| DC 欄位 |
值 |
語言 |
| DC.contributor | 財務金融學系 | zh_TW |
| DC.creator | 賴冠廷 | zh_TW |
| DC.creator | Kuan-Ting Lai | en_US |
| dc.date.accessioned | 2013-7-17T07:39:07Z | |
| dc.date.available | 2013-7-17T07:39:07Z | |
| dc.date.issued | 2013 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=100428015 | |
| 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 | 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。 | zh_TW |
| dc.description.abstract | 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. | en_US |
| DC.subject | S& | zh_TW |
| DC.subject | P 500 指數選擇權 | zh_TW |
| DC.subject | VIX 選擇權 | zh_TW |
| DC.subject | 交易量 | zh_TW |
| DC.subject | 買賣權平價公式 | zh_TW |
| DC.subject | 交易量加權隱含VIX指數 | zh_TW |
| DC.subject | 資訊內涵 | zh_TW |
| DC.subject | 金融海嘯 | zh_TW |
| DC.subject | S& | en_US |
| DC.subject | P 500 index options | en_US |
| DC.subject | VIX options | en_US |
| DC.subject | trading volume | en_US |
| DC.subject | put-call parity | en_US |
| DC.subject | volume-weighted implied VIX | en_US |
| DC.subject | information content | en_US |
| DC.subject | financial tsunami | en_US |
| DC.title | 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 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | The information content of the options volume: Evidence from S&P 500 Index Options and VIX Options | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |