跳到主要內容

臺灣博碩士論文加值系統

(44.210.149.205) 您好!臺灣時間:2024/04/16 19:05
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:薛宇哲
研究生(外文):Yu-Che Hsueh
論文名稱:原油市場波動率風險溢酬與期貨報酬率之研究
論文名稱(外文):Volatility Risk Premium and Futures Price Returns for the Crude Oil Market
指導教授:林丙輝林丙輝引用關係
指導教授(外文):Bing-Huei Lin
口試委員:林盈課林哲群
口試委員(外文):Ying-Ke LinJhe-Cyun Lin
口試日期:2019-06-05
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融學系所
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:2019
畢業學年度:107
語文別:中文
論文頁數:35
中文關鍵詞:波動率風險溢酬期貨報酬率預測
外文關鍵詞:Volatility Risk PremiumFutures return rate forecast
相關次數:
  • 被引用被引用:0
  • 點閱點閱:117
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本論文主要目的在於研究波動率風險溢酬(Volitility Risk Premium;VRP)的資訊內涵。商品價格波動性的風險在商品市場內的避險交易中扮演相當重要的角色,該風險無法透過一般的交換契約或是期貨契約來有效規避,必須透過波動率交換期約或是選擇權才有辦法進行風險移轉,達到避險目的。因此,商品現貨市場價格、金融市場期貨價格與選擇權市場選擇權價格三者的隱含資訊,能夠反映實體經濟的相關資訊,因此應是相當重要的研究。由於波動率風險溢酬的影響,生產者(買方避險者)會願意支付額外溢酬來買入選擇權以支付避險成本,因此造成選擇權隱含波動率(風險中立)波動率會大於實際的波動率,而波動率風險溢酬可以以實際波動率與隱含波動率之差來衡量。本研究進而對波動率風險溢酬與原油市場因子與總體經濟影響因子的關係進行近一步分析其資訊內涵,而波動率風險溢酬對期貨價格報酬的預測亦是本研究的重點。本研究選定原油市場期原因為原油市場與產業、經濟、與金融市場關係愈趨重要,因此本研究以原油市場作為實證研究的對象。
The main purpose of this paper is to study the information content of Volitility Risk Premium (VRP). The risk of commodity price volatility plays a very important role in hedging transactions in the commodity market. This risk cannot be effectively avoided through the general exchange contract or futures contract. It must be exchanged through the swap or the option to carry out risk transfer to achieve the purpose of hedging. Therefore, the implied information of the commodity spot market price, the financial market futures price and the option market option price can reflect the relevant information of the real economy, so it should be a very important research. Due to the impact of volatility risk premiums, producers (buyer hedgers) will be willing to pay extra premiums to buy options to cover the cost of hedging, thus causing the option volatility (risk neutrality) volatility to be greater than Actual volatility, while volatility risk premium can be measured as the difference between the actual volatility and the implied volatility. This study further analyzes the relationship between volatility risk premium and crude oil market factor and overall economic impact factor, and the volatility risk premium forecast for rate of return of futures is also the focus of this study. The reason for selecting crude oil market in this study is that the relationship between crude oil market and industry, economy and financial market is becoming more and more important. Therefore, this study takes crude oil market as the object of empirical research.
摘要 i
Abstract ii
目次 iii
表目次 v
圖目次 vi
第壹章 研究背景與動機 1
第貳章 文獻回顧 3
第一節 期貨避險 3
第二節 波動率風險 3
第三節 波動率風險溢酬 4
第四節 擴充的平均數-變異數模型 4
第五節 風險中立變異數 9
第六節 實現波動率 9
第參章 研究方法 10
第一節 資料來源 10
第二節 VRP與期貨報酬率計算 10
一、期貨報酬率 10
二、隱含波動度 10
三、實現波動度 11
四、波動率風險溢酬(VRP) 11
第三節 VRP與期貨預期報酬預測 12
一、VRP模型 12
二、期貨預期報酬預測 12
三、變數說明 13
(四) 實驗研究變數 15
第肆章 實證結果 21
第一節 敘述統計量與相關係數 21
第二節 VRP資訊內涵 23
一、VRP資訊內涵-單迴歸模式 23
二、VRP資訊內涵-多元迴歸模式 25
第三節 期貨價格預測 26
一、報酬率預測-單回歸模式 26
二、報酬率預測-多元回歸模式 28
三、建構投資策略 29
第伍章 結論與建議 31
第一節 研究結論 31
第二節 研究建議 32
參考文獻 33
中文文獻 33
英文文獻 33
中文文獻:
林丙輝、張森林、葉仕國 (2016),「台灣衍生性金融商品定價、避險與套利文獻
回顧與展望」,台大管理論叢,Vol. 27,No. 1,pp. 255-304。
林丙輝、張森林、葉仕國 (2017),「台灣衍生性金融商品市場實證與運用研究文
獻回顧與展望」,台大管理論叢,Vol. 27,No. 2,pp. 211-258。
林岳賢(2004),「波動率風險溢酬之實證研究-以美國FTSE為例」,國立台灣科技大學碩士論文。

