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    Title: 台指選擇權之市場指標實證分析
    Authors: 吳建民
    Wu,Jian-Min
    Contributors: 陳松男
    Chen, Son-Nan
    吳建民
    Wu,Jian-Min
    Keywords: 選擇權
    歷史波動率
    隱含波動率
    Chow結構轉變
    選擇權風險係數
    移動平均線
    自我相關
    單根檢定
    時間序列
    金融衝擊
    未平倉量
    隱含波動率指數
    Option
    Historical Volatility
    Implied Volatility
    ARMA(p,q)
    GARCH
    Option Greeks
    Moving Average
    Stationary
    ADF(Augmented Dickey-Fuller Test)
    RMSE
    P/C Ratio
    Time Series
    Date: 2005
    Issue Date: 2009-09-18 15:08:44 (UTC+8)
    Abstract: 本研究有系統地收集了2003年8月12日到2005年9月30日止共495個交易日的台指期貨、選擇權市場裡P/C量、P/C倉、隱含波動率(AIV)、不同天數的歷史波動率等收盤資料,進行這些因素與行情走勢間的關係,以及因素彼此的互動性。結果證實分析台指選擇權指標是需要區分金融重大衝擊前後期間,以及區分漲勢、跌勢、盤整的各期間,各期間的選擇權指標均會有不同意涵。

    本論文證實使用結構轉換的Chow-ARMA(2,1)模型可能比較符合模擬指數
    實況,且GARCH(1,1) 模型也很適合描述台期指貨波動度預測力。在選擇權指標方面:P/C量與AIV與台指期貨呈現負相關,P/C倉與台指期貨正相關。其中以P/C倉對指數漲跌的影響程度最大、P/C量的影響程度次之、AIV影響程度最小。若把隱含波動率區分成買權與賣權之各個波動率更有效地預測行情走勢,在大跌期間的買賣權隱含波動率更能表現出優越的預測能力,其中前兩期的賣權隱含波動率(PIV)更是效率性指標,

    實證結果使用20天的歷史波動率比較能貼近選擇權市場的變化,跟過去教
    科書慣用的90天不同。若比較歷史波動率與隱含波動率間的關係,結論是當「大跌期」歷史波動率大於買權隱含波動率(CIV)時,買權是會被低估的,其他的各種假設條件均不成立。理由有二:一是市場效率性決定了是否可使用隱含波動率與歷史波動率之間的高低關係。二是「大跌時期」相對於「大漲時期」的市場資訊被反應的更敏銳,而在「大跌時期」的賣權價格反應比買權價格反應更快速敏銳。

    本研究推論的Chow-ARMA(2,1) 台指期貨模型、GARCH(1,1) 波動率模型、P/C量-P/C倉-AIV的多變數模型、FMA20/XIV模型等等在研判指數變化上具有參考價值,進一步均可以做為選擇權操作策略參考依據之一。
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    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    91932717
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0919327171
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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