跳到主要內容

臺灣博碩士論文加值系統

(18.205.192.201) 您好!臺灣時間:2021/08/06 04:45
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:顏志泓
研究生(外文):Jr-Hung Yan
論文名稱:納入情緒指標之波動度預測及其於波動度交易策略上之應用
論文名稱(外文):Volatility Forecasting Recruiting Sentiment Indicators and Its Application on Volatility Trading Strategies
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:2008
畢業學年度:96
語文別:中文
論文頁數:39
中文關鍵詞:情緒指標波動度預測交易策略
外文關鍵詞:sentiment indicatorvolatility forecastingtrading strategy
相關次數:
  • 被引用被引用:8
  • 點閱點閱:506
  • 評分評分:
  • 下載下載:185
  • 收藏至我的研究室書目清單書目收藏:3
波動度預測在資產配置、投資組合避險、風險控管、衍生性金融商品定價及波動度交易策略之擬定上扮演重要的角色。本研究參考Engle and Gallo(2006)以歷史波動度模型為研究基礎(高低價差,真實波動度與絕對日報酬),及Wang, Keswani and Taylor (2006)剖析市場報酬率、波動度與投資人情緒指標之關聯性,進一步在波動度預測模型中納入情緒指標進行未來波動度之預測。本研究以台灣證券及衍生性商品市場進行分析,所採用之情緒指標包括現貨市場之ARMS指數,衍生性市場之波動度指數(VIX)、選擇權賣買權交易量比率(PCV)和選擇權賣買權未平倉量比率(PCO)。本研究除以不同之預測誤差衡量方法比較不同模型對未來波動度預測的準確性,更進一步透過波動度交易策略之構建,比較納入情緒指標之預測模型在策略操作實務上的應用價值。研究樣本以2003年至2007年台指選擇權結算日為基準,分別在結算日前5天,10天及15天預測結算日之波動度變化,並依據預測結果建立作多或放空之勒式策略。實證結果發現,納入情緒指標之波動度預測模型,雖預測誤差並未有顯著之降低,但依據其對波動度變化方向之預測而建立之選擇權交易策略,可產生顯著的正向累積報酬,證實納入情緒指標建構波動度預測模型,有助於提升波動度預測及波動度交易策略之績效。
The forecast of volatility play an important role in the asset allocation, hedge, risk management, derivative pricing and volatility trading strategy. This research based on the historical volatility model (daily high-low range, daily realized volatility and absolute daily returns) by referring to Engle and Gallo (2006), and Wang, Keswani and Taylor (2006) analyzed the relationships between stock market returns, volatility and indicators of investor sentiment. Our study is to answer the question whether sentiment indicators can be used to improve the forecasting efficiency of future volatility. This research construct the sentiment indicators in the spot and derivatives markets of Taiwan including the ARMS index, option volatility index(VIX), put-call trading volume ratio(PCV) and put-call open interest ratio(PCO).
The data was quoted the intra data on the TXO from Jan,2,2003 to Dec,31,2007. Forecasting the variation of volatility at 5, 10, 15 ahead of settlement day. In accordance with the forecasting result built the buying/selling strangle strategy. The empirical results show that the volatility-forecast model using sentiment indicators can not reduce the forecasting error observably, but built the option trading strategy based on the result could has accumulation return. This result confirms the volatility-forecast model using sentiment indicators can improve the performance of volatility-forecast and volatility Trading Strategies.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與內容 5
第三節 研究流程 5
第貳章 文獻探討 7
第一節 波動度預測 7
第二節 投資人情緒指標 8
第参章 研究方法 11
第一節 資料說明 11
第二節 波動度模型定義 11
第三節 情緒指標選取與建立 13
一、波動度指數 13
二、選擇權賣買權交易量比率 15
三、選擇權賣買權未平倉比率 15
四、艾姆斯指數 16
第四節 因果檢測 16
第五節 波動度預測模型 17
第六節 預測誤差衡量 18
第七節 交易策略構建 20
第肆章 實證結果 22
第伍章 結論與建議 28
參考文獻
中文部份
古金尚(2003),台灣股票市場投資者心理情緒影響因素之實證研究,朝陽科技大
學財務金融系碩士論文。
林佳陵(2003),以情緒指標在期貨市場的應用--以日經225 指數期貨為例,銘傳
大學財務金融研究所碩士論文。
李宛柔(2004),「波動率指數於真實波動率及指數報酬之相關研究」,中央大學企
業管理研究所碩士論文。
柯政宏(2004),CBOE新編VIX指數於台指選擇權及實現波動度預測上的應用
銘傳大學財務管理研究所碩士論文。
許溪南、詹世煌、謝宗祐 (2000),選擇權波動性與標的資產歷史波動性及選擇
權參數之關聯性,亞太管理評論,第5 期,385~401 頁。
許銘傑(2002),市場情緒與基本面對短期股價影響之比較,政治大學國際貿易系
碩士論文。
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,台灣金融季刊,第四輯第二期,41-63 頁。
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」。



