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研究生:孫嘉瑞
研究生(外文):Jia-ruei Sun
論文名稱:多愁善感的選擇權-台灣股價指數選擇權市場實證
論文名稱(外文):Sentimental Option-Empirical Evidence from Taiwan Stock Index Market
指導教授:王銘駿王銘駿引用關係
指導教授(外文):Ming-chun Wang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融理財研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:64
中文關鍵詞:微笑效果投資人情緒淨買壓
外文關鍵詞:Investor sentimentNet buying pressureSmile effect
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自台指選擇權(代號:TXO)從2001年12月24號上市以後,已經隨著時間不斷地蓬勃發展,而如今也成為避險者、投資者操作的最佳金融工具。理論上在Black and Scholes(1973)的假設之下,隱含波動率曲線應該是為水平且固定,可是透過實證指出,隱含波動率曲線會產生在價平時比較低,在價內和價外較高的微笑現象。
過去研究發現,會影響隱含波動率的微笑現象因素有許多,比如到期日效應(Heynen (1994), Ju, Lo and Wang (2008), Taylor and Xu(1994))、交易成本、市場動能、歷史波動度(Peña, Rubio and Serna (1999)),而Bollen and Whaley(2004)和Chan, Cheng and Lung(2004)更利用選擇權淨買壓的要素,去探討對隱含波動率曲線微笑現象的影響,另外 Han(2008)更以投資人的情緒,對是否會影響隱含波動率曲線的形狀去做探討。
在跟隨著Bollen and Whaley(2004) 和 Han(2008)的情形之下,本文在另外建構一個情緒指標---買賣權比率(CPratio),對不同的投資人類別加以區分,探討依照不同投資人類別建構的情緒指標---買賣權比率及依照Delta去做區分不同類的選擇權淨買壓,是否對選擇權平均隱含波動率的變動,有顯著的影響。而實證結果指出,在投資人類別為散戶自然人中,情緒因子會顯著影響價平買權隱含波動率的變動。
After Taiwan stock index options (TXO) have been listed in the Taiwan Futures Exchange(TAIFEX) since December 24th, 2001, the option market has become much more prosperous. For this reason, arbitrageurs and investors have regarded TXO as one of the best financial instruments for the purpose of hedging. Under the assumption of Black and Scholes(1973), implied volatility must be flat and constant through time, but empirical studies give implied volatility function the appearance of smile.
From the past empirical studies, it has several reasons to explain the phenomenon of smile effect. For example, expiration effect( Heynen (1994), Ju, Lo and Wang (2008), Taylor and Xu (1994)), trading cost, market momentum and historical volatility(Peña, Rubio and Serna (1999)). As time goes further, Bollen and Whaley(2004) and Chan, Cheng and Lung(2004) use the factor of net buying pressure to interpret the smile effect of implied volatility function. In 2008, Han explains the shape of implied volatility function from the aspect of investor sentiment.
In this paper, we follow the model of Bollen and Whaley(2004) and use the conception of Han(2008) for the purpose to construct another investor sentiment index which is called CPratio classified by different types of investor. The ultimate intention is that we want to find out whether the CPratio classified by different types of investor and net buying pressure classified by delta can affect the change in implied volatility significantly and the result is that individual investors’ sentiment has the effect on the change in implied volatility for at-the-money call with significance.
