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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31615

    Title: 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
    Other Titles: The information effectiveness from implied volatility technology analysis in s&p 500
    Authors: 吳淑華;Wu, Shu-hua
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱忠榮;Chiou, Jong-rong
    Keywords: 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
    Date: 2009
    Issue Date: 2010-01-11 01:03:12 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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