政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6133
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51036984      線上人數 : 984
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/6133


    題名: 市場衝擊對匯率波動之不對稱影響與其反轉特性：選擇權市場的證據與其意涵
    其他題名: Shocks, Volatility Asymmetries and Reversals in Foreign Exchanges Market: Evidence from the Currency Options
    作者: 杜化宇;陳盈之
    Tu,Anthony H.;Chen,Vivien
    貢獻者: 財管系
    關鍵詞: 波動度不對稱;波動度反轉
    VS-GARCH;volatility asymmetry;volatility reversal;VS-GARCH
    日期: 2006
    上傳時間: 2008-11-05 17:04:36 (UTC+8)
    摘要: 本文首先發現價格衝擊對於外匯波動度的影響存在不對稱與反轉的現象。當價格變動幅度很大時，負向衝擊比起正向衝擊對波動度的影響要較大;但是當價格變動幅度小時，影響程度會出現反轉(Reversal)，即正向衝擊比負向衝擊對波動度的影響較大，其次，本文定義“訊息衝擊”（以別於以往的“價格”衝擊）為由於選擇權交易活動的變動（如交易量）所造成的衝擊。使用四種外匯（英鎊、歐元、日圓及瑞士法郎）為實證對象，實證結果發現此訊息衝擊亦造成波動度不對稱效果及反轉的現象，與前述的價格衝擊效果是分別獨立存在的。此結果支持了Back(1993)的理論模型選擇權市場並非多餘的，其交易活動提供了更廣泛且有別於標的現貨市場的訊息來源。
    The sign- and volatility-switching GARCH (VS-GARCH) model, originally developed by Fornari and Mele (1997), not only allows an asymmetric reaction of the conditional volatility to the arrival of news, hut it also captures the "reversal" of the asymmetric reaction to news. As the news shock (price shock) is large, volatility is more responsive to negative than positive price changes (leverage effect). However, as the news shock is small, volatility is more responsive to positive than negative price changes. This article first finds empirical evidence supporting the VS-GARCH model in four foreign currencies: British Pound, ECU, Japanese Yen and Swiss Franc. Further, we define "information" shocks, which is one due to the movement of option trading activities. Empirical result indicates that information shocks also separately induced asymmetric response of conditional volatility and reversals. Our finding supports the theoretical model by Back (1993), in which options are not redundant.
    關聯: 台大管理論叢, 16(2), 131-159
    資料類型: article
    顯示於類別:[財務管理學系] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    131-159.pdf7873KbAdobe PDF2729檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