English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 62637/95499 (66%)
造訪人次 : 3026136      線上人數 : 414
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/75039

    題名: The Shape of Option Implied Volatility: a Study Based on Market Net Demand Pressure
    作者: Mo, Tianyu;Zheng, Zhenlong;Lin, William T.
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Option;Implied volatility;Market maker;Net demand pressure;Options markets;Supply and demand
    日期: 2012-01-01
    上傳時間: 2012-03-06 20:29:54 (UTC+8)
    出版者: Shanghai Jiao Tong University; Emerald Group Publishing
    摘要: Purpose – Owing to the importance of the efficiency of commercial banks, the aim of this paper is to find the relationship between capital regulation, monetary policy and the asymmetric effects of the commercial banks' efficiency.

    Design/methodology/approach – First, the paper makes a static profit model of commercial banks with double constraints and then makes a proposition with numeric simulation.

    Findings – In this paper, the author finds it unreasonable to calculate the commercial banks' cost and profit efficiency by SFA (DEA) directly, as there is no evidence that indicates the linearity relationship among them. Hence, more complicated solutions should be introduced.

    Research limitations/implications – The rate of non-performing loans (NPL) is inversely proportional to the commercial banks' cost and profit efficiency and capital adequacy ratio (CAR) and statutory reserve ratio (SRR) show a nonlinear relationship between commercial banks' cost and profit efficiency. Hence, the paper defines the different influences of commercial banks' efficiency imposed by CAR and SRR as the asymmetric effects of commercial banks' efficiency.

    Practical implications – The nonlinear relationship is found based on improved Kopecky and VanHoose, so excessive regulation has harmful effects on the commercial banks. The reasonable capital regulation and other prudential supervision measures should be emphasized.

    Originality/value – First, the paper gets its proposition through the improved KV model, which displays a new perception on analyzing this problem. Second, the nonlinear relationship is discovered by this new model and the empirical results show the nonlinear relationship further.
    關聯: China Finance Review International 2(1), pp.27-52
    DOI: 10.1108/20441391211197447
    顯示於類別:[財務金融學系暨研究所] 期刊論文


    檔案 描述 大小格式瀏覽次數
    The Shape of Option Implied Volatility: a Study Based on Market Net Demand Pressure.pdf429KbAdobe PDF1檢視/開啟



    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