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研究生:鄒耀文
研究生(外文):Tsou Yao-wen
論文名稱:現貨指數與選擇權隱含波動率關聯性之研究-以台灣電子指數為例
論文名稱(外文):The relationship between stock index and the implied volatility of index option-The case of electronic index in Taiwan market
指導教授:林坤輝林坤輝引用關係
指導教授(外文):Lin Kun-hui
學位類別:碩士
校院名稱:國立屏東科技大學
系所名稱:工業管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
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:75
中文關鍵詞:電子選擇權隱含波動度歷史波動度VIX指數
外文關鍵詞:electronic optionhistory volatilityimplied volatilityVIX index
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選擇權商品的加入使台灣金融市場的運作更加完整與活絡,具備低交易成本及高財務槓桿操作特性,除滿足部份投資人的喜好外,亦為良好的避險工具。依據Black-Scholes 的選擇權評價模型中,影響選擇權價格的五個變數中,波動度是唯一無法像其他變數一樣可以直接由市場中觀察而得。故波動度的預測其結果的準確性,成為商品交易績效提昇及避險參考的重要指標。
本研究利用CBOE在2003年9月22日推出新編之VIX波動度指數的計算方法,模擬於電子指數選擇權,以模擬之VIX指數和歷史波動度與現貨指數間比較,尋求之間的關聯性及相關程度,並藉由研究中出現之資訊,找尋其中隱藏的內涵。所得結論如下:

(一) 不論是模擬VIX指數或10天期歷史波動度與現貨電子指數間均存在負相關。將預測的範圍區分成上升波段或下跌波段,分別觀察VIX指數及歷史波動度的數值是否出現異常,則可增加其準確性。再加上另一限制條件,VIX指數及歷史波動度的標準化常態分配(standard normal distribution)是否異常,以判斷投資人是否出現恐慌性賣壓,現貨指數的走勢是否將出現反彈。並可觀察投資人是否出現過度樂觀,現貨指數的走勢是否將出現反轉。
(二) 本研究案例中VIX指數在電子指數下跌時的變化量大於指數上漲時的變化量。不論下跌波段VIX指數上升幅度及上漲波段VIX指數下降幅度,均大於現貨電子指數的漲跌幅度。故VIX 指數和電子指數存在不對稱的關係。這點與國外許多研究的案例有相似之處。
(三) 本研究案例中VIX指數與市場電子指數之間及10天期歷史波動度對市場電子指數之間的走勢圖非常類似,存在的負相關的程度差不多,但是歷史波動度反彈及反轉的訊號不及VIX指數那麼明顯,也就是其潛在之資訊內涵,歷史波動度是不及VIX指數。
The joining of the options made the operation of the financial market of Taiwan more intact and active. It possess the low trade cost and high financial lever of operative characteristic besides satisfying the tastes of some investors and also a good hedging instrument. According to the options appraisement of Black-Scholes model, Among five parameters of influence the price of options, volatility is only one that cannot be observed, from the market directly. The accuracy of its result by prediction of volatility an important index become of rising the trade performance and hedging.
This research uses new technique of computing volatility index to simulate the electronic operations in September 22, 2003, comparison among the simulated VIX index, history volatility and the indexes of stock, to the relation ships and degree of associations will be tested and find the meanings within. The results show as follows:

(1) Among simulated VIX index, history volatility and the indexes of stock, it show negatively correlated. The ranges of prediction are divided into rising band and dropping band, the observations show VIX index and history volatility appears usual phenomenon or not respectively, it can increase the accuracy. Increasing another limiting factor again, VIX index and history volatility are standardized to see the changes as usual or not. It can be available to judge whether the investors show the panic selling pressure. The tendency of the index of stock will rebound. We can observe the investors appear excessively optimistic, the tendency of the index of the stock will overturn.
(2) Between the electronic index drop wave band and the electronic index rise wave band, the change of VIX index of the former is high than those of the latter. No matter how the ascensional range of VIX index when the index drops or the drops range that VIX index when the index rises, it is always greater than the up and down of the electronic index of stock. So there are asymmetric relations between VIX index and electronic index. The results show as similar as the foreign reports.
(3) In this case, the tendency figure between VIX index and market electronic index are similar as history volatility and market electronic index that they show negatively correlated. But the history volatility of signal rebounding and overturning are not obvious as VIX index, it is to say that by the potential information, the degree of history volatility is not as VIX index.
目 錄
摘要…………………………………………………………………………...I
Abstract …………………………………………………………………….III
誌謝…………………………………………………………………………..V
目錄………………………………………………………………......….…..VI
表目錄……………………………………………………………………..VIII
圖目錄………………………………………………………………………..X
第壹章 緒論...................................................................................................1
第一節 研究背景………………………………………………………1
第二節 研究動機………………………………………………………3
第三節 研究目的………………………………………………………4
第貳章 文獻探討…………………………………………………………...6
第一節 影響選擇權價格的因素………………………………………6
第二節 股價波動的估計………………………………………………8
第三節 隱含波動度之相關文獻……………………………………..12
第四節 波動度指標之相關研究……………………………………..16
第叄章 研究方法………………………………………………………….21
第一節 波動度之估計………………………………………………..21
第二節 模擬台灣電子指數VIX及歷史波動度與現貨電子指數關
聯性之比較…………………………………………………..28
第肆章 實證結果與分析………………………………………………….32
第一節 資料來源……………………………………………………..32
第二節 台灣電子指數與歷史波動度及模擬VIX敘述統計……….33
第三節 VIX指數在電子指數下跌時的變化量與指數上漲時的變
化量比較……………………………………………………. 44
第四節 台灣電子指數與歷史波動度及模擬VIX迴歸分析……….46
第五節 本研究實證彙整……………………………………………..63
第伍章 結論與建議……………………………………………………….67
第一節 結論…………………………………………………………..67
第二節 建議…………………………………………………………..70
參考文獻…………………………………………………………………….71
作者簡介…………………………………………………………………….75
參考文獻
中文部份
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6.陳威光(2002),選擇權理論、實務與應用,台北市:智勝文化事業有限公司:p. 253-279。
7.莊益源、張鐘霖、王祝三(2003),波動率模型預測能力的比較-以台指選擇權為例,台灣金融財務季刊,4(2):41-63。
8.鄭義、胡僑芸、林忠義(2005),「波動率指數VIX於臺指選擇權市場之應用」,臺灣期貨市場 Taifex Review,7(2):13-33。
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西文部份
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