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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36936


    Title: 期望非系統波動的資訊內含與未來股票報酬之關係:個股選擇權的證據
    Authors: 黃怡寧
    Contributors: 杜化宇
    黃怡寧
    Keywords: 非系統隱含波動率
    Date: 2008
    Issue Date: 2009-09-18 20:12:42 (UTC+8)
    Abstract: 本文主要探討選擇權價格隱含的非系統波動率與未來股票報酬的關係，除使用迴歸作為計量模型外，考量波動度具有狀態轉換現象(regime switching)且存在不對稱性，因此也使用馬可夫狀態轉換模型(Markov-switching Model)作為計量模型，探討在高波動與低波動狀態，非系統隱含波動率與未來股票報酬關係。首先，本文觀察到市場波動率指數對於未來市場的波動度具有顯著的預測能力，且由LR檢定結果發現，市場波動率指數的預測能力在高波動與低波動時存在不對稱性，而個股選擇權的隱含波動率對於未來波動度也具有顯著預測能力，且存在不對稱關係。除此之外，也發現非系統隱含波動率不論在高波動或低波動狀態下，對於未來非系統波動率均具有預測能力；但歷史非系統波動僅在低波動狀態下對於未來非系統波動率具有預測能力。進一步研究期望非系統波動與風險溢酬的關係，結果顯示兩者之間存在顯著正向關係，且亦存在不對稱性。最後研究考量個別公司的特質後，期望非系統波動與未來股票報酬的關係，結果發現兩者之間無顯著關係存在。
    Reference: 一、 中文部分
    李宛柔，“波動率指數於真實波動率及指數報酬之相關研究”，中央大學企業管理研究所碩士論文，民國九十五年六月。
    黎明淵，“馬可夫轉換模型應用性與合用性探討”，政治大學國際貿易研究所博士論文，民國八十九年六月。
    劉靜芬，“是否個股選擇權隱含波動率包含公司財務與違約風險的資訊內涵?”，政治大學財務管理研究所碩士論文，民國九十七年八月。
    二、英文部分
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    Bali, Turan G., Nusret Cakici, Xuemin Yan, and Zhe Zhang, (2005) “Does Idiosyncratic Risk Really Matter?”, Journal of Finance, Vol. 60, 905-929.
    Banerjee, Prithviraj S., James S. Doran, and David R. Peterson, (2007) “Implied Volatility and Future Portfolio Returns”, Journal of Banking and Finance, Vol. 31, 3183-3199.
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    Cao, Charles, Fan Yu, and Zhaodong Zhong, (2007) “The Information Content of Option-Implied Volatility for Credit Default Swap Valuation.”, Working Paper.
    Clements, Michael P. and Hans-Martin Krolzig, (2002) “Can Oil Shocks Explain Asymmetries in the US Business Cycle?”, Empirical Economics, Vol. 27, 185-204.
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    Copeland, Maggie M. and Thomas E. Copeland, (1999) “Market Timing: Style and Size Rotation Using the VIX.”, Financial Analysts Journal, Vol. 55, 73-81.
    Dennis, Patrick, Stewart Mayhew,and Chris Stivers, (2006) “Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon.”, Journal of Financial and Quantitative Analysis, Vol. 41, 381-406..
    Diavatopoulos, Dean, James S. Doran, and David R. Peterson, (2008) “The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets.”, Journal of Futures Markets, Vol. 28, 1013-1039.
    Duan, Ying, Gang Hu, and R. David McLean, (2007) “Costly Arbitrage and idiosyncratic risk: Evidence from Short Sellers.”, Working Paper.
    Fama, Eugene F. and James D. MacBeth, (1973) “Risk, Return, and Equilibrium: Empirical tests.”, Journal of Political Economy, Vol. 81, 607-636.
    Fleming, Jeff (1998) “The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices.”, Journal of Empirical Finance, Vol. 5, 317-345.
    Fleming, Jeff, Barbara Ostdiek, and Robert E. Whaley, (1995) “Predicting Stock Market Volatility: A New Measure.”, Journal of Futures Markets, Vol. 15, 265-302.
    Fu, Fangjian (2009) “Idiosyncratic Risk and the Cross-Section of Expected Stock Returns.” , Journal of Financial Economics, Vol. 91, 24-37
    Giot, Pierre (2005) “Relationships between Implied Volatility Indexes and Stock Index Returns.”, Journal of Portfolio Management, Vol. 31, 92-100.
    Kearney, Colm and Valerio Poti, (2008) “Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area.”, European Financial Management, Vol. 14, 419-444.
    Traub, Heydon, Luis Ferreira, Maria McArdle, and Mauro Antognelli, (2000) “Fear and Greed in Global Asset Allocation.”, Journal of Investing, Vol. 9, 27-31.
    Whaley, R. (2000) “The Investor Fear Gauge.”, Journal of Portfolio Management, Vol. 26,12-17.
    Xu, Yexiao and Burton G. Malkiel, (2003) “Investigating the Behavior of Idiosyncratic Volatility.”, Journal of Business, Vol. 76, 613-644.
    Xu, Yexiao and Burton G. Malkiel, (2006) “Idiosyncratic Risk and Security Returns.”, Working Paper.
    Description: 碩士
    國立政治大學
    財務管理研究所
    96357012
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096357012
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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