English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50807211      Online Users : 727
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/31013
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31013


    Title: 個股選擇權隱含波動率是否包含信用違約交換合約的資訊內涵?
    Authors: 徐雅慧
    Contributors: 杜化宇
    徐雅慧
    Keywords: 個股選擇權
    隱含波動率
    信用違約交換
    領先落後關係
    馬可夫轉換
    Markov-Switching
    Date: 2008
    Issue Date: 2009-09-14 09:03:37 (UTC+8)
    Abstract: 本研究旨在探討信用違約交換市場與個股選擇權市場兩者的連動關係。研究發現,對於CDS價差,隱含波動率較歷史波動率有較佳的解釋能力。過去有文獻指出,CDS價差存在很明顯的狀態變換(Regime Switching)行為,故將前述使用的迴歸模型加入馬可夫轉換模型(Markov Switching Models)。結果發現,CDS價差與兩種波動率衡量方法間,無論是在經濟涵義上或統計上皆存在顯著的關係。然而,由於本研究使用的樣本期間裡,CDS價差面臨前所未有的劇烈波動,相較以往的研究結果有所出入,顯示當市場處在波動度過度放大的情形下,隱含波動率與CDS價差的關係將有所改變。接著,採用混合迴歸探討股票市場、選擇權市場與CDS市場的領先落後關係。得到的結果顯示,無論是CDS價差變動、隱含波動率變動或股票報酬率,各自的落後項、其他兩者變動及落後項均對之有顯著的解釋能力。此外,觀察各市場的殘差項如何影響其他市場後續的變化再次證實,CDS和選擇權市場彼此具有解釋能力。最後,從未來實現波動率和波動風險溢酬作為CDS價差解釋變數的迴歸結果可知,未來實現波動率較歷史波動率作為解釋變數來得顯著,可見良好的波動率估計值和CDS價差具有密切的關係。
    Reference: [1] Acharya, V. and T. Johnson, (2007) “Insider Trading in Credit Derivatives”, Journal of Financial Economics, Vol. 84, P110-141.
    [2] Alexander, C. and A. Dimitriu, (2005) “Indexing, Cointegration and Equity Market Regimes”, International Journal of Finance & Economics, Vol. 10, Issue 3, P213-231.
    [3] Alexander, Carol and Andreas Kaeck, (2007) “Regime Dependent Determinants of Credit Default Swap Spreads”, Journal of Banking and Finance, Vol. 32, P1008-1021.
    [4] Altman, Edward I. and Anthony Saunders, (1998) “Credit Risk Measurement: Developments over the Last 20 Years,” Journal of Banking & Finance, Vol. 21, P1721-1742.
    [5] Back, K. (1993) “Asymmetric Information and Options”, Review of Financial Studies, Vol.6, P435-472.
    [6] Bakshi, G. and N. Kapadia, (2003) “Volatility Risk Premium Embedded in Individual Equity Options: Some New Insights, Journal of Derivatives, Vol.11, Issue1, P45-54.
    [7] Bansal, R., G. Tauchen, and H. Zhou, (2004) “Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle”, Journal of Business & Economic Statistics, Vol.22, Issue 4, P396-409.
    [8] Black, F. (1975) “Fact and Fantasy in Use of Options”, Financial Analysts Journal, Vol.31, P36-41.
    [9] Bollerslev, T., M. Gibson, and H. Zhou, (2006) “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-implied and Realized Volatilities”, Working Paper.
    [10] Campbell, J., and G. Taksler, (2003) “Equity Volatility and Corporate Bond Yields”, Journal of Finance, Vol. 58, Issue 6, P2321-2349.
    [11] Canina, L., and S. Figlewski, (1993) “The Informational Content of Implied Volatility”, Review of Financial Studies, Vol. 6, P659-681.
    [12] Cao, Charles, Fan Yu, Zhaodong Zhong, (2007) “The Information Content of Option-implied Volatility for Credit Default Swap Valuation”, Working Paper.
    [13] Cao, C., Z. Chen, and J.Griffin (2005) “Informational Content of Option Volume Prior to Takeovers”, Journal of Business, Vol. 78, P1073-1109.
    [14] Chernov, M. (2007) “On the Role of Risk Premia in Volatility Forecasting”, Journal of Business and Economic Statistics, Vol. 25, Issue 4, P411-426.
    [15] Cheung, Y. W. and U. G.. Erlandsson, (2005) “Exchange Rates and Markov Switching Dynamics”, Journal of Business & Economic Statistics, Vol.23, Issue 3, P314-320.
