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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/31127


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31127


    Title: 台指選擇權之隱含波動率實證研究
    Authors: 王嘉豪
    Contributors: 謝明華
    王嘉豪
    Keywords: 隱含波動率
    波動率指數
    台指選擇權
    Implied Volatility
    Volatility Index
    TAIEX Options
    Date: 2004
    Issue Date: 2009-09-14 09:18:24 (UTC+8)
    Abstract: 由選擇權價格反推求算出的隱含波動率，可表示市場對未來波動的預期，亦間接反映出該選擇權的價值高低，成為投資者在制定交易策略時重要的依據。經由實證研究發現，CBOE VXO及VIX都可反應投資人的恐慌心理，因此能作為標的走勢的逆向指標，所以又稱為「投資人恐慌指標」。而台指市場並沒有波動率的指標可供投資人參考，所以本研究的目的，是依照臺灣指數選擇權之市場特性，修改多種隱含波動率的估計方法。依照下列比較基準，找出適合台指市場的波動率指數。
    1. 報酬反向指標：
    分析波動率指數變動與市場報酬之間的關係，觀察「反向非對稱變動行為」，以Vega指數的表現最明顯。
    2. 週期行為：
    所有波動率指數，在日內行為的偏離幅度都很有限，且週內行為並沒有異常的週期性。分析到期日效果，只有ATM指數在到期日前二日及交易當日顯著下降，顯示台指報酬在到期日前並沒有大幅的異常波動。
    3. 預測能力：
    比較各波動指數的預測能力優劣。使用避免假性迴歸的模型、每分鐘報價來計算實際波動率，以VIX指數的解釋能力最佳。
    綜觀以上分析結果，發現無法找出單一最佳的台指波動率指標。所以若需要最佳的「投資人恐慌指標」，必須使用Vega指數；若想做預測分析，則必須使用VIX指數。
    Reference: [1] 胡僑芸，「臺指選擇權VIX指數之編制與交易策略分析」，碩士論文，國立中山大學財務管理研究所
    [2] Beckers S., 1981, "Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability", Journal of Banking and Finance, Vol. 5, p363-381
    [3] Chiras D.P. and Manaster S., 1978, "The Information Content of Option Prices and a Test of Market Efficiency", Journal of Financial Economics, Vol.6, p213-234
    [4] Demeterfi K., Derman E., Kamal M. and Joseph, March 1999, "More Than You Ever Wanted to Know About Volatility Swaps", Goldman Sachs Quantitative Strategies Research Notes
    [5] Fleming J., Ostdiek B. and Whaley R.E., May 1995, "Predicting Stock Market Volatility: A New Measure", Journal of Futures Markets, Vol. 15, No. 3, p265-302
    [6] Giot P., Spring 2005, "Relationships Between Implied Volatility Indexes and Stock Index Returns", Journal of Portfolio Management, Vol. 31,No. 3, p92-100
    [7] Latane H.A. and Rendleman R.J., May 1976, "Standard Deviations of Stock Price Ratios Implied in Option Price", The Journal of Finance, Vol. 31, No.2, p369-381
    [8] Mayhew S., 1995, "Implied Volatility - literature review", Financial Analysts Journal, Vol. 51, p8-20
    [9] Whaley R.E., 1993, "Derivatives on Market Volatility: Hedging Tools Long Overdue", Journal of Derivatives, Vol. 1, p71-84
    [10] Whaley R.E., 2000, "The Investor Fear Gauge", Journal of Portfolio Management, Vol. 26, p12-17
    [11] Poon S.H. and Granger W.J., 2003, "Forecasting Volatility in Financial Markets: A Review", Journal of Economic Literature, Vol. 41, No. 2, p478-539
    [12] COBE, Sep 2003, "The New COBE Volatility Index – VIX", whitepaper, http://www.cboe.com/
    Description: 碩士
    國立政治大學
    資訊管理研究所
    92356029
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923560291
    Data Type: thesis
    Appears in Collections:[Department of MIS] Theses

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