指數變動及星期效應對隱含波動度變化之影響－以台指選擇權為例

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謝志輝(Hsieh-Chih Hui) 查詢紙本館藏

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企業管理學系

論文名稱

指數變動及星期效應對隱含波動度變化之影響－以台指選擇權為例

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摘要(中)

波動度對於財務市場來說，是一個非常重要的變數，而對於未來波動度的預測上，隱含波動度扮演著重要的角色，在國外的文獻中，一般認為，隱含波動度變化與同時期的價格變化具有反向及不對稱的關係存在，且具有明顯的星期效應。台指選擇權從2001年底開始交易至今，僅短短三年多之時間，有別於國外各成熟市場，本文的用意即在檢驗是否在台指選擇權市場上會有相同的現象發現，本文將台指買權及賣權之日資料，以到期月份和各個價性分類，首先檢驗台指選擇權隱含波動度變化與同時期大盤指數變化的關係，還有觀察隱含波動度改變的週內形態，結果發現，台指選擇權契約的隱含波動度變化與大盤指數變化普遍存在反向及不對稱關係，而且在近月到期契約中較為顯著，在探索其原因時，則發現兩個不一樣的結果，在近月到期契約中，槓桿效應理論較能解釋其反向及不對稱關係，而時間變異風險溢酬理論則是遠月到期契約的較佳解釋。在星期效應檢驗中，則發現日期對台指選擇權隱含波動度變化的解釋能力不高，沒有明顯之星期效應。

關鍵字(中)

★ 時間變異風險溢酬理論
★ 星期效應
★ 隱含波動度
★ 反向及不對稱關係
★ 槓桿效應理論

關鍵字(英)

★ weekday effect
★ Implied volatiliy
★ inverse and asymmetric relation
★ The Time-varying Risk Premium Theory
★ The Leverage Effect Theor

論文目次

第一章　緒論.....................................1
第二章　背景理論及模型假設.......................3
第一節背景理論...............................3
第二節模型假設...............................7
第三章　實証資料................................10
第一節資料整理..............................10
第二節敘述統計..............................13
第四章　檢定結果................................18
第五章　結論....................................29
參考文獻........................................30

參考文獻

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指導教授

林純瓊(Eva C Yen)

審核日期

2005-7-4

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