台灣選擇權市場的隱含波動度價差之探討與研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：56

、訪客IP：18.119.119.119

姓名

吳家陞(Jia-sheng Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

台灣選擇權市場的隱含波動度價差之探討與研究
(The Signaling of Option Implied Volatility Spread and The Relevant Trading Strategy: Evidence from Taiwan Option Market)

相關論文

★ 人身保險業經營財富管理業務之探討	★ 歐洲主權債信危機對台灣證券市場金融股的影響
★ 結構型商品之評價及分析-以匯率及股權連結型商品為例	★ 多元通路行銷保險介紹與分析
★ TRF與DKO評價與客戶承做目的之分析	★ 信用卡信用評分模型的建置與評等－以國內某銀行為例
★ 銀行財富管理行銷策略分析--以TF銀行與S銀行為例	★ 金融科技應用之分析與探討
★ 企業併購之無形資產評價分析:以日月光併購矽品為例	★ 一帶一路對中國股市影響之分析與探討
★ 三大法人進出與台灣股票短期報酬關係之研究	★ 東協政治經濟發展介紹與分析
★ 逆向房屋抵押貸款之探討-以上海銀行契約為例	★ 結構型商品之評價與分析 ―以多資產股權連結結構型商品與保息型匯率連結結構型商品為例
★ 台指選擇權隱含波動度價差之交易策略探討	★ 衍生性商品與逆向抵押貸款之評價研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本篇論文延續Cremers and Weinbaum (2010) 之研究，探討選擇權買賣權隱含波動度之價差(Implied Volatility Spread)，將其視為市場的一個領先指標，反應了市場可能存在的隱含資訊，以及投資人對於整體市場未來之預期。本篇主要利用此指標建立了兩個不同的交易策略，第一個交易策略探討選擇權和股票市場對於相同隱含資訊反應的快慢程度，首先觀察選擇權買賣權隱含波動度之價差(Implied Volatility Spread)，當其顯示為多頭走勢時，進一步購買現貨股票，反之則放空現貨股票。研究結果顯示，隨著選擇權買賣權隱含波動度之價差(Implied Volatility Spread) 衡量方式的不同，此交易策略之報酬有顯著差異，當進一步考慮交易成本時，則無顯著正向超額報酬。
由於第一個交易策略結果顯示台灣選擇權市場與股票市場對於相同隱含資訊的反應方向未必相同，因此第二個交易策略直接使用選擇權買賣權隱含波動度之價差(Implied Volatility Spread) 建構買權與賣權之配對交易，透過選擇權之買賣套利，賺取波動度的價差。因選擇權本身具有高槓桿，在不考慮交易成本、保證金時可獲得高報酬，進一步考慮保證金、交易成本的情況下，報酬顯著下降，但仍然明顯高於大盤。

摘要(英)

Extending from Cremers and Weinbaum (2010), this paper mainly examines the implied volatility spread of options, which is viewed as a leading indicator, impling the informed information and the expectation of the investors to the future. This paper uses leading indicator, the implied volatility spread of options, to construct two different strategies. The first strategy tries to see that whether the option market react the informed information pior to the stock market. It buys stocks when the implied volatility spread of options indicates an upward trend and short stocks when the implied volatility spread of options indicates a downward trend. The empirical results are mixed with the different measurements of the implied volatility spread of options. And there are no positive abnormal returns under this strateg when the trading cost is considered.
For the first strategy indicates that the stock market and the option market might have different reaction to the same informed information in Taiwan market, this paper directly uses the implied volatility spread of options in pairs trading of options as the second strategy. The result shows that the second strategy produces high returns due to the highly-leveraged characteristic of options. Although the returns go down obviously as the trading cost is considered, they still beat the market over half of the years in the sample period.

