博碩士論文 92428028 詳細資訊


姓名 郭欣慈(Hsin-Tsz Kuo)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 台灣加權指數波動率之實證研究
(Empirical Research on Taiwan Volatitlity Index)
檔案 至系統瀏覽論文 (永不開放)
摘要(中) 芝加哥選擇權交易所(CBOE)於1993 推出VIX 指數,用來衡量選擇權交易人對未來股票市場波動率的預期,可具體描繪投資人心理的變化情形。臺灣期貨交易所於民國90 年12 月24 日推出臺指選擇權,但目前尚未編制VIX 指數,無法提供相關的數據作研究,本研究乃針對當前台灣選擇權市場的實際交易情形,參考美國CBOE所提出最新的編製方法編制臺指選擇權VIX 指數,並詳加說明編制時所面臨的問題與解決方式。以期編制一套符合目前台灣選擇權市場現況的波動率指數,提供選擇權交易人更多的市場資訊,協助其判斷市場的狀況與擬定合宜的交易決策。此外,本研究還深入探討加權指數與台灣波動率指數之間的關係是否如同美國一般呈現反向變動的關係,以及更進一步地推測出能夠解釋台指波動率指數波動的因素有哪些。在實證結果的最後一個章節,我們考慮各種波動率之下所預估出來的TVX值,並討論在哪一種合約組合之下所估出的值較為精確。
摘要(英) CBOE was contributed the VIX in 1993. That index is used to measure the expectation of the stock market for volatility from the investors who invest in options. Taiwan Future Exchange contributed TXO on Dec 24th, 2001. In Taiwan market, there is no contribution on VIX, as a result, the research on the Taiwan Volatility Index(TVX) has restricted. In this paper, we try to find out the TVX and suggest the process of the contribution. We endeavor the index to fit the market and that could be used in the investment. On the other hand, we discuss the relationship between TVX and Taiwan Stock Exchanges Index. We try to find the reasons that influence the volatility of TVX. In the final part, we consider about the accuracy for the estimation by statistics.
關鍵字(中) ★ TVX
★ 台灣波動率指數
★ VIX
關鍵字(英) ★ volatility
★ TVX
★ VIX
論文目次 第一章 緒論
第一節 研究動機與目的..........................................................................................1
第二節 研究限制......................................................................................................2
第三節 研究架構......................................................................................................2
第二章 文獻回顧
第一節 波動率指數之介紹......................................................................................3
第二節 波動率之相關文獻......................................................................................3
第三章 研究方法
第一節 CBOE編製舊VIX指數(VXO)之理論基礎..................................................6
第二節 CBOE編製新VIX指數之理論基礎................................................................7
第三節 模擬加權指數波動率指標(TVX)............................................................9
第四章 實證結果分析
第一節 模擬每小時加權指數波動率的結果........................................................12
第二節 加權指數波動率的回歸分析....................................................................15
第三節 加權指數波動率的結果分析....................................................................18
第四節 理論上的加權指數波動率實驗結果分析................................................24
第五章 結論與建議
第一節 結論............................................................................................................31
第二節 建議............................................................................................................32
參考文獻......................................................................................................................33
附錄一:2003~2004年度TVX......................................................................................36
附錄二:台指選擇權(TXO)的合約規格................................................................45
參考文獻 (中文部分)
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(英文部分)
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指導教授 張森林、何耕宇
(San-Lin Chung、Keng-Yu Ho)
審核日期 2005-7-20

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