臺灣博碩士論文加值系統

本文使用2007年至2015年之選擇權日內資料，研究旨在觀察台指選擇權之隱含波動率價差對當期台灣加權股價指數的影響，以及其對台灣加權股價指數未來走向是否具有預測能力。實證結果顯示，隱含波動率價差對台灣加權股價指數有顯著正向的影響，支持資訊假說論點，且隱含波動率價差亦有預測台灣加權股價指數的能力。以此研究結果為基礎，本研究進一步以選擇權隱含波動率價差為訊號進行交易操作，操作標的分別為台灣加權股價指數、台指期貨及台灣50指數股票型基金等，以觀察投資人是否能藉由波動率價差策略獲利。結果顯示，在不計交易成本的情況下，以隱含波動度價差為基礎之交易策略，不論採用上述何種商品進行交易操作皆可獲利，其中又以台指期貨的報酬率最高。即使在計入交易成本後，利用此一策略操作台指期貨依舊可以獲利。

Based on the intraday data of Taiwan Stock Exchange Capitalization Weight Stock Index (TAIEX) options ranging from 2007 to 2015, this research investigates the impact of implied volatility spread on the TAIEX index and examines whether volatility spread of TAIEX options possesses predictability. Empirical results suggest that the impact of implied volatility spread on the TAIEX index is positive, supporting the information hypothesis. We also find that implied volatility spread has the ability in predicting subsequently TAIEX returns. Based on these findings, we develop a volatility-spread-based strategy and examine performances of this strategy in trading TAIEX index, TAIEX futures, and the Taiwan 50 ETF, respectively. We find that the volatility-spread-based trading strategy generates a positive profit in the absence of transaction costs. After taking transaction costs into account, traders still profit by applying this strategy in trading TAEIX futures.

第一章、 緒論 1
第二章、 文獻回顧 3
第三章、 研究來源與研究模型 7
第一節 資料來源與處理 7
第二節 隱含波動率之計算 7
第三節 隱含波動率價差之計算 8
第四節 隱含波動率價差對當期價格之影響 10
第五節 隱含波動率價差對未來報酬之預測能力 10
第六節 隱含波動率價差交易策略 11
第四章、 實證結果分析 12
第一節 敘述性統計 12
第二節 實證結果 17
第五章、 隱含波動率價差交易策略之操作績效 23
第六章、 結論 36
參考文獻 37

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