政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/128755

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 50969269 Online Users : 895

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/128755

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/128755

Title:	Forward-Looking Information on Growth and Uncertainty Implied by Derivative Securities: Evidence from an Emerging Market
Authors:	顏佑銘 Yen, Yu-Min
Contributors:	國貿系
Keywords:	Implied dividend;Risk neutral kurtosis;Risk neutral skewness;Variance risk premium
Date:	2019-03
Issue Date:	2020-02-26 15:24:34 (UTC+8)
Abstract:	In this paper, we investigate investors` expectations on economic growth and uncertainty risk implied by derivative securities. Empirical evidence on investors’ expectations implied by derivative securities has been intensively studied in the U.S. and other developed markets, however, such evidence still seems to be rare for emerging markets. Using high frequency data of the Taiwan Stock Exchange (TAIEX) weighted index and its derivatives from Jan-02-2003 to Dec-31-2014, we construct time series of implied dividends, variance risk premium and higher risk-neutral moments. We find that term structure of the implied dividend yield and variance risk premium have some abilities on predicting the excess return of the TAIEX weighted index and growth of industrial production index of Taiwan. We also demonstrate that there is a strong and positive relation between the risk-neutral skewness and options slope, which is in line with what previous literature found in the U.S. stock market.
Relation:	International Review of Economics and Finance, Vol.62, pp.240-266
Data Type:	article
DOI link:	https://doi.org/10.1016/j.iref.2019.03.008
DOI:	10.1016/j.iref.2019.03.008
Appears in Collections:	[Department of International Business] Periodical Articles

Files in This Item:

File	Description	Size	Format
364.pdf		4173Kb	Adobe PDF2	202	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...