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研究生:李承侖
研究生(外文):Cheng-Lun Li
論文名稱:衍生性商品隱含尾端指數對標的資產價格動態之資訊內涵
論文名稱(外文):The Information Content of Derivatives Implied Tail Indices for Future Price Dynamics
指導教授:王耀輝王耀輝引用關係
指導教授(外文):Yaw-Huei Wang
口試委員:石百達何耕宇
口試委員(外文):Pai-Ta ShihKeng-Yu Ho
口試日期:2014-06-18
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2014
畢業學年度:102
語文別:中文
論文頁數:40
中文關鍵詞:VIXS&;P500選擇權尾端指數實現波動度報酬率極端事件巨幅波動
外文關鍵詞:VIXS&;P500OptionJumpTailTail IndexRealized VolatilityReturnRare EventLarge Movement
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市場上的投資人最怕的是遇到股市崩盤或是大幅下跌,近幾年來的衍生性商品發展越趨成熟,衍生性商品提供了一個良好的避險管道,借由觀察衍生性商品的交易資料,我們可以推出投資人對未來的預期及避險需求進一步了解未來可能發生的極端事件(包括大漲或大跌)。本文取了四種商品,分別為VIX 買權、VIX 賣權、S&;P500 買權、S&;P500 賣權,透過模型假設堆導,利用接近到期日且深度價外的選擇權,計算得到尾端指數,再將這些指數拿來預估市場的報酬率及波動率,相較之下S&;P500 買權、S&;P500 賣權對於未來的報酬率具有比VIX 買權、VIX 賣權更顯著的解釋力。波動率的部分則是四個尾端指數都具有顯著解釋能力。而我們做出來的結果發現這些尾端指數比較像是預測波動幅度大小而非方向。

One of the things investors fear the most is market crash. As the developmentof the financial product, more and more derivatives are actively traded. Those derivatives provide a way for investors to hedge their position. By observing
the trading data on the derivative markets, we might be able to extract the useful information regarding how the investors expect about futures. We built a model and use close to maturity and deep out of the money S&;P500 call, S&;P500 put, VIX call, and VIX put to calculate the tail indices. And we use these indices to predict the return and volatility of S&;P500 Index. Overall, S&;P500’s tail indices got more significant in the return prediction. On the prediction of realized volatility, we got perfect result on all four tail indices. And our result act more like predicting return volatility rather than the direction (gain or loss).

口試委員會審定書 i
致謝ii
中文摘要iii
Abstract iv
目錄 v
圖目錄 vii
表目錄 viii
1 介紹1
1.1 研究動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究背景. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 本文結構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2 文獻回顧6
2.1 風險中立測度分佈. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2 預測報酬率與價格動態. . . . . . . . . . . . . . . . . . . . . . . . . . 7
3 尾端模型9
3.1 模型假設. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.2 尾端指數計算. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4 實證研究17
4.1 資料處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
4.1.1 S&;P500 價外選擇權. . . . . . . . . . . . . . . . . . . . . . . . 18
4.1.2 VIX 價外選擇權. . . . . . . . . . . . . . . . . . . . . . . . . . 18
4.1.3 尾端指數. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
4.1.4 波動度資料. . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
4.2 預測S&;P500 波動度. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.2.1 Realized Volatility . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.2.2 Bi-power . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
4.2.3 Adjusted Realized Volatility . . . . . . . . . . . . . . . . . . . . 23
4.3 預測S&;P500 日報酬率. . . . . . . . . . . . . . . . . . . . . . . . . . 25
4.4 預測S&;P500 大幅波動. . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.4.1 變動超過1% . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.4.2 上漲超過1% . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
4.4.3 上漲超過0.5% . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
4.4.4 下跌超過1% . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.4.5 下跌超過0.5% . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
5 結論35
A 附錄 36
參考文獻38

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