中文摘要....................................................................................................................................I
英文摘要..................................................................................................................................II
誌謝.........................................................................................................................................III
目錄.........................................................................................................................................IV
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 研究動機與目的................................................................................1
第三節 研究架構.............................................................................................3
第二章 文獻回顧....................................................................................................................4
第一節 Black and Scholes評價模型..............................................................4
第二節 隱含波動率與微笑曲線...................................................................5
第三章 實證方法與假說.....................................................................................................13
第一節 資料來源與選取.............................................................................13
第二節 隱含波動率的計算.........................................................................13
第三節 選擇權的價性與Delta值..............................................................15
第四節 淨買壓變數的設計.........................................................................17
第五節 情緒變數的設計.............................................................................19
第六節 控制變數的設計.............................................................................21
第七節 假說..................................................................................................24
第四章 實證結果與分析.....................................................................................................25
第一節 敘述統計量.....................................................................................25
第二節 迴歸穩定性檢定............................................................................28
第五章 結論與後續建議.....................................................................................................30
第一節 結論.................................................................................................30
第二節 後續研究建議................................................................................32
參考文獻................................................................................................................................33
國外文獻.......................................................................................................33
國內文獻.......................................................................................................39

表目錄
表2-1 歐式選擇權價格與因素之間的關係................................................40
表2-2 情緒替代變數參照情形與文獻來源................................................41
表3-1 台指選擇權契約內容..........................................................................42
表3-2 選擇權Delta分類表............................................................................43
表4-1敘述統計量_價平及價外買權、賣權不區分投資人類別.............44
表4-2 敘述統計量_價平買權投資人類別 散戶自然人、
本土法人、外資、期貨證券商、投信投顧及期經公司、
造市者...................................................................................................45
表4-3迴歸穩定性檢定(價平買權)不區分投資人類別..............................46
表4-4迴歸穩定性檢定(價平買權)投資人類別-散戶自然人....................47
表4-5迴歸穩定性檢定(價平買權)投資人類別-本土法人........................48
表4-6迴歸穩定性檢定(價平買權)投資人類別-外資.................................49
表4-7迴歸穩定性檢定(價平買權)投資人類別-期貨證券商....................50
表4-8迴歸穩定性檢定(價平買權)投資人類別-投信投顧及
期經公司...............................................................................................51
表4-9迴歸穩定性檢定(價平買權)投資人類別-造市者............................52

圖目錄
圖1-1 研究架構與流程....................................................................................3
圖1-2 台指選擇權成交量(年).......................................................................53
圖1-3 各金融衍生性商品所占總交易量比例-2008...................................54
圖3-1 隱含波動率曲線-依分類群組區分...................................................55
圖3-2 散戶自然人CPratio-20020102-20041231走勢圖.............................56
圖3-3 本土法人CPratio-20020102-20041231走勢圖.................................57
圖3-4 外資CPratio-20020102-20041231走勢圖..........................................58
圖3-5 期貨證券商CPratio-20020102-20041231走勢圖.............................59
圖3-6 投信投顧及期經公司CPratio-20020102-20041231走勢圖............60
圖3-7 造市者CPratio-20020102-20041231走勢圖.....................................61
圖3-8 VIX指數依照CBOE新型編制方式20020102-20041231...............62
圖3-9 台指選擇權散戶自然人每天平均各種類別開倉交易量
所占比率2002-2004.............................................................................63
圖3-10 台指選擇權買賣權交易量2002-2004..............................................64
國外文獻
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國內文獻
[1]宋正雄, 2003, 選擇權實證研究-以S&P 500指數選擇權為例, 國立中央大學, 碩士論文。
[2]簡榮俊, 2003, 選擇權實證研究-以台指選擇權為例, 國立中央大學, 碩士論文。
[3]姜書甄, 2004, 淨買壓解釋隱含波動微笑現象, 私立淡江大學, 碩士論文。
[4]蘇世閎, 2004, 指數選擇權市場淨買壓對隱含波動率變動的影響:台指選擇權是避險者為主的市場嗎, 國立交通大學, 碩士論文。
[5]李淳祥, 2005, 台指選擇權市場淨買壓假說之驗證, 國立政治大學, 碩士論文。
[6]伍尚文, 2006, 台指選擇權及期貨操作之研究-運用買賣權結構比率即週技術指標, 國立台灣科技大學, 碩士論文。
[7]林宥辰, 2007, 台指選擇權到期日效應與隱含波動度微笑曲線之探討, 國立中央大學, 碩士論文。
[8]郭人杰, 2007, 隱含波動度、偏態、峰態的資訊內容-TAIEX的實證研究, 國立台灣科技大學, 碩士論文。
[9]劉王譯, 2007, 不同到期期間微笑程度之探討-台灣指數選擇權的實證研究, 私立朝陽科技大學, 碩士論文。
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