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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/60026

    Title: 隱含波動度價差之交易策略 - 技術分析應用操作;Trading strategy of implied volatility spread - Using technical analysis
    Authors: 鍾函訓;Chung,Han-hsun
    Contributors: 財務金融學系
    Keywords: 技術分析;隱含波動度價差;Technical analysis;Implied volatility spread
    Date: 2013-06-28
    Issue Date: 2013-07-10 12:01:37 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 本篇論文主要探討選擇權與股票市場的資訊內容不對稱以及選擇權價
    金融商品 ( 選擇權 ),故藉由觀察價平且近期到期的買賣權之隱含波動度
    買或放空台灣50 ( 0050 )現貨,進行統計套利。
    In this paper, we investigate the information asymmetry between option
    market and stock market, and we also investigate the characteristics of option
    price leading stock price. If informed trader has private information, first of all,
    they will invest high leverage financial product, such as option. By observing
    the implied volatility spread of near the money and recent month option, we use
    technical analysis to determine whether implied volatility spread will diverge
    from theory interval or not and basing on these information we will get a buy or
    sell signal. Finally, since the information in stock market will lag behind the
    option market, we can do statistics arbitrage by buying or selling ETF ( 0050 )
    in stock market.
    Empirical results suggest that using strategy of implied volatility spread can
    earn abnormal return, especially for Bollinger band strategy and KD strategy.
    After considering about transaction cost (tax and fee), these strategies still make
    unexpected return higher than 10%. Since the data of implied volatility spread
    are public resources, it proves that the stock market in Taiwan is inefficiency.
    Appears in Collections:[財務金融研究所] 博碩士論文

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