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研究生:林裕勝
研究生(外文):Yu-sheng Lin
論文名稱:選擇權交易者是否能以隱含波動偏態預測危機?以台灣和美國市場為例
論文名稱(外文):Did option traders predict the crash from the volatility skewness?Evidence in Taiwan and U.S. markets.
指導教授:李瑞琳李瑞琳引用關係
指導教授(外文):Ruei-Lin Lee
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
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:2008
畢業學年度:96
語文別:中文
論文頁數:69
中文關鍵詞:傳導效果隱含波動率隱含波動率偏態價性
外文關鍵詞:volatilitymoneynesscontagion effectskewness
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過去研究認為股票市場報酬呈現負偏分配,當市場下跌,波動程度更加劇烈。本文旨在檢驗隱含波動率偏態隨著時間將如何改變,且驗證隱含波動率偏態是否可以預測市場或者反應過去的變動。我們利用價外買權及賣權來衡量隱含波動率偏態,比較台灣及美國市場在次級房貸危機前後的差異。研究結果發現台灣及美國市場的隱含波動率偏態皆呈負偏現象。次級房貸危機發生後,美國市場隱含波動率偏態和報酬間呈顯著負向關係,而台灣市場則呈正向關係。背後隱含著危機發生後,美國市場投資者較為悲觀,因此負偏的程度更加明顯。相對地台灣市場投資者較為樂觀,短期反而會些微的增加右偏的程度。另外,兩個市場的隱含波動率偏態及報酬在危機發生後皆存在反饋現象。換句話說,即美國股票市場會影響台灣股票市場,產生外溢及傳導效果。
A priori one would expect stock market returns to show a left-skewed distribution: as the market falls, so it becomes more volatile. This paper examines how the skewness of the smile changes over time and whether that is either a prediction of market movements or reflects past movements. We use out-of-the-money calls and puts to measure the skewness and compare it in the U.S. before and after the subprime crisis with Taiwan. Our finding suggests a left-skewed distribution for both two markets. After the crisis, the impact of skewness on return is negative in the U.S. market but positive in Taiwan. It implies that U.S. traders became more pessimistic after the crisis, increasing the degree of leftskewness of the smile, but traders in Taiwan were more optimistic and in the short-term reacted to the crisis by slightly increasing the rightskewness of the smile. In addition, after the crisis, there are feedbacks of skewness and return in both two markets. On the other hand, the U.S. stock market causes the Taiwan stock market, suggesting the spillover effect and contagion effect.
目錄
摘要 I
Abstract II
誌謝 III
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 6
第四節 研究架構 7
第二章 文獻回顧 8
第一節 次級房貸 8
第二節 隱含波動率的特性 11
第三節 產生隱含波動率微笑的原因 12
第四節 隱含波動率的預測能力 14
第五節 小結 16
第三章 研究方法 18
第一節 資料來源 18
第二節 以delta區分價內外選擇權 18
第三節 隱含波動率偏態的衡量 19
第四節 結構性檢定 20
第五節 實證模型 22
第四章 實證結果 29
第一節 結構性轉變檢定結果 29
第二節 價平價外差異性檢定結果 31
第三節 Wilcoxon檢定及T檢定結果 35
第四節 指數報酬率與隱含波動率偏態敘述統計檢定結果 38
第五節 簡單迴歸分析 40
第六節 SUR模型實證結果 42
第七節 因果分析及羅吉特迴歸分析結果 50
第五章 結論與建議 58
第一節 結論 58
第二節 研究建議 60
參考文獻 62
附錄 67
附表1 次級房貸發生的時間順序 67
表目錄
表3-1 價內外程度表 19
表4-1 台灣與美國結構轉換及Chow檢定結果 30
表4-2(A) 台灣價平買賣權隱含波動率及偏態的差異 32
表4-2(B) 美國價平買賣權隱含波動率及偏態的差異 32
表4-3(A) 台灣價平價外買賣權隱含波動率的差異 34
表4-3(B) 美國價平價外買賣權隱含波動率的差異 34
表4-4 台灣及美國價平價外買賣權隱含波動率差異檢定 35
表4-5 台灣及美國指數報酬率與隱含波動率偏態敘述統計 40
表4-6 指數報酬和隱含波動率偏態之間的關係 41
表4-7 台灣及美國隱含波動率偏態和報酬率之間的關係(未考慮外生變數) 43
表4-8 台灣及美國隱含波動率偏態和報酬率之間的關係(考慮外生變數) 45
表4-9台灣及美國隱含波動率偏態和報酬率之間的關係(合併台灣及美國市場) 48
表4-10(A) 隱含波動率偏態和指數報酬的因果關係 52
表4-10(B) 隱含波動率偏態和指數報酬的因果關係(合併台灣及美國市場) 52
表4-11(A) 羅吉特迴歸係數分析(市場下跌) 55
表4-11(B) 羅吉特迴歸係數分析(市場上漲) 56
表4-12(A) 羅吉特迴歸分析結果(預測市場下跌的能力) 56
表4-12(B) 羅吉特迴歸分析結果(預測市場上漲的能力) 56
圖目錄
圖4-1 台灣價平買賣權平均隱含波動率及股價指數圖 29
圖4-2美國價平買賣權平均隱含波動率及股價指數圖 30
圖4-3 台灣隱含波動率偏態分佈圖 37
圖4-4 美國隱含波動率偏態分佈圖 37
圖4-5 台灣隱含波動率偏態的自我相關及偏自我相關 38
圖4-6美國隱含波動率偏態的自我相關及自我相關 38
圖4-7 危機全期(2006/1/1~2008/4/30) 53
圖4-8 危機前(2006/1/1~2007/6/13) 54
圖4-9 危機發生期間(2007/6/14~2007/7/25) 54
圖4-10 危機後(2007/7/26~2008/4/30) 54
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