關鍵字(中)

★ 買賣權隱含波動度價差
★ 資訊優勢者
★ 保力加通道

關鍵字(英)

★ Implied Volatility Spread
★ Imformed Trader
★ Bollinger Band

論文目次

目錄
一、緒論 1
1-1 研究動機 1
1-2 研究目的 3
1-3 研究架構 4
二、文獻回顧 6
三、Volatility Spread之交易策略 9
3-1理論基礎 9
3-2資料來源 11
3-3隱含波動度 13
3-4交易策略 15
3-4-1價平選擇權之Volatility Spread交易策略 15
3-4-2價平選擇權變動百分比之Volatility Spread交易策略 19
3-4-3口數加權選擇權之Volatility Spread 交易策略 19
3-5 價平選擇權之Volatility Spread交易策略之實證結果 20
四、Volatility Spread之交易策略應用在選擇權 32
4-1理論基礎 32
4-2交易策略 34
4-3交易策略實證結果 37
4-4考慮保證金與交易成本之實證結果 41
4-5綜合分析與解釋 43
五、結論 45
參考文獻 46
附錄一 49
附錄二 50

參考文獻

Ang, Andrew, Bali, Turan G. and Cakici, Nusret, The Joint Cross Section of Stocks and Options (March 1, 2010) .
Amin, K.I., Lee, C.M.C., 1997. Option trading, price discovery and earnings news dissemination, Contemporary Accounting Research 14, 153–192.
Back, K., 1992. Asymmetric information and options, Review of Financial Studies 6, 435–472.
Barber, B.M., Lee, Y.T., Liu, Y.J., Odean, T., 2009. Just How much do individual investors lose by trading? Review of Financial Studies 22, 609–632.
Chang, C.-C., Hsieh, P.-F., Lai, H.-N. 2009. Do informed option investors predict stock returns? Evidence from the Taiwan Stock Exchange, Journal of Banking and Finance 33, 757–764.
Chang, C.-C., Hsieh, P.-F., Wang, Y.-H., 2010. Information content of options trading volume for future volatility: Evidence from the Taiwan options market, Journal of Banking and Finance 34, 174–183.
Robert Battalio, Paul Schultz. Options and the Bubble, The Journal of Finance, Volume 61, Issue 5, pages 2071–2102, October 2006
Martijn Cremers and David Weinbaum, Deviations from Put-Call Parity and StockReturn Predictability, Journal Of Financial And Quamtitative ANALYSIS Vol. 45, No. 2, Apr. 2010, pp. 335–367
Wen Jin, Joshua Livant And Yuan Zhang, Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?, Journal of Accounting Research Vol. 50 No. 2 May 2012
Simone Bernardi and Alessandro Gnoatto, A Pairs Trading Strategy Applied to the European Banking Sector, May 19th 2010.
Sandeep Srivastava, INFORMATIONAL CONTENT OF TRADING VOLUME AND OPEN INTEREST – AN EMPIRICAL STUDY OF STOCK OPTION MARKET IN INDIA, JEL: G13, G14 and D83
Charles Cao, Zhiwu Chen, John M. Griffin, Informational Content of Option Volume Prior to Takeovers, Working Paper ES # 31
Wen-Hsiu Kuo, Tsai-Yin Lin, Does the Put-Call Ratio Forecast Market Returns? Evidence from an Emerging Market, International Research Journal of Finance and Economics ISSN 1450-2887, Issue 69 (2011).
Jonathan Chiu, Daniel Wijaya Lukman, Kourosh Modarresi, Avinayan Senthi Velayutham, High-frequency Trading.
Evan Gatev, William N. Goetzmann, K. Geert Rouwenhorst, Pairs Trading: Performance of a Relative-Value Arbitrage, Rule The Review of Financial Studies, Vol. 19, No. 3 (Autumn, 2006), pp. 797-827
Kam C. Chan, Louis T.W. Cheng, Peter P. Lung, Net Buying Pressure, Volatility Smile, and Abnormal Profit ofHang Seng Index Options.
Purnendu Nath, High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds, JEL classification:C52, C53, E47, G14.
Jun Pan, Allen M. Poteshman, The Information in Option Volume for Stock Prices, Working Paper 4275-03, January 2003.
Sophie Xiaoyan Ni, Jun Pan, and Allen M. Poteshman, Volatility Information Trading in the Option Market, October 18, 2005.
Michael Lemmon, Sophie Xiaoyan Ni, The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options, JEL Classification Code: G1.
David Bowen, Mark C. Hutchinson, Niall O”Sullivan, High Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns, March 2010.
Binh Do, Robert Faff, Kais Hamza, A New Approach to Modeling and Estimation for Pairs Trading, May 29, 2006.
Chang, C.-C., Hsieh, P.-F., Wang, Y.-H., 2010. Information content of options trading volume for future volatility: Evidence from the Taiwan options market, Journal of Banking and Finance 34, 174–183.

指導教授

吳庭斌(Ting-Pin Wu)

審核日期

2013-7-25

推文