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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34035


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    题名: 市場訊息變動對外匯波動之不對稱影響與其反轉特性：選擇權市場的證據
    作者: 陳盈之
    贡献者: 杜化宇
    陳盈之
    关键词: 波動度
    外匯選擇權
    不對稱效果
    反轉效果
    VS-GARCH 模型
    日期: 2002
    上传时间: 2009-09-17 19:11:10 (UTC+8)
    摘要: 一般研究外匯波動均以現貨的波動為主，但理論上衍生性金融商品由於成本低、市場限制較少，並且隱含波動度為「事前」波動度，隱含「預期」的意涵，因此衍生性金融商品的波動應該比現貨更能反映市場的資訊，市場資訊透過市場參與者的投資策略反映在市場，將會造成市場上的波動，且影響是不對稱和具有反轉現象的，所謂的「反轉」是指當價格變動幅度很大時，負向的價格變動比正向對波動度的影響要大，但當價格變動很小時，影響方向便會出現反轉 (reversal)，即小幅度的正向價格變動比負向價格變動對波動度的影響要大。

    本研究以英磅、歐元、日圓及瑞士法郎四種外匯選擇權作為研究標的，探討外匯波動是否具有不對稱效果以及不對稱效果是否因價格變動幅度而有反轉現象，並且發展類似double-threshold GARCH模型的VS-VOLUME-GARCH模型，在控制交易量變數後，檢視不對稱及反轉的現象是否有所改變。實證結果發現市場訊息對英磅、歐元、日圓與瑞士法郎波動具有不對稱效果與反轉，但是方向與影響程度剛好與一般股市波動相反，即小幅度正向價格變動對波動度的影響較負向小，大幅度的正向價格變動對波動度的影響較負向大，其次，交易量的確可以用來解釋波動度不對稱及反轉但是僅能解釋部份原因，並且由實證結果可知交易量的確可以減輕波動度不對稱及反轉的程度，另外，實證結果也指出交易量只是造成不對稱及反轉效果的一個原因，除了交易量之外應該還存在其它重要因素。
    參考文獻: 參考文獻
    英文部份(依作者姓氏字母順序排列)
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    20.Longin, F., and B. Solnik, (1995) “Is the correlation in international equity returns constant: 1960-1990? ”, Journal of International Money and Finance, Vol.14, P3-26.
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    描述: 碩士
    國立政治大學
    財務管理研究所
    90357018
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090357018
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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