英文部分
Akgiray, V. (1989). Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business 62, 55-80.
Baker, M., and Wurgler, J., (2006). Investor sentiment and the cross-section of stock
returns, Journal of Finance 61, 1645-1680.
Baker, M., and Wurgler, J., (2007). Investor sentiment in the stock market, Journal of
Economic Perspectives 21, 129-151.
Becker, R., Clements, A. E., and White, S. I. (2007). Does implied volatility provide
any information beyond that captured in model-based volatility forecasts?,
Journal of Banking & Finance 31, 2535-2549.
Brown. G.W. (1999). Volatility, sentiment, and noise traders, Financial Analysts
Journal 55, 82-90.
Brown, G.W., and Cliff, M.T. (2004). Investor sentiment and the near-term stock
market, Journal of Empirical Finance 11, 1-27.
Campbell, J.Y., and Hentschel, L. (1992). No news is good news: An asymmetric
model of changing volatility in stock returns. Journal of Financial Economics 31, 281-318.
Canina, L. and Figlewski, S. (1993), “The Informational Content of Implied Volatility, The Review of Financial Studies 6 , 659-681.
Chen, Y.Y. (2005). Volatility index construction for Taiwan stock index options and forecasting models comparison. Doctor of Business Administration, Nova Southeastern University.
Christensen, B.J. and Prabhala, N. R. (1998). The Relation between Implied and
  Realized Volatility, Journal of Financial Economics 50, 125-150.
De Long, J.B., Shleifer, A., Summers, L.G., and Waldmann, R.J. (1990). Noise trader
risk in financial markets, Journal of Political Economy 98, 703-738.
Engle, R. F., and Gallo, G. M. (2006). A multiple indicators model for volatility forecasting using intra-daily data. Journal of Econometrics 131, 3-27.
Fleming, F. (1998). The quality of market volatility forecasts implied by s&p 100
index option prices. Journal of Empirical Finance 5, 317-345.
Fisher, K. L., and Statman, M. (2000). Investor sentiment and stock returns, Financial
Analysts Journal 56, 16-23.
Granger, C. W. J. (1969). Investigating causal relations by econometric models and
cross-spectral methods, Econometrica 37, 424–38.
Kroner, K. F. (1996). Creating and Using Volatility Forecasts, Derivatives Quarterly 5,  39-53.
Latane, Henry A., and Richard J. Rendleman, Jr., (1976), Standard deviations of
stock price ratios implied in options price, Journal of Finance 31, 361-381.
Lee, W.Y., Jiang, C.X., and Indro, D.C. (2002). Stock market volatility, excess returns,
and the role of investor sentiment, Journal of Banking & Finance 26, 2277-2299.
Low, C. K. (2000), The fear and Exuberance from implied volatility of S&P100
Index Options, Working paper, National University of Singapore.
Muñoz, M. P., Marquez, M. D., and Acosta, L. M. (2007). Forecasting volatility by
means of threshold models. Journal of Forecasting 26, 343-363.
Noh, J., and Kim T.H. (2006). Forecasting volatility of futures market: The S&P 500
and FTSE 100 futures using high frequency returns and implied volatility. Applied Economics 38, 395-413.
Olsen, R. A. (1998). Behavioral finance and its implications for stock-price volatility,
Financial Analysts Journal 54, 10-18.
Pierre Giot, (2002), “The Information Content of Implied Volatility Indexes for
Forecasting Volatility and Market Risk, Working Paper, CORE, University of
Louvain.
Poteshman, A. M. (2000). Forecasting future volatility from option prices. Working Paper, FEN.
Poon, S. H., and Granger, C.W.J. (2003). Forecasting volatility in financial markets: A
review. Journal of Economic Literature 41, 478-539.
Shefrin, H. (2000). Beyond Greed and Fear, Harvard Business School Press, Boston.
Simon, D. and R. Wiggins (2001), S&P Futures and Contrary Sentiment Indicators, Journal of Finance 21, 447-462.
Solt, M. E., and Statman, M. (1988). How useful is the sentiment index? Financial
Analysts Journal 44, 45-55.
Vasilellis, G.A., and Meade, N. (1996). Forecasting volatility for portfolio selection, Journal of Business Finance & Accounting 23, 125-143.
Wang, C. (2001). Investor sentiment and return predictability in agricultural futures
markets, Journal of Futures Markets 21, 929-952.
Wang, Y.H., Keswani, A., and Taylor, S. (2006). The relationships between sentiment, returns and volatility, International Journal of Forecasting 22, 109-123.
Whaley, R.E. (2000). The investor fear gauge. Journal of Portfolio Management, 26, 12-17.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