博碩士論文 101428026 完整後設資料紀錄

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DC.contributor財務金融學系zh_TW
DC.creator鄭佩文zh_TW
DC.creatorPei-wen Chengen_US
dc.date.accessioned2014-7-3T07:39:07Z
dc.date.available2014-7-3T07:39:07Z
dc.date.issued2014
dc.identifier.urihttp://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=101428026
dc.contributor.department財務金融學系zh_TW
DC.description國立中央大學zh_TW
DC.descriptionNational Central Universityen_US
dc.description.abstract本文探討外匯期貨選擇權市場與即期外匯市場的領先落後關係,我們以隱含波動度偏斜作為衡量隱含波動度曲線之陡峭程度,探討外匯期貨選擇權隱含波動度曲線之陡峭程度是否隱含未來匯率報酬走勢的資訊,並具體定義隱含波動度偏斜為價外賣權之隱含波動度減同標的之價平買權隱含波動度。本文以芝加哥商品交易所內最具流通性的六種外匯期貨選擇權為研究對象,探討外匯期貨選擇權隱含波動度偏斜是否可以預測下週的即期匯率報酬,實證結果指出隱含波動度偏斜與未來即期匯率走勢沒有一個顯著的關係,其可能因為隱含波動度偏斜主要是被設計為捕捉負面資訊,所以在全樣本期間很難指出隱含波動度偏斜與未來匯率走勢有一定的關聯性。因此,本文針對特定事件來做進一步延伸,探討在何種情況下,隱含波動度偏斜具有預測能力。實證結果顯示,在非就業人口、消費者物價指數和工廠訂單的總體經濟事件宣告下,澳幣和加拿大幣期貨選擇權之平均隱含波動度偏斜具有顯著的預測能力,且其與總體經濟宣告日當天之匯率變動呈顯著正向關係。zh_TW
dc.description.abstractThis paper provides a new perspective on the informational leading role of the foreign exchange futuresoptions market relative to the foreign exchange market. We use all foreign exchange futures optionswhich are traded on CME from January 2007 to May 2013, and focus on the predictability and information contents of implied volatility skew, defined as the difference between the implied volatility of out-the-money put options and the implied volatility of at-the-money call options.At first, we examine whether implied volatility skew can predict the next week’s returns. However, empirical results indicate implied volatility skew can’t predict the next week’s foreign exchange returns. Next, we examine the predictive ability of implied volatility skew around major macroeconomic events including nonfarm payroll employment, consumer price index, and factory orders, and we find that implied volatility skew before these events has the predictive ability for spot exchange rate.en_US
DC.subject外匯期貨選擇權zh_TW
DC.subject波動度假笑曲線zh_TW
DC.subject隱含波動度偏斜zh_TW
DC.subject資訊內涵zh_TW
DC.subjectForeign exchange futures optionsen_US
DC.subjectVolatility smirken_US
DC.subjectImplied volatility skewen_US
DC.subjectInformation contenten_US
DC.title外匯期貨選擇權隱含波動度偏斜之資訊內涵與預測能力zh_TW
dc.language.isozh-TWzh-TW
DC.titleThe Information Content and Forecasting Ability of Implied Volatility Skewin Foreign ExchangeFutures Optionsen_US
DC.type博碩士論文zh_TW
DC.typethesisen_US
DC.publisherNational Central Universityen_US

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