博碩士論文 964208030 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	財務金融學系	zh_TW
DC.creator	陳勝榮	zh_TW
DC.creator	Sheng-jung Chen	en_US
dc.date.accessioned	2009-6-30T07:39:07Z
dc.date.available	2009-6-30T07:39:07Z
dc.date.issued	2009
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=964208030
dc.contributor.department	財務金融學系	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	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。	zh_TW
dc.description.abstract	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.	en_US
DC.subject	資訊內涵	zh_TW
DC.subject	個股選擇權	zh_TW
DC.subject	隱含波動率	zh_TW
DC.subject	Information content	en_US
DC.subject	individual stock options	en_US
DC.subject	model-free implied volatility	en_US
DC.title	Model-Free隱含波動率差異的資訊內涵	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	The information content of model-free implied volatility spread	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US