Model-Free隱含波動率差異的資訊內涵

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陳勝榮(Sheng-jung Chen) 查詢紙本館藏

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財務金融學系

論文名稱

Model-Free隱含波動率差異的資訊內涵
(The information content of model-free implied volatility spread)

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摘要(中)

過去的研究發現依照買賣權衡等式做為衡量基礎時，在買賣權相對價格偏離的情況下，隱含著對於標的股票未來報酬率的資訊。在這篇文章中，我們以美國市場的個股選擇權為研究對象，定義出Model-free隱含波動度差異，透過Model-free隱含波動率差異來衡量買賣權價格偏離的程度，研究其對於未來個股報酬率的關係，以及對未來波動度的影響。我們針對較極端的Model-free隱含波動度差異做研究，結果顯示，平均而言，當市場波動度處於相對平穩的階段，Model-free隱含波動度差異對於次日的個股報酬率有顯著的正向關係，而這樣的關係有不對稱的現象，集中在大於零的Model-free隱含波動度差異中；對於未來波動度的關係而言，發現在市場波動情況較高時，Model-free隱含波動度差異對於未來日波動率有正向的關係，顯示Model-free隱含波動度差異的確隱含著對於未來日報酬率及波動率的資訊內涵。

摘要(英)

Previous research finds that deviations from put-call parity contain information about future stock returns. In this article, we apply the model-free implied volatility in measuring the difference between pairs of call and put options on individual stocks. We find that model-free implied volatility spread has positive relation with future returns when the stock market is not volatile. Besides, positive volatility spreads are more informative than negative volatility spreads. We also find weak evidence to show positive relation between model-free implied volatility spread and future realized volatility when the stock market is volatile.

關鍵字(中)

★ 資訊內涵
★ 個股選擇權
★ 隱含波動率

關鍵字(英)

★ Information content
★ individual stock options
★ model-free implied volatility

論文目次

摘要 i
Abstract ii
1. Introduction 1
2. Model-Free Implied Volatility 3
2.1 Construction of model-free implied volatility 3
2.2 Modification of errors 4
3. Data 6
3.1 Data description 6
3.2 Construction of realized volatility 7
4. Empirical Methodology and Result 9
4.1 Future stock returns and lagged volatility spreads 9
4.2 Future stock returns and extreme volatility spreads 11
4.3 Bottom and top extreme spreads 13
4.4 Performance of portfolios of extreme volatility spread 14
4.6 Future realized volatility, volatility spread, and ATM implied volatility 15
4.7 Future realized volatility and extreme volatility spreads 16
4.8 Available strike price issue 17
5. Robustness test 18
6. Conclusion 19
Reference 36

參考文獻

Britten-Jones, M., and Neuberger, A. 2000, “Option Prices, Implied Price Processes, and Stochastic Volatility.” Journal of Finance, 55, 839-866.
CBOE, 2003, “The VIX white paper.” Chicago Board Options Exchange, URL:http://www.cboe.com/micro/vix/vixwhite.pdf
Chakravarty, S., Gulen, H., and Mayhew, S., 2004, “Informed Trading in Stock and Option Markets.” Journal of Finance, 59, 1235-1257.
Christensen, B. J., and Prabhala, N. R., 1998, “The relation between implied and realized volatility.” Journal of Financial Economics, 50, 125-150.
Cremers, M., and Weinbaum D., 2007, “Deviation from Put-Call Parity and Stock Return Predictability.” Working paper.
Easley, D., O’hara, M., and Srinivas, P. S., 1998, “Option Volume and Stock Prices: Evidence on Where Informed Traders Trade.” Journal of Finance, 53, 431-465.
Jiang, G. J., and Tian, Y. S., 2005, “The Model-Free Implied Volatility and Its Information Content.” Review of Financial Studies, 18, 1305-1342.
Jiang, G. J., and Tian, Y. S., 2007, “Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index.” Journal of Derivatives, 14, 35-60.
John H. Mathews, Kurtis D. Fink, 1999, “Numerical methods using MATLAB.” 3rd edition, Prentice Hall, 279-294.
Press, William H., Saul A., Teukolsky, William T. Vetterlinng, and Brian P. Flannery, 1996, “Numerical recipes in Fortran 77:The art of scientific computing.” 2nd edition, Cambridge University Press, 107-110.
Taylor, S. J., Yadav, P. K., and Zhang, Y., 2006, “The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from options written on individual stocks.” Working paper.
Whaley, R. E., 2000, “The Investor Fear Gauge.” Journal of Portfolio Management, 26, 12-17.

指導教授

張傳章(Chuang-chang Chang)

審核日期

2009-6-30

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