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    Title: Net Buying Pressure, Volatility Smirk and Abnormal Return of TXO
    Other Titles: 台指選擇權之淨買壓、波動偏斜與異常報酬
    Authors: Duan, Chang-Wen
    Contributors: 淡江大學財務金融學系
    Keywords: 學習假說;套利限制假說;造市者;負偏斜;淨買壓;Learning hypothesis;Limits of arbitrage hypothesis;Market maker;Negative skewness;Net buying pressure
    Date: 2013-04-01
    Issue Date: 2015-01-25 09:57:31 (UTC+8)
    Publisher: 新竹市:中華民國企業管理學會
    Abstract: 本文驗證台指選擇權隱含波動率的淨買壓假說,我們發現研究期間之台指選擇權隱含波動率呈現負偏斜,而此負偏斜導因於淨買壓,且相依於選擇權契約的存續期間。在控制台灣市場存在訊息流動效果與槓桿效果下,實證證明淨買壓歸因於台灣選擇權市場存在有套利限制。雖然新興市場機構投資者交易不活絡,然而實證結果與美國、香港是一致的支持淨買壓假說,主要原因在於台灣期貨交易所對造市者的資格限制與市場可進行避險交易之選擇權商品種類多樣化,導致新興市場交易選擇權的廣義機構投資者是較多的。
    This paper examines the implied volatility of TAIEX options (TXO) with the net buying
    pressure hypothesis. We find that the implied volatility of TXO exhibits negative skewness, which is
    caused by the net buying pressure and is dependent on the time-to-maturity of the options contract.
    After controlling the information flow and leverage effect, our empirical results show that net buying
    pressure is attributed to limits to arbitrage in the Taiwan options market. Institutional investors may
    not t rade act ively i n a n e merging market. But th e r esults o f o ur e mpirical s tudy o f TAIFEX a lso
    support the net buying pressure hypothesis, consistent with the findings in the U.S. and Hong Kong
    markets. This is mainly because TAIFEX’s market maker qualification requirements a nd t he
    availability o f a v ariety o f options pr oducts on t he market that al lows market makers to en gage in hedge trading have led more generally defined institutional investors to trade options.
    Relation: 管理與系統=Journal of Management & Systems 20(2),頁321-353
    DOI: 10.3390/toxins7010097
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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