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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105097

    Title: 選擇權資訊加總對期貨市場波動率預測能力之影響
    Other Titles: The impact of options aggregating for predicting volatility in futures market
    Authors: 張碩航;Chang, Shou-Hang
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 資訊內涵;資訊加總;選擇權交易量;information content;aggregating information;options trading volume
    Date: 2015
    Issue Date: 2016-01-22 14:47:39 (UTC+8)
    Abstract: 過去的研究如Chang et al., (2010)曾指出,選擇權的交易量隱含了標的資產的未來波動資訊,本文因而沿用其研究架構,使用台指選擇權之加權波動淨需求,進而觀察各類投資人是否擁有對台指期貨未來實質波動率的資訊。投資人則分為散戶、外資及本土法人三大類,並針對不同的時間區間(5秒、10秒、30秒、60秒、120秒)來進行分析。此外我們使用Holowczak et al., (2014)所提出的方法,使用特定的資訊加權方式,並根據選擇權合約內容將選擇權合約資訊進行加總,並與未加入資訊權重的預測能力進行比較,探討此加總方式是否可以增強對期貨波動率的預測能力。
    The main theory of this paper is according to Chang et al., (2010), we adapt the Vega-weighted net demand for volatility of TXO to observe whether investors have information about future realized volatility of TX. Investors are separated into three categories: individual investors, foreign institutional investors and domestic institutional investors, and we set up different time interval (5 second, 10 second, 30 second, 60 second, 120 second). Then we followed the approach of Holowczak et al., (2014), and used a specific method of weighting to aggregate the information of options contract, and we researched whether this method of aggregation is better than original method.
    Our empirical results indicated that after adding the informative weight into the options contract, the predictive ability of volatility of individual investors and foreign institutional investors would be significantly enhanced, but the predictive ability of domestic institutional investors would be decreased. We confirm that investors who have information about volatility then whose predictive ability would be significantly enhanced when adding informative weight.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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