選擇權交易量的資訊內涵:以S&P500指數選擇權及VIX選擇權為例

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賴冠廷(Kuan-Ting Lai) 查詢紙本館藏

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財務金融學系

論文名稱

選擇權交易量的資訊內涵:以S&P500指數選擇權及VIX選擇權為例
(The information content of the options volume: Evidence from S&P 500 Index Options and VIX Options)

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摘要(中)

本文探討選擇權市場價格以及交易量的資訊內涵，有鑑於許多研究指出S&P 500 指數選擇權市場對於未來的S&P 500 指數提供重要的資訊。我們更進一步探討VIX 選擇權市場的價格以及交易量的資訊內涵是否與S&P 500 指數有相關，而VIX 選擇權市場所帶來的資訊內涵是否有助於我們預測未來S&P 500 指數。我們的研究結果指出:我們加入交易量考量後所建構的隱含VIX指數的確包含了對於S&P 500 指數的資訊內涵以及VIX指數所代表的S&P500 指數選擇權市場確實包含了對於S&P 500 指數未來報酬的資訊，因此確認了交易量的資訊內涵，而在兩個市場的高低交易量差異部分所造成的資訊差異，我們推測是由於投資人的避險需求而導致。

摘要(英)

This article aims to examine the informational roles and the trading volume of options markets. Numerous studies have indicated that the S&P 500 index options market provide critical information on the future dynamics of the S&P 500 index. We therefore investigate further in this study the existence of any relationship between the trading volume of S&P 500 index options market and VIX option market and volatility of the S&P 500 index and whether this relationship, if it does exist, can provide any incremental information leading to improved S&P 500 index forecasts/predictions. Our results suggest that volume-weighted implied VIX which extracted from the VIX options market and including the information from trading volume does provide critical information on the S&P 500 index. And the S&P 500 index options market provide valuable measures with regard to the future return of the S&P 500 index. And we infer the reason for the different between the information of high trading volume and low trading volume of both the S&P 500 index options market and the VIX options market is caused by the hedge purpose of the market participants.

關鍵字(中)

★ S&
★ P 500 指數選擇權
★ VIX 選擇權
★ 交易量
★ 買賣權平價公式
★ 交易量加權隱含VIX指數
★ 資訊內涵
★ 金融海嘯

關鍵字(英)

★ S&
★ P 500 index options
★ VIX options
★ trading volume
★ put-call parity
★ volume-weighted implied VIX
★ information content
★ financial tsunami

論文目次

Contents
中文摘要 I
Abstract II
誌謝 III
Contents IV
List of Figures VI
List of Tables VII
1. Introduction 1
2. Literature review 2
3. Data description 3
4. Methodology 4
4.1. Volume-weighted implied VIX 4
4.2. High-low trading volume indicator 5
4.3. Return forecasting 5
4.4. Volatility forecasting 6
5. Empirical results 7
5.1. Return forecasting 8
5.2. Volatility forecasting 9
5.3. Option markets information after financial tsunami 10
5.4. Out-of-sample forecasting 11
6. Conclusion 12
Reference 14
Appendix A – Volume-Weighted implied VIX and High-Low trading volume indicator. 27
Appendix B – The estimate results for K = 10. 29
Appendix C – The estimate results for K = 20. 35
Appendix D – The estimate results for K = 50. 41

參考文獻

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指導教授

張傳章(Chuang-Chang Chang)

審核日期

2013-7-17

推文