選擇權交易與標的資產報酬及標準差之關係

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姓名

陳詩耘(Shih-Yun Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

選擇權交易與標的資產報酬及標準差之關係
(The relationships between option trading and underlying returns and volatility)

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摘要(中)

本篇論文檢驗不同執行價的選擇權交易是否能預測標的資產的報酬及其標準差。本文實證研究採用英國及台灣股票市場資料，分別代表已發展及新興市場。就英國市場而言，我們採用日資料發現FTSE 100 股價指數報酬領先選擇權交易，選擇權交易並未包含預測FTSE100股價指數報酬的資訊。然而，我們也發現選擇權交易及股價指數報酬存在強烈同期關係，這結果顯示選擇權交易隱含資訊預測股價指數報酬調整的速度相當快速。此外，也發現價平及價內選擇權交易會影響FTSE100股價指數標準差，然而價外選擇權交易是受FTSE100股價指數標準差所影響。就台灣市場而言，我們採用日內資料且發現台灣股價指數報酬及選擇權交易顯著存在相互影響關係。我們也發現台灣股價指數選擇權交易對於股價指數標準差有顯著影響。

摘要(英)

The study examines whether option trading across strike prices can predict the returns and volatility of the underlying asset. The empirical studies are conducted for the British and Taiwanese stock markets which represent a developed and an emerging market, respectively. For the British market, we use daily data and find that FTSE 100 index returns lead the option trading, while the option trading has no information predicting the index returns. However, the option trading and the underlying asset returns have a strong simultaneous relationship, suggests that the useful information for option trading to predict the underlying asset returns adjusts quite quickly. On the other hand, at-the-money and in-the-money option trading causes volatility, while out-of-the-money option trading is caused by volatility. For the Taiwanese market, we use intraday data and find that TSE index option trading and stock returns have feedback relationship. We also find TSE index option trading across moneyness has significant impact on volatility.

關鍵字(中)

★ 選擇權
★ 股票市場
★ GJR-GARCH
★ 因果關係

關鍵字(英)

★ moneyness
★ option
★ stock markets
★ GJR-GARCH
★ Granger-causality test

論文目次

1.Introduction 1
2.Literature review 3
3.A Simple Model 5
4.Data 10
5.Methodology 13
5.1.Granger causality tests 13
5.2.The generalized autoregressive conditional heteroscedasticity model 15
6.Empirical results 17
6.1.Results for FTSE 100 index. 17
6.2.Results for the Taiwanese market 20
7.Summary 21
References 24

參考文獻

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指導教授

何耕宇、王耀輝
(Keng-Yu Ho、Yaw-Huei Wang)

審核日期

2006-6-26

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