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研究生:林欣蓉
研究生(外文):Hsin-Jung Lin
論文名稱:台指選擇權價格時距與波動度之探討
論文名稱(外文):A Study on the relationship of price duration and volatility in the Taiwan index options (TXO) market
指導教授:涂登才涂登才引用關係
指導教授(外文):Teng-Tsai Tu
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:2010
畢業學年度:98
語文別:中文
論文頁數:53
中文關鍵詞:自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&自我迴歸條件交&
外文關鍵詞:ACD ModelPrice DurationTrade durationUltra High FrequencyVolatility.
相關次數:
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  • 下載下載:132
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金融市場上常透過期貨與選擇權商品來達到避險與套利目的,而其交易行為同時也隱含了一些信息資訊並進一步地影響該市場的波動度。本研究係以台灣指數選擇權(TXO)市場作為研究對象,並將其市場中的投資人類別分為國內機構投資人、外國機構投資人、個別投資散戶與造市者共四種類別投資人,去探究不同類別投資人之交易行為特性及其對整個市場之影響作探討。同時,本研究納入三個市場變數至ACD模型中,去檢驗台灣指數選擇權(TXO)市場是否出現具隱含信息資訊內容。本研究採用Engle(2000)所提的ACD-GARCH模型來探討台灣指數選擇權(TXO)市場中的條件期望價格時距及波動度變化。
本研究實證結果發現,當台指選擇權(TXO)市場之成交量愈大時,其條件期望價格時距將會縮短,亦即整個市場的價格變動所需的時間將愈短。而買權市場之成交價格與條件期望價格時距呈現反向變動的關係;賣權市場之成交價格則與條件期望價格時距呈現正向變動的關係。當距離到期日愈近時,買權與賣權市場之條件期望價格時距也就愈縮短。若進一步分析不同類別投資人對整體選擇權價格時距的影響效果,則可發現在買權市場上,外國機構投資人及造市者對整體選擇權價格時距之影響程度較大。在賣權市場上,則顯示個別投資散戶對整體選擇權價格時距之影響程度較大。由前述結果可知,不同類別投資人對整體選擇權價格時距具有不同程度的影響效果。
It often occurred to us to achieve the purpose of hedging and arbitrage by trading futures and options in the financial market. Also, it implied informed information trading at that time and further affects the market’s volatility. This study takes the Taiwan index options (TXO) market as the research object and divided all traders into four types of traders that including of domestic institutional investors, foreign institutional investors, individual investors and market makers for examining the feature of different types of traders. This study adds three market variables included transaction prices, trading volume and maturity effect into the ACD model to examine the information content of TXO option trading duration for TAIEX index volatility. This study used the ACD-GARCH model proposed by Engle (2000) to explore the relationship of volatility and conditional expected price duration in the market.
The empirical results indicate while the trading volumes become more and more in the TXO market, the conditional expected price duration will become shorter. It also means the movements of price change would become shorter. The trading price in the call option market relates inversely with conditional expected price duration; however, in the put option market, it relates positively with conditional expected price duration. The maturity effects have positive effect on the price duration of the TXO market. We further analyzed the effect of different types of investors. The foreign institutional investors and the market makers have more significant effects on the call option market. Finally, the individual investors have the greatest, influence on the put option market.
目錄
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 5
第貳章 文獻探討 7
第一節 自我相關條件交易時距模型(ACD Model)相關文獻探討 7
第二節 價格與交易時距的隱含信息之文獻 11
第三節 選擇權交易量及現貨價格變動之文獻 13
第四節 波動度模型相關文獻 15
第參章 研究方法 17
第一節 自我相關條件交易時距模型(ACD Model) 17
第二節 ACD-GARCH模型 20
第肆章 實證結果與分析 28
第一節 資料來源與敘述統計 28
第二節 價格時距圖示、ACD(1,1)模型及ACD-GARCH模型統計分析 31
第伍章 結論與建議 42






圖目錄
圖 1-1 研究流程圖 6
圖 4-1 台指選擇權(TXO)價格時距之累計分佈圖 30
圖 4-2 不同交易人類別買權之價格時距(10點) 31
圖 4-3 不同交易人類別賣權之價格時距(10點) 32

表目錄
表 4-1 台指選擇權(TXO)價格時距之敘述統計 29
表 4-2 台指選擇權(TXO)買權之ACD(1,1)模型估計 35
表 4-3 台指選擇權(TXO)賣權之ACD(1,1)模型估計 37
表 4-4 台指選擇權(TXO)買權之ACD(1,1)-GARCH(1,1)模型統計 39
表 4-5 台指選擇權(TXO)賣權之ACD(1,1)-GARCH(1,1)模型估計 40
中文部分
1.王瑞瓊(2006),「臺指選擇波動性指數之編製與預測能力分析」,銘傳大學財務金融研究所碩士論文。
2.林士權(2004),「臺指選擇權隱含波動性與選擇權內生參數與外生參數之關聯性」,南華大學財務管理研究所碩士論文。
3.陳筱嵐(2000),「交易時距與資訊反應之研究-以摩根台股指數期貨為例」,國立成功大學國際企業研究所碩士論文。
4.楊奕農(2005),時間序列分析:經濟與財務上之應用,台北: 雙葉書廊。
5.劉建緯(2007),「ACD結構轉變模型之比較與應用」,銘傳大學財務金融研究所碩士論文。
6.謝順峰(2003),「小數化、市場流動性與交易時距」,國立中央大學財務金融研究所碩士倫文。
7.謝佩吟(2006),「探討極端金融波動發生時距之研究-以ACD模型為研究方法」,國立交通大學經營管理研究所碩士論文。
8.簡暉恩(2007),「台指選擇權市場交易時距之研究」,銘傳大學財務金融研究所碩士論文。








英文部分
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