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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31674


    Title: 淨買壓解釋隱含波動率微笑現象
    Other Titles: Net buying pressure explains implied volatility smile effect
    Authors: 姜書甄;Chiang, Shu-chen
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Date: 2005
    Issue Date: 2010-01-11 01:07:15 (UTC+8)
    Abstract: 本文以台指選擇權進行實證分析,探討之議題與結論分為以下三部份:
    首先,在檢測隱含波動率水準與淨買壓方面,觀察發現買權隱含波動率偏斜為正斜率且買權淨買壓程度隨履約價格增加而增加,而賣權隱含波動率偏斜為負斜率且賣權淨買壓程度隨履約價格增加而減少,而所有選擇權之隱含波動率與淨買壓程度皆由次低履約價格遞減至高履約價格,上述隱含波動率水準與淨買壓程度之走勢一致,顯示出台指選擇權微笑現象可由淨買壓來解釋。
    其次,檢測同時期隱含波動率變化與淨買壓之關係方面,實證顯示同時期隱含波動率變化與淨買壓呈正向關係,當投資人買入需求愈大,隱含波動率上漲幅度愈大;而同時期隱含波動率變化與現貨報酬率呈反向關係,顯示現貨市場與選擇權市場間存在槓桿效果;而同時期隱含波動率變化與現貨交易量呈正向關係,當愈多的新資訊湧入市場,現貨交易量增加,隱含波動率隨之增加,顯示現貨與選擇權間存在資訊流動效果;而同時期隱含波動率變化與前一期隱含波動率變化呈反向關係,表示隱含波動率於次一個交易日有可能發生回漲或回跌的現象。
    最後,利用賣出選擇權之交易模擬結果,檢測淨買壓與異常報酬間關係,實證顯示賣出淨買壓愈大的選擇權獲利愈大,當中又以存續期間為一個月價外賣權之淨買壓最大且獲利最大,可能原因為一般投資人或機構法人買入價外賣權作為投資組合保險之避險需求大,由於造市者無法撮合全部部位則會造成價外賣權存貨的累積,造市者要求之波動率風險補償造成價外賣權價格偏高,所以執行賣出價外賣權之獲利最佳。
    This study takes the Taiwan Index Option (TXO) to an empirical analysis. The topics we explore and their conclusions can be devided into the following three parts.
    First, we discuss the relationship between the implied volatility level and net buying pressure. For the call options, implied volatilities and net buying pressure are positively related to exercise prices. For the put options, implied volatilities and net buying pressure are negative related to exercise prices. This result support that net buying pressure can explain TXO implied volatility smile effect.
    Second, we discuss the contemporary relation of implied volatility changes and net buying pressure. The empirical indicates that contemporary implied volatility changes are positive relatived to net buying pressure, and contemporary implied volatility changes are negative relatived to spot index pricse return, and contemporary implied volatility changes are positive relatived to spot index trading volume, and contemporary implied volatility changes are negative relatived to prior implied volatility changes.
    At last, simulated option writing trading strategies find that writing net buying pressure options can generate positive abnormal returns.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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