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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73976

    Title: 誰導致臺指選擇權隱含波動率偏斜
    Other Titles: Study on the cause of the skew on implied volatility of TXO?
    Authors: 黃曉雲;Huang, Hsiao-Yun
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: 台指選擇權;隱含波動率;淨買壓;波動率微笑;TAIFEX option;Implied volatility;net buying pressure;Volatility Smile
    Date: 2011
    Issue Date: 2011-12-28 17:42:51 (UTC+8)
    Abstract: 本文利用2008年1月1日至2008年12月31日之台指選擇權的委託簿資料來探討交易人的淨買壓是否會影響台指選擇權波動率微笑或偏斜現象,我們的資料來源分別來自於期交所與台灣經濟新報資料庫。
    We apply order book data of TAIFEX options (TXO) during periods from Jan-1, 2008 to Dec-31, 2008, and then to explore whether net buying pressure of traders will affect the implied volatility smile or skewness of TXO. Our data source comes from Taiwan Future Exchange and TEJ database.
    The empirical results find that specific option series only exhibit volatility skewness in TAIFEX options market. By observed correlation coefficient tests for between net buying pressure and implied volatility, the skewness of three weeks on deep in-the-money calls are caused by foreign investors, and one month on deep in-the-money puts caused by market makers.
    We compare the gap between TXO’s and S&P500’s option markets on qualifications for market maker of option markets. One of the differences is that TXO’s market makers also as dealers. When market makers have high hedge demands, it would lead TXO to have net buying pressure and then it would happen the phenomenon of the implied volatility skewness in the specific option series. Therefore, we infer that market makers in TAIFEX options market do not only play the role of liquidity provider.
    In addition, the literatures pointed out that the index option had the phenomenon of the volatility skewness because institutional investors would prefer to buy deep out-of-money options for hedge. On the contrary, our empirical results disclose that traders who effect the volatility skewness of TXO would prefer to buy deep in-the-money options. The reason might be that the period of our study took place the financial crisis. When the market might be expected to fall in the future, the foreign investors prefer to buy deep in-the-money calls for hedge. Otherwise, the market makers with the qualification of the future dealer would prefer to buy deep in-the-money puts for making higher profits.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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