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    題名: 指數選擇權隱含波動度技術指標資訊效果之實證研究-以S&P 500為例
    其他題名: The information effectiveness from implied volatility technology analysis in s&p 500
    作者: 吳淑華;Wu, Shu-hua
    貢獻者: 淡江大學財務金融學系碩士在職專班
    邱忠榮;Chiou, Jong-rong
    關鍵詞: 隱含波動率;技術指標;波動率指數;KD;RSI;MACD;Momentum;Bollinger Band;W%R;Implied volatility;stock technical analysis;VIX;KD;RSI;MACD;Momentum;Bollinger Band;W%R
    日期: 2009
    上傳時間: 2010-01-11 01:03:12 (UTC+8)
    摘要: 2008年世界金融海嘯引起全球性金融崩盤,市場專家對於金融商品的本質及其預警效果提出許多不同看法。對於這樣震撼全球的異常事件,預警能力以及領先指標的研究就成為市場關注的焦點。
    國內外研究文獻均證實VIX指數(恐慌性指數)與現貨呈現顯著的負向關係,波動率指數有其隱含的資訊效果。市場上也開始運用VIX指數作為交易參考,近期國內有研究運用VIX及VXO之波動性交易策略進行交易模擬,比較兩種波動率的資訊效果差異。但尚無對於波動率指數其內涵的資訊是否較價格資訊來得豐富進行差異的比較。因此本研究將利用VXO指數的主要的資訊「隱含波動率」及現貨市場價格指數透過交易市場中技術指標分析模型運算,產生買、賣訊號的交易策略進行期貨交易模擬,並以獲利績效及勝率來進行比較,研究其隱含波動率的資訊效果是否有較價格資訊效果顯著。
    實證結果顯示運用RSI、W%R、KD及Bollinger Band 四種技術指標的隱含波動率交易策略績效優於價格指數,其中更以 Bollinger Band 的績效差異最大,顯示 Bollinger Band 技術指標觀測訊號的特性特別適用於隱含波動率的波動特質。
    針對近期發生的金融市場特殊事件[金融海嘯]期間交易績效進行分析,實證發現運用隱含波動率資料為基礎的MACD、KD、RSI 三種技術指標於金融海嘯期間對照組報酬績效優於平均期的報酬績效。
    When the 2008 Financial Crisis collapsed the global financial system, global financial regulators and participants turn their attention to the research of early warning system and preventive measurements of financial catastrophe.
    Researches show strong negative correlation between VIX index and the spot market index. The relation implies the potential value of volatility index in trading application. VIX index is now commonly used as trading reference indicator in financial market.
    There are some lately studies focusing on the difference between VIX and VXO volatility trading strategy applications. However, no comparison has been made regarding the effectiveness between volatility indexes and price data. Therefore, the research will apply implied volatility and spot market index to the technical analysis models to generate buying or selling signs, which can be applied to the formulation of future market trading strategies. The outcome will be assessed by the profit of trading. The result will provide evidences to compare the effectiveness between implied volatility and price data.
    An empirical study pointed out that implied volatility will be a better index than price data in trading strategies formulated by RSI、W%R、KD and Bollinger Band indexes. The effectiveness of implied volatility is noticeable especially in the Bollinger Band case.
    The research also indicates the effectiveness of applying implied volatility to formulate MACD、KD、RSI indexes will generate better profitability during 2008 Financial Crisis than the average period of the previous 39 months.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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