『行為財務學:文獻回顧與展望』,國立中央大學財務管理所未出版碩士論文。

英文文獻:
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2.Bates, D.S. (1996). “Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options.” Review of Financial Studies 9(1), 69–107.
3.Black, F. (1986) “Noise” The Journal of Finance Vol.46, 747-754.
4.Black, F. and M. Scholes (1973) “The Pricing and Corporate Liabilities”. Journal of Political Economy, 81, 637-654.
5.Black, F. (1975) “Fact and Fantasy in the Use of Options and Corporate Liabilities”. Financial Analysis Journal, 31 36-41, 61-72.
6.Bollen, N.P. (1998) “Valuing options in regime-switching models.” Journal of Derivatives 6, 1, 38–49.
7.Bollen, N.P. and E. Rasiel (2003) “The performance of alternative valuation models in the OTC currency options market.” Journal of international money and finance 22, 33-64.
8.Cowles, A. (1933) “Can stock market forecasters forecast?” Econometrica, 1, 309-324.
9.Cowles, A. and H. E. John (1937) “Some a posteriori probabilities in stock market action”, Econometrica, 5, 280-294.
10.Cox, J.C., and S.A. Ross (1976) “A Survey of Some New Results in Financial Option Pricing Theory” Journal of Finance, 31, 2, 383-402.
11.Duan, J. (1995) “The GARCH option pricing model.” Mathematical Finance 5 (1), 13–32.
12.Efron, B. (1979) “Bootstrap methods:Another look at the Jackknife.” Annals of Statistics, 7, 1-26.
13.Evnine, J. and A. Rudd (1985) “Index Options: The Early Evidence.” Journal of Finance, Jul85, 40, 3, 743-755.
14.Fama, E.F. (1965) “The behavior of stock market prices” Journal of Business, 38, 34-106.
15.Fama, E.F. (1970) “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, 25, 383-417.
16.Fama, E.F., and K. R. French (1992) “The cross-section of expected stock returns”, Journal of Finance, 47, 427–465.
17.Fama, E.F., and K. R. French (2006) “The Value Premium and the CAPM” The Journal of Financial, 61, 5, 2163-2185.
18.Franzoni, F. (2001) “Where is beta going? The riskiness of value and small stocks”, PhD dissertation, MIT.
19.Kahneman, D., and A. Tversky, (1979) “Prospect theory : An analysis of decision under risk,” Econometrica, 47, 2(March), 263-291.
20.Kendall, M. G. (1953) “The analysis of economic time-series, Part 1. Prices”, Journal of the Royal Statistical Society, 96, 11-25.
21.Lintner, J. (1965). “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets”, Review of Economics and Statistics, 47: 13-37.
22.Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices”, Journal of Business, 36, 3, 294-419.
23.Merton, R.C. and Z. Bodie, (2005) “Design of Financial Systems : Towards a Synthesis of Function and Structure”, Journal of Investment Management.
24.Merton, R. (1976) “Option Pricing When Underlying Stock Returns Are Discontinuous”, Journal of Financial Economics, 3, 125-144.
25.Peter, C., H. Steve, and J. Kris, (2006) “Option valuation with conditional skewness” Journal of Econometrics, 131, 1-2, 253-284.
26.Samuelson, P. A. (1965) “Proof that property anticipated prices fluctuate randomly”, Industrial Management Review, 6, 41-49.
27.Scholes, M. (1972), “The market for securities: substitution versus price pressure and effects of information on share prices”, Journal of Business 45, 179-211.
28.Sharpe, W. F., (1964) “Capital asset prices: A theory of market equilibrium under conditions of risk”, Journal of Finance 19, 425–442.
29.Whaley, R. (1982) “Valuation of American Call Option on Dividend-Paying Stocks” Journal of Financial Econometrics, 10, 29-58.
30.Working, H. (1934) “A random-difference series for use in the analysis of time series”, Journal of the American Statistical Association, 29, 11-24.
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