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研究生:吳東容
研究生(外文):Wu, Dong-Rong
論文名稱:微笑曲線與成交量預測股票未來報酬
論文名稱(外文):Information Content in Option Volume and Skew to Predict Equity Returns
指導教授:李漢星李漢星引用關係
指導教授(外文):Lee, Han-Hsing
口試委員:石百達
口試委員(外文):SHIH, PAI-TA
口試日期:2015-06-22
學位類別:碩士
校院名稱:國立交通大學
系所名稱:財務金融研究所
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:2015
畢業學年度:103
語文別:英文
論文頁數:38
中文關鍵詞:選擇權隱含波動度成交量
外文關鍵詞:optionvolatility smirkvolumeimplied volatility skew
相關次數:
  • 被引用被引用:0
  • 點閱點閱:440
  • 評分評分:
  • 下載下載:53
  • 收藏至我的研究室書目清單書目收藏:0
本論文探討買權和賣權各別成交量的資訊意涵,使用買權對股票成交量和賣權對股票成交量檢驗是否資訊領先者偏好使用買權和賣權兩者來交易負面資訊。對於隱含波動度的斜率(skew),除了微笑曲線左邊的斜率外,我們也檢驗右邊的斜率,得到對股市未來報酬有預測性。由於反應在微笑曲線和成交量的資訊不盡相同,因此我們使用雙變數排序得到的投資組合對股票未來報酬有經濟上和統計上顯著的預測性。由於不只存在對股票價格方向的資訊,也存在對於股票波動度做交易的資訊,在建立投資組合時,可以除去兩個方向skew都很大的樣本,改善我們的投資組合報酬。對於交易策略,我們也檢驗了不同期間的表現,以及在不同的市場情況下觀察績效之差異。
We examine the information content of the call to stock volume ratio (CS) and the put to stock volume ratio (PS) to check whether informed traders prefer to trade bad news by trading both call and put options. Aside from the skew of the left-hand side of volatility smirk, we also examine the skew of the right-hand side of volatility smirk. Due to different information contents between option volume and skew measures, we apply double-sorted strategies by subsequently sorting option volume measures and option skew measures, which has a better cross-sectional predictive power for future stock returns than single-sorted strategies. Furthermore, because of the existence of informed trading for future stock volatility, we improve our double-sorting strategies by removing those samples with maximal ranks of both direction skew measures. Finally, we perform robustness analyses in different sub-periods and different market conditions.
目錄
摘要 I
ABSTRACT II
致謝 III
目錄 IV
表目錄 V
1. INTRODUCTION 1
2. LITERATURE REVIEW 4
3. DATA AND METHODOLOGY 6
3.1. DATA 6
3.2. OPTION VOLUME AND SKEW MEASURES 7
3.3. DESCRIPTIVE STATISTICS 8
3.4. METHODOLOGY 10
4. EMPIRICAL RESULTS 12
4.1. SINGLE-SORTED RESULTS 12
4.2. DOUBLE-SORTING RESULTS 13
4.3. PERFORMANCE OF STRATEGIES BY DOUBLE-SORTING 19
4.4. STRATEGIES COMPARED TO THE OS STRATEGY 23
4.5. OPPOSITE DOUBLE-SORTING RESULTS AND PERFORMANCES COMPARED TO THE OS STRATEGY 24
4.6. PERFORMANCE IN THE RECENT PERIOD 27
5. ROBUSTNESS ANALYSES 28
6. CONCLUSION 31
APPENDIX 32
REFERENCE 35


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