投資環境對淨買壓假說影響之探討

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姓名

湯毅鋒(Ngai-Fung Tong) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

投資環境對淨買壓假說影響之探討
(The Influence of Investment Environment on Net Buying Pressure Hypothesis)

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摘要(中)

本研究透過檢視台指選擇權市場中供給及需求不平衡的狀況，來探討投資者行為對選擇權隱含波動率的影響，並研究投資者的投資行為到底是會被套利限制所影響，還是被市場預期所主導。以及探討投資者在面對不同的投資環境時，選擇權的淨買壓對隱含波動率的影響是否相同。
本研究中發現，台指選擇權市場在整個研究期間較符合套利限制假說，前一期隱含波動率的變化對當期的隱含波動率變化呈負相關，以及價外選擇權的淨買壓比價平選擇權的淨買壓更能影響隱含波動率的變化。本研究再將樣本資料區分為景氣循環及市場波動兩個層面，個別探討選擇權的淨買壓是否對隱含波動率變化仍然具有影響力，發現在景氣前景較差及多頭市場的投資環境中，選擇權市場仍普遍支持套利限制假說，但在景氣前景較好及空頭市場的投資環境中卻出現不一致的分析結果。本研究推論在市場短期變動較大的投資環境中，投資者對新訊息較為敏感，並以操作價平選擇權的買賣來避免新訊息所帶來的風險，而使學習假說代替套利限制假說來決定隱含波動度。

摘要(英)

In this study, we investigate how the investment behavior influences option implied volatility by inspecting the supply and demand imbalance of the option market in Taiwan. Moreover, we wonder whether the investment behavior is affected by the arbitrage limitations or the anticipation of the market. Finally, we discuss the influence of the investor’s net buying pressure on the implied volatility under different investment environments.
The results of empirical test find that the option market in the entire research period conforms to the limits to arbitrate hypothesis. This research also discusses the net buying pressure whether still to have the influence to the implied volatility change, when the sample discrimination for the business cycle and the market fluctuation. We find that in the recession or bull market investment environment, the option market still generally supported the limits to arbitrate hypothesis, but in the booming or bear market investment environment actually presents the inconsistent analysis result. The learning hypothesis will replace the limits to arbitrate hypothesis to decide the implied volatility when the large changes of investment environment in short term.

關鍵字(中)

★ 投資者行為
★ 投資環境
★ 隱含波動率
★ 淨買壓假說
★ 套利限制假說
★ 學習假說

關鍵字(英)

★ Investment Behavior
★ Investment Environment
★ Implied Volatility

論文目次

中文摘要 ............................................. Ⅰ
英文摘要 ............................................. Ⅱ
致謝 ................................................. Ⅲ
目錄 ................................................. Ⅳ
圖目錄 ............................................... Ⅴ
表目錄 ............................................... Ⅵ
第一章緒論 ....................................... 1
第一節研究動機 ........................... 1
第二節研究目的 ........................... 2
第三節研究架構 ........................... 2
第二章文獻回顧 .................................... 3
第一節波動率微笑 ......................... 3
第二節波動率模型 ......................... 3
第三節淨買壓假說 ......................... 5
第四節景氣循環及多空頭市場 ............... 7
第三章研究設計 .................................... 9
第一節 Black and Scholes選擇權訂價模型 .... 9
第二節隱含波動率模型 ..................... 11
第三節淨買壓假說模型 ..................... 14
第四節兩母體平均數差的假設檢定 ........... 17
第四章實證結果與分析 .............................. 20
第一節資料選取與來源 ..................... 20
第二節台指選擇權隱含波動率實證 ........... 23
第三節台指選擇權淨買壓實證 ............... 27
第四節景氣及多空頭市場下淨買壓 ........... 34
第五章研究結論與建議 .............................. 45
第一節研究結論 ........................... 45
第二節建議 ............................... 46
參考文獻 ............................................. 47

參考文獻

中文參考文獻
1. 丁碧惠、曾家齊 (2005)，市場狀態與動能投資策略績效關聯性之研究，台灣金融財務季刊，6卷，4期，1-19頁
2. 李佳玲 (2006)，台指選擇權波動度指標與景氣指標之關係性研究，國立中央大學企業管理研究所碩士論文
3. 李淳祥 (2005)，台指選擇權市場淨買壓假說之驗證，國立政治大學財務管理研究所碩士論文
4. 姜書甄 (2004)，淨買壓解釋隱含波動率微笑現象，淡江大學財務金融研究所碩士論文
5. 黃裕烈、徐之強 (2005)，運用領先指標預測景氣變化之研究，行政院經濟建設委員會
6. 黃裕烈、徐之強、陳惠薇 (2005)，景氣基準循環指數之檢討與修訂，經濟論文叢刊，33卷，4期，295-319頁
7. 蘇世閎 (2004)，指數選擇權市場淨買壓對隱含波動率變動的影響：臺指選擇權市場是避險者為主的市場嗎，國立交通大學管理科學研究所碩士論文
英文參考文獻
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指導教授

羅庚辛(Keng-Hsin Lo)

審核日期

2007-7-11

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