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研究生:陳鴻旻
研究生(外文):Hong-Min Chen
論文名稱:美國、英國及臺灣指數選擇權與現貨市場間之波動外溢效果
論文名稱(外文):The Volatility Spillover Effect between Index Options and Their Underlying Markets: Evidence from the U.S., U.K., and Taiwan
指導教授:詹佳縈詹佳縈引用關係王銘駿王銘駿引用關係
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
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:英文
論文頁數:59
中文關鍵詞:波動外溢效果槓桿效果bivariate GARCH-BEKK
外文關鍵詞:volatility spilloverleverage effectbivariate GARCH-BEKK
相關次數:
  • 被引用被引用:1
  • 點閱點閱:235
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本論文研究美國、英國和臺灣共五個指數選擇權和現貨市場間波動外溢的現象,並且把可能的跨市場財務槓桿效果納入考量。實證結果顯示,在五個指數選擇權市場都可以觀察到雙向的波動外溢效果,以及跨市場的槓桿效果。此結果支持選擇權在價格發現過程中扮演重要地位的觀點。本論文進一步分析不同的市場背景是否會影響波動外溢效果的形式,發現現貨市場的新資訊影響指數選擇權市場隔天波動的頻率較高,唯一的例外是那斯達克100指數選擇權,我們認為可能是由於那斯達克交易所股票的平均波動較低的緣故。
The volatility spillover effect between S&P 500, Dow Jones Industrial Average, Nasdaq-100, FTSE-100, TAIEX index options and their underlying markets is examined in the study. The possible cross-market leverage effect is also considered. Empirical results indicate that bidirectional volatility spillover effect as well as cross-market leverage effect exists between index options and their underlying markets. This finding supports the hypothesis that option market plays an important role in the process of price discovery. We further examine whether pattern of volatility spillover effect is related to specific market setting. We find that in general innovations in underlying market are more predictive for the next day’s volatility in options market than the other way round, except for Nasdaq-100. We attribute the phenomenon to the lower average volatility for the stocks in Nasdaq.
Table of Content

Chapter 1 Introduction 1
Chapter 2 Background 5
2.1 Possible explanations for volatility spillover effect 5
2.2 The U.S. market 9
2.3 The U.K. market 10
2.4 The Taiwan market 11
Chapter 3 Literature review 13
3.1 Previous findings 13
3.2 Hypotheses 17
Chapter 4 Data and methodology 20
4.1 Data and sample description 20
4.2 Calculation of implied prices 22
4.3 Testing volatility spillover effect 24
Chapter 5 Empirical finding and analysis 31
5.1 The implied prices 31
5.2 Analysis of volatility spillover effect 32
Chapter 6 Conclusion and remarks 38
Reference 40
Reference


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