臺灣博碩士論文加值系統

過去文獻已發現許多選擇權隱含波動率 衡量 變數，可有效預測標的股票未來之報酬。 因這些波動率衡量變數可能包含不同的訊息內涵，本論文透過三種不同方式整合隱含波動率變數成指標，發現以週為單位的簡單計分方式 所形成之交易策略最能顯著提升股票之投資報酬率。

Previous literature has found that some option implied volatility measures have significant predictive power for future stock returns. Since these implied volatility measures may contain different information content, we use three different methods to integrate volatility measures into index. We find that our simple combined strategy using weekly volatility measures performs best and it can significantly enhance profitability.

摘要 i
ABSTRACT ii
誌謝 iii
CONTENTS iv
LIST OF TABLES vi
1. INTRODUCTION 1
2. DATA AND METHODOLOGY 2
2.1. DATA 2
2.2. OPTION-IMPLIED VOLATILITY MEASURES 3
2.3 DESCRIPTIVE STATISTICS 6
2.4 METHODOLOGY 9
3. EMPIRICAL RESULTS 9
3.1 LONG-SHORT PORTFOLIO TRADING STRATEGY 10
3.2 PRINCIPAL COMPONENT STRATEGY 13
3.3 SIMPLE COMBINED STRATEGY 15
3.4 Z-SCORE COMBINED STRATEGY 22
4. ROBUSTNESS ANALYSIS 25
4.1 DECILE LONG-SHORT PORTFOLIO TRADING STRATEGY 25
4.2 DECILE PRINCIPAL COMPONENT STRATEGY 27
4.3 DECILE Z-SCORE COMBINED STRATEGY 28
4.4 PRINCIPAL COMPONENT STRATEGIES UNDER VARIOUS MARKET CONDITIONS 32
4.5 SIMPLE COMBINED STRATEGIES UNDER VARIOUS MARKET CONDITIONS 33
4.6 Z-SCORE COMBINED STRATEGIES UNDER VARIOUS MARKET CONDITIONS 33
5. CONCLUSION 36
6. APPENDIX 37
6.1 FAMA-MACBETH REGRESSION 37
REFERENCE 39

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