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研究生:王韻茹
研究生(外文):Yun-ru Wang
論文名稱:臺指選擇權隱含波動率變動因素之探討
指導教授:莊益源莊益源引用關係
指導教授(外文):I-yuan Chuang
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
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:2007
畢業學年度:95
語文別:中文
論文頁數:68
中文關鍵詞:時間變異風險溢酬理論隱含波動率負向及不對稱關係淨買壓受限制的利潤極大化行為槓桿理論
外文關鍵詞:The Leverage Effect TheoryNet Buying PressureConstrained Profit-maximization BehaviorInverse and Asymmetric RelationImplied VolatilityThe Time-varying Risk Premium Theory
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Black-Scholes模型為評價選擇權價值的標竿模型,然而Black-Scholes的固定波動率假設卻遭到質疑,眾多實證研究都證實了波動性微笑與波動率期限結構的存在,波動率的估計成為評價模型正確與否的關鍵影響因素。隱含波動率(Implied Volatility)可視為投資人對於未來波動率之預期值,擁有較豐富的資訊內涵,本篇探索臺指選擇權隱含波動率的影響因素,包括波動率與現貨價格之間的負向與不對稱關係、市場交易行為如機構投資人避險之淨買壓與投資者受限制利潤極大化行為對隱含波動率型態的影響。實證結果發現隱含波動率與現貨價格呈現負向關係;越劇烈的價格變動會引起越強烈的波動率改變;波動率對於負向衝擊的反應大於正向衝擊;淨買壓抑制價外賣權與低執行價格契約之波動率反應程度;投資者受限制利潤極大化行為會影響波動率型態。關於選擇權市場與股票市場的資訊傳遞效果,本篇印證時間變異風險溢酬理論較能解釋台灣選擇權之現象,資訊流是從選擇權市場傳遞到股票市場。
目錄
第壹章、緒論 …………………………………………………………………… 1
第貳章、 理論背景與文獻回顧 ……………………………………………… 6
第一節、理論背景 …………………………………………………………… 6
第二節、選擇權市場交易活動對不對稱關係之影響 ……………………… 10
一、關於淨買壓的相關文獻 …………………………………………… 10
二、關於成交量的相關文獻 ……………………………………………12
三、關於未平倉量的相關文獻 …………………………………………15
四、關於投資人利潤極大化行為的相關獻 ……………………………16
第三節、資訊傳遞方向 ………………………………………………………17
第四節、隱含波動率的估計與價性的分類 …………………………………18
一、隱含波動率的估計 …………………………………………………18
二、價性的分類 …………………………………………………………19
第參章、 研究方法………………………………………………………………21
第一節、恆定性檢定 …………………………………………………………21
第二節、隱含波動率估計模型 ………………………………………………22
第三節、標的資產價格與隱含波動率之同期變動關係 ……………………25
一、同期變動關係…………………………………………………………25
二、負向及不對稱反應之測試模型 ……………………………………26
(一)、區分價性之方式……………………………………………27
(二)、投資人利潤極大化行為是否影響負向與不對稱關係……28
(三)、其他變數:大盤成交量、選擇權交易量、未平倉量、落後期之隱含波動率變化………………………………………29
(四)、測試模型 ……………………………………………………30
第四節、研究流程………………………………………………………………32
第肆章、資料來源與分析………………………………………………………34
第一節、資料來源 …………………………………………………………… 34
一、 臺指選擇權 …………………………………………………………34
二、 臺指期貨 ……………………………………………………………35
三、 大盤指數、大盤成交量 ……………………………………………35
四、無風險利率 …………………………………………………………35
第二節、資料篩選標準 ………………………………………………………36
一、 刪除契約存續期間少於5天之樣本 ………………………………36
二、 選擇權交易量太少 …………………………………………………37
三、 違反無風險套利之邊界條件 ………………………………………37
四、 深度價內與深度價外之契約 ………………………………………37
五、 刪除樣本中隱含波動率小於1%及大於 90%之觀測值 …………38
第三節、資料分析………………………………………………………………38
一、 隱含波動率(ISD)與隱含波動率變動值(△ISD)之敘述統計量……38
二、 隱含波動率變動值(△ISD)之恆定性檢定………………………… 41
第伍章、實證結果 ………………………………………………………………42
第一節、負向及不對稱關係之實證結果—測試方程式一 …………………42
第二節、負向及不對稱關係之實證結果—測試方程式二 …………………46
第三節、投資人利潤極大化行為對實證結果之影響 ………………………50
第陸章、結論 ……………………………………………………………………54
參考文獻 …………………………………………………………………………56


圖目錄
圖1-1: 91年~95年臺指選擇權年成交量………………………………………… 2
圖2-1:槓桿理論與時間變異風險溢酬理論之關係……………………………… 8
圖4-1:隱含波動率之時間序列圖………………………………………………… 40

















表目錄
表4-1:隱含波動率(ISD)之敘述統計………………………………………………39
表4-2:隱含波動率變動值(△ISD)之敘述統計量…………………………………40
表4-3:隱含波動率變動值(△ISD)之恆定性檢定…………………………………41
表5-1:買權資料之負向與不對稱關係檢驗結果—測試方程式一………………44
表5-2:賣權資料之負向與不對稱關係檢驗結果—測試方程式一………………45
表5-3:同時使用買賣權資料之負向與不對稱關係檢驗結果—測試方程式一…46
表5-4:買權資料之負向與不對稱關係檢驗結果—測試方程式二………………47
表5-5:賣權資料之負向與不對稱關係檢驗結果—測試方程式二………………48
表5-6:同時使用買賣權資料之負向與不對稱關係檢驗結果—測試方程式二…49
表5-7:同時使用買賣權資料並區分high DOPR與low DOPR資料群之負向與不對稱關係檢驗結果—測試方程式一………………………………………52
表5-8:同時使用買賣權資料並區分high DOPR與low DOPR資料群之負向與不對稱關係檢驗結果—測試方程式二………………………………………53
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