英文文獻:
Acharya, V., L. Lochstoer, and T. Ramadorai (2013), "Limits to arbitrage and hedging:
Evidence from commodity markets." Journal of Financial Economics, 109, 441-465.
Adam, T. (2009), "Capital expenditures, financial constraints, and the use of options."
Journal of Financial Economics, 92, 238-251.
Anderson, R. and J. P. Danthine (1980), "Hedging and joint production: Theory and
illustrations." Journal of Finance, 35, 487.501.
Anderson, R. and J. P. Danthine (1981), "Cross hedging." Journal of Political Economy,
89, 1182-1196.
Bakshi, G. and N. Kapadia (2003), “Delta-Hedged Gains and the Negative Market
Volatility Risk Premium.” Review of Financial Studies, 16, pp. 527-566.
Bakshi, G., N. Kapadia, and D. Madan (2003), "Stock return characteristics, skew laws,
and the differential pricing of individual equity options." Review of Financial Studies,
16, 101-143.
Barone-Adesi, G. and R. Whaley (1987), "Efficient analytic approximation of
American option values." Journal of Finance, 42, 301.320.
Bessembinder, H. (1992), "Systematic risk, hedging pressure, and risk premia in futures
markets." Review of Financial Studies, 5, 637-667.
Bollerslev, T., Tauchen, G., Zhou, H. (2009), “Expected stock returns and variance risk
premia.” Review of Financial Studies 22, 4463-4492.
Brown, C. A. and D. M. Robinson (2002), “Skewness and Kurtosis Implied by Option
Prices: A Correction.” Journal of Financial Research 25, pp. 279-282.
Brown, G., and K. Toft (2002), "How firms should hedge." Review of Financial Studies,
15, 1283-1324.
Carr, P. and Wu, L. (2009), “Variance risk premiums.” Review of Financial Studies 22,
1311-1341.
Chevallier, Julien and Benoit Sevi (2013), “A fear index to predict oil futures returns.”
Working Paper, Universite Paris 8, LED.
Christoffersen, P. and X. Pan (2014), "Oil volatility risk and expected stock returns."
Working Paper, University of Toronto.
Corrado, C. J. and T. Su (1996), “Skewness and Kurtosis in S&P 500 Index Returns
Implied by Option Prices.” Journal of Financial Research 19, pp. 175-192.
Datta, Deepa Dhume, Juan M. Londono, and Landon J. Ross, (2014), “Generating
Options-Implied Probability Densities to Understand Oil Market Events.” International
Finance Discussion Papers, Board of Governors of the Federal Reserve System.
Doran, J.S., Ronn, E.I. (2008), “Computing the market price of volatility risk in the
energy commodity markets.” Journal of Banking and Finance 32, 2541-2552.
Ellwanger, Reinhard (2014), “Driven by Fear? The Tail Risk Premium in the Crude Oil
Futures Market”, Working Paper, 2014.
Gao, Lin (2017), “Commodity Option Implied Volatilities and the Expected Futures
Returns.” Working Paper, 2014. Luxembourg School of Finance, University of
Luxembourg.
Hong, H. and M. Yogo (2012), "What does futures market interest tell us about the
macro economy and asset prices?" Journal of Financial Economics, 105, 473-490.
Jiang, G.J., Tian, Y.S. (2005), “The model-free implied volatility and its information
content.” Review of Financial Studies 18, 1305-1342.
Kang, Sang Baum, and Xuhui Pan (2015), “Commodity Variance Risk Premia and
Expected Futures Returns: Evidence from the Crude Oil”, Working Paper.
Lin, Bing-Huei and Yin-Jung Chen (2009), “Negative Market Volatility Risk Premium:
Evidence from the LIFFE Equity Index Options”, Asian-Pacific Journal of Financial
Studies, Vol. 38, No. 5, pp. 773-800.
MacKay, P. and S. Moeller (2007), "The value of corporate risk management." Journal
of Finance, 62, 1379-1419.
Roon, F., T. Nijman, and C. Veld (2000), "Hedging pressure effects in futures markets."
Journal of Finance, 55, 1437-1456.
Tang, K. and W. Xiong (2012), "Index investment and the financialization of
commodities." Financial Analysts Journal, 68, 54-74.
Trolle, A. and E. Schwartz (2009), "Unspanned stochastic volatility and the pricing of
commodity derivatives." Review of Financial Studies, 22, 4423-4461.
Trolle, A., Schwartz, E.S. (2010), “Variance Risk Premia in Energy Commodities.”
Journal of Derivatives 18, 1-18.
Wang, T., J. Wu, and J. Yang (2008), "Realized volatility and correlation in energy
futures markets." Journal of Futures Markets, 28, 993.1011.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top