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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87194

    Title: 選擇權交易對波動度之預測性
    Other Titles: The predictibility of options trading on volatility
    Authors: 張婕妤;Chang, Chieh-Yu
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 新興市場;資訊內涵;資訊交易者;選擇權交易量;組合交易;Emerging markets;information content;informed traders;Option volume
    Date: 2012
    Issue Date: 2013-04-13 10:50:28 (UTC+8)
    Abstract: 本文將分成兩部份,第一部分我們探討開平倉及是否隱含不同的資訊內涵及探討選擇權交易策略是否對隱含對現貨波動度的資訊,第二部分則討論金融海嘯前後各類投資人之資訊內涵是否有所差異。
    接下來,我們使用Ni, Pan and Poteshman (2008)之探討選擇權交易是否隱含現貨波動率資訊的研究方法,採用其加權波動淨需求指標(vega-weighted net demand for volatility)討論台灣指數選擇權交易是否隱含現貨波動率之資訊。
    This essay contains two parts. In the first party of this essay we set out to investigate the information content of options trading to examine the predictive power of the put and call positions and the predictive power of trade strategy of different types of traders 。In the second part of this study whether volatility information exists difference after financial crisis in 2008.
    At first, we set out to investigate the information content of options trading to examine the predictive power of the put and call positions of different types of traders in the TAIEX option market. If we divided invests into twelve types, although foreign institutional investors do not engage in much trading, there is strong evidence to show that the trading in which they do engage has significant predictive power on the underlying asset returns.
    we follows the approach of Ni, Pan and Poteshman(2008) – based upon the vega-weighted net demand for volatility – to determine whether volatility information exists within the Taiwan options market.
    Our study sheds some light on the foreign capital flows in the Taiwan option market which
    may have predictive power with regard to the underlying asset. Our investigation may provoke further study of the information content of index option markets, which are generally viewed as being less informative than individual stock markets.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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