    [16] Christoph, and Benkert, (2004) “Explaining Credit Default Swap Premia”, Journal of Futures Markets, Vol.24, Issue 1, P 71-92.
    [17] Christensen, B. J. and N. R. Prabhala, (1998) “The Relation between Implied and Realized Volatility”, Journal of Financial Economics, Vol.50, P125-150.
    [18] Churm, Rohan and Nikolaos Panigirtzoglou, (2005) “Decomposing Credit Spreads”, Working Paper.
    [19] Clarida, R. H., L. Sarno, M. P. Taylor, and G. Valente, (2006) “The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates”, Journal of Business, Vol.79, P1193-1224.
    [20] Cosslett, S. R., L. F. Lee, (1985) “Serial Correlation in Discrete Variable Models”, Journal of Econometrics, Vol. 27, P79-97.
    [21] Cremers, Martijn Joost Driessen, Pascal Maenhout, and David Weinbaum, (2008) “Individual Stock-Option Prices and Credit Spreads”, Journal of Banking and Finance, Vol. 32, Issue 12, P2706-2715.
    [22] Das, Sanjiv and Ranjan, (1995) “Credit Risk Derivatives,” The Journal of Derivatives, Vol. 2, Issue 3, P7-23.
    [23] Easley, D., M. O’Hara, and P. Srinivas, (1998) “Option Volume and Stock Prices: Evidence on Where Informed Traders Trade, Journal of Finance, Vol.53, P431-465.
    [24] Ericsson, J., J. Reneby, and H. Wang, (2005) “Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets”, Working Paper.
    [25] Ericsson, Jan, Kris Jacobs, and Rodolfo Oviedo, (2009) “The Determinants of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis, Vol. 44, Issue 1, P109-158.
    [26] Francis, N. and M. T. Owyang, (2005) “Monetary Policy in a Markov-switching Vector Error-correction Model: Implications for the Cost of Disinflation and the Price Puzzle”, Journal of Business & Economic Statistics, Vol.23, Issue 3, P305-313.
    [27] Goldfeld, S. M. and R. E. Quandt, (1973) “A Markov Model for Switching Regressions”, Journal of Econometrics, Vol. 1, P3-15.
    [28] Hamilton, James D. (1994) Time Series Analysis, Princeton University Press.
    [29] Hull, John C., M. Predescu, and A. White, (2004) “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”, Journal of Banking and Finance, Vol. 28, P2789-2811.
    [30] Jorion, P. (1995) “Predicting Volatility in the Foreign Exchange Market”, Journal of Finance, Vol.50, P507-528.
    [31] Kealhofer, Stephen (2003) “Quantifying Credit Risk I: Default Prediction”, Financial Analysts Journal, Vol. 59, Issue1, P30-44.
    [32] Kim, C. J. (1994) “Dynamic Linear Models with Markov-switching”, Journal of Econometrics, Vol. 60, P1-22.
    [33] Lamoureux, C. and W. Lastrapes, (1993), “Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatility”, Review of Financial Studies, Vol. 6, P293-326.
    [34] Lopez, Jose A., and Marc R. Saidenberg, (1998) “Evaluating Credit Risk Models”, Working Paper.
    [35] Neal, R. S. (1996) “Credit Derivatives: New Financial Instruments for Controlling Credit Risk”, Economic Review, Issue Q II, P15-27.
    [36] Newey, W. and K. West, (1987) “A Simple Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Mmatrix”, Econometrica, Vol. 55, P703-708.
    [37] Pan, J. and A. Poteshman, (2006) “The Information in Option Volume for Future Stock Prices”, Review of Financial Studies, Vol. 19, P871-908.
    [38] Perez-Quiros, G.. and A. Timmermann, (2000) “Firm Size and Cyclical Variations in Stock Returns” Journal of Finance, Vol. 55, Issue 3, P1229-1262.
    [39] Pong, S., M. B. Shackleton, S. J. Taylor, and X. Xu, (2004), “Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models., Journal of Banking and Finance, Vol.28, P2541.2563.
    [40] Turner, C. M., R. Startz, and C. R. Nelson, (1989) “A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market”, Journal of Financial Economics, Vol. 25, P3-22.
    [41] Zhang, B. Y., H. Zhou, and H. Zhu, (2005) “Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms”, Working Paper.
    Description: 碩士
    國立政治大學
    財務管理研究所
    96357020
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096357020
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2267View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback