臺灣博碩士論文加值系統

由於選擇權市場高槓桿與低交易成本等特性，資訊交易者會先在選擇權市場上根據私有資訊 (private information) 進行交易，而後才會選擇進入股票市場交易，故選擇權交易隱含了對未來股票價格走勢的預期。本研究以台指選擇權的買賣權隱含波動價差來預測台灣加權股價指數的未來走勢，結果發現隱含波動價差對於未來的台灣加權股價指數日報酬率不具備預測能力的現象，應與市場投資人情緒有關。在控制投資人情緒的影響之後，台指選擇權隱含波動價差呈現顯著之報酬預測能力。本研究亦發現，市場情緒高昂時，會降低選擇權市場對於現貨市場的預測能力；相反地，市場上投資人情緒普遍低迷時，隱含波動價差的預測能力是穩定且顯著的。

Because of the properties concerning high leverage and low trading costs in option markets, informed investors usually trade in option markets before trading in stock markets. Accordingly, option prices are expected to carry information about future stock price movements. This study adopts the difference between implied volatility of paired call and put options, volatility spreads, to investigate whether deviations from put-call parity predict the future price movements of the underlying asset. The empirical results indicate that the return predictability of volatility spreads is significantly related to investor sentiments. Moreover, we also find that high investor sentiments reduce the predictability of volatility spreads. Contrarily, the predictability is stable and significant during low investor sentiments.

目錄
第一章 緒論.............................1

第二章 文獻探討............................4

第三章 研究方法............................12
第一節 資料來源..............................12
第二節 投資人情緒............................12
第三節 主成分分析法............................19
第四節 買賣權偏離對於股票報酬之預測能力.............21

第四章 實證結果分析...........................25
第一節 隱含波動價差之預測.........................25
第二節 投資人情緒與隱含波動價差之預測能力............27

第五章 結論...................................35

英文參考文獻....................................36
中文參考文獻....................................38

英文參考文獻

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中文參考文獻

1.周賓凰、張宇志、林美珍 (2007)，「投資人情緒與股票報酬互動關係」，證券市場發展季刊，第十九卷，第二期，頁153-190。
2.鄭高輯、林泉源 (2010)，「投資人情緒對投機型股票報酬之影響」，商略學報，第二卷，第一期，頁21-35。