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    Title: 隱含波動度技術指標資訊效果之實證研究(臺灣為例)
    Other Titles: The information effect from implied volatility technology anlysis in Taiwan
    Authors: 梁嘉豪;Liang, Chia-hao
    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;Implied volatility;VIX;technology anlysis
    Date: 2009
    Issue Date: 2010-01-11 01:10:23 (UTC+8)
    Abstract: 在金融海嘯發生的同時,大家對金融商品及其預警效果提出許多不同專家看法,甚至跌破不少專家眼鏡,就連美國央行都無法褐止的全球金融震盪,於是在當時恐慌的投資市場上,象徵信心的VIX指數被廣為市場探討,其更做是衡量市場氣氛的重要指標。而本研究更是將VIX(恐慌性指數)加以探討,畢竟VIX(恐慌性指數)有其隱含的資訊效果,並也在不少的研究中得知,其內涵的資訊較價格資訊來的豐富。因此將其最重要的因素「隱含波動率」應用於股市中的多樣技術性分析,為一符合直覺的想法,而一般的股市技術分析中是以「價格技術分析」為主,而當隱含波動率其資訊效果要比原來價格資訊效果來的佳的話,其利用「隱含波動率」當成另一個「價格」,並採用其他原始的「價格技術分析模型」來比較、測試。此研究就是分成比較組與對照組,透過技術分析模型產生的買、賣訊號來買進、賣出期貨口數,並以獲利績效來進行比較,研究其隱含波動率的資訊效果是否有較價格資訊效果來的充份,並當成一種「趨勢指標」,以提供未來在類似「金融海嘯」、「東南亞金融風暴」…等金融重大事件中,提供預警的效果。可期待運用於市場中,讓更多的投資者可以參考、運用。
    本文造取六個技術指標以「隱含波動度」替代「價格」實證上我們以台指為例,得到以下結論:
    1. 以績效中清楚可判斷出六樣本的隱含波動率的技術分析獲利表現皆明顯優
    於原始股價的技術分析,證明了「隱含波動率技術指標」的資訊效果是有比「原始價格技術指標」佳。
    2. 而在報酬率平均數、標準差中也可以判斷出在六樣本中的獲利平均數皆為「隱含波動率的技術分析」明顯優於「原始股價的技術分析」,但在所選取的六個樣本中,唯獨RSI技術指標其獲利平均數增加而其對應的標準差風險值也增加,其餘五個樣本MACD、MTM、威廉、KD、布林通道中,隱含波動率技術分析中的獲利平均數與傳統股價技術分析比較下有明顯提升,並皆有效的降低變異數的風險值。
    3. 在「特殊期間」如2008年九月發生的「金融風暴」,將其與發生「金融風暴」前的「一般期間」對照比較中得知,「隱含波動度技術指標」操作績效並未一致且明顯優於「傳統技術指標」操作績效,MACD、MTM、KD在「一般期間」的「隱含波動度技術指標」優於「傳統技術指標」,但在「特殊期間」卻皆未優於「傳統技術指標」。
    4. 在「特殊期間」對照組下得知,發生重大事件時,RSI、威廉、布林通道的「隱含波動度技術指標」較俱參考性,相對的,較不建議使用MACD、MTM、KD「隱含波動度技術指標」。
    Many experts have different opinions including warnings to financial products when the world is in this economic tough time. This recession is so terrible that it cannot be explained or stopped by the central bank. Some economists want to see whether the LV is an index than can at first reflect the economy. The purpose of this research is to find more about VIX.
    VIX, studied by many reports,has more implied information than price information Therefore, the most important factor is the implied fluctuating rate from pricing model created by Black & Scholes. The Implied Volatility is applied in many analyses of stock market. The typical analysis for the stock market is the pricing technology analysis. When the information effect from Implied Volatility analysis is more important and better than the pricing information effect, the Implied Volatility rate should become another “pricing.” This new pricing is then tested and compared with the original pricing technology analysis model.
    There are experimental and contrast groups in this research. This research, through signals from trading derived from the technology analysis model to trade futures, has comparisons of the ability to gain profits.
    Also, this research finds out whether the effect of information from Implied Volatility rate is more complete than the effect of pricing information.

    This research is considered an index that provides warnings or information for such significant economic events as the recent recession and economic downturns that happened in Southeast Asia before.
    This research is expected to be applied in markets and can be a reference for many investors as a contribution.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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