English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51727763      Online Users : 438
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/98580


    Title: 台股指數現貨收盤價與台指選擇權賣方清算權益值變動率之關聯性研究
    The Study on the Return and Volatility Relationship between the Actuals Closing Price of Taiwan Stock Exchange and Seller Liquidation Value of Equity of the Taiwan Stock Exchange Option
    Authors: 張雅媛
    Chang, Ya Yuan
    Contributors: 鄭宇庭
    張雅媛
    Chang, Ya Yuan
    Keywords: 台指選擇權
    收盤價
    波動率
    變動率
    Date: 2016
    Issue Date: 2016-07-01 15:03:26 (UTC+8)
    Abstract: 選擇權(Option)是一種風險不對稱的衍生性商品,投資者若對價格看不漲或看不跌,可以選擇賣出選擇權,即賣出買權或賣出賣權,賣方最大的利得是權利金,可增加當前的收入,買權之賣方也可說是做空變動率,若標的物價格大幅變動,變動率會提高而使賣方不利,以價格大幅上漲來看,賣方可能被要求履約,這時賣方之獲利只有所獲得的權利金,賣方之損失可能無限,所以賣出買權的風險極高。
    為了確保選擇權賣方於未來買方要求履約時仍具有履約之能力,以及保障期貨商及期貨交易人之相對人之利益,針對選擇權賣方部位在逐日向收盤價對齊後之清算權益值的損益變化情形加以控管,避免投資者損失風險擴大,發生超額損失,造成違約,變成期貨商財務負擔。
    所以,在選擇權的交易市場上,投資者對於特定商品的未來趨勢的判斷,將是投資者是否可以在選擇權的市場上可以獲利與否的重要關鍵因子,畢竟對於特定商品的未來趨勢很難預測。因此,基於未來趨勢的判斷對選擇權的商品交易是相當重要的角度,本研究在考慮透過台股指數現貨收盤價與台指選擇權賣方清算權益值的變動關聯的探討,藉以瞭解台指選擇權賣方是否可以經由台股指數的收盤價變動,作為投資的參考依據。研究分析所得到的結論:
    一、台股指數現貨收盤價下跌會帶動台指選擇權賣方的投資意願;
    二、台指選擇權賣方在合約期間內有近七成的時間會倚重同時期台指收盤價的變動;
    三、台指選擇權賣方的清算權益值的最大漲幅是台指收盤價的最大漲幅的10倍;
    四、收盤價與權益值之波動率關係存在著高度相關性。
    Reference: 一、中文文獻
    1.方艦騏,2013,台指選擇權短天期契約價差交易績效之探討,淡江大學財務金融學系碩士在職專班碩士論文。
    2.王永安,2015,台指選擇權賣出交易策略實證分析,國立高雄應用科技大學金融系金融資訊碩士班碩士論文。
    3.王瑞瓊,2006,臺指選擇波動性指數之編製與預測能力分析,銘傳大學財務金融研究所碩士論文。
    4.向上,2014,週選擇權對波動率指數的影響極其信息內容,國立清華大學計量財務金融學系碩士論文。
    5.余遠鈞,2014,台指近月選擇權時間價值之實證研究,長庚大學商管專業學院碩士學位學程在職專班碩士論文。
    6.吳淑妃,現代統計學,台北:華泰書局,民國103年。
    7.李孟萩,2015,掩護性買權策略之績效分析-以台股期貨及台指選擇權為例,國立臺北商業大學財務金融研究所碩士論文。
    8.林士權,2004,臺指選擇權隱含波動性與選擇權內生參數與外生參數之關聯性,南華大學財務管理研究所碩士論文。
    9.林宣君,2004,台灣集中交易市場個股行認購權證時間價值衰退現象探討,國立政治大學財務管理研究所碩士論文。
    10.林柔萍,2015,台指選擇權隱含波動度價差之交易策略探討,國立中央大學財務金融學系碩士論文。
    11.林敬偉,2014,台灣指數選擇權賣權隱含波動率研究與投資策略模擬,靜宜大學財務與計算數學系碩士論文。
    12.林暉翰,2012,台指選擇權時間價值最適策略研究,南台科技大學財務金融研究所碩士學位論文。
    13.林煜宗,2000,投資學,財團法人中華民國證券暨期貨市場發展基金會,頁481-482。
    14.邱富農,2016,我國衍生性金融商品業務監理現況之檢討-以銀行業為中心,國立政治大學法律科際整合研究所碩士論文。
    15.胡僑芸,2003,台指選擇權 VIX 指數之編制與交易策略分析,國立中山大學財務管理研究所碩士論文。
    16.徐瑞民,2011,柔性演算法在台指選擇權之投資操作運用,明新科技大學企業管理研究所碩士論文。
    17.張嘉純,2015,台指選擇權週型契約交易策略績效分析-以基本、價差與組合策略為例,國立高雄應用科技大學金融系金融資訊碩士在職專班碩士論文。
    18.郭玟秀、陳仁龍、邱永金,2010,臺指選擇權隱含波動率指標對真實波動率與指數報酬的資訊內涵之研究、創新與管理,第7卷第2期,頁127-146。
    19.陳宏瑋,2015,短天期台指選擇權報酬之探討,國立屏東科技大學財務金融研究所碩士論文。
    20.陳宛頤,2014,台指選擇權之波動率-以馬可夫轉換模型分析,國立政治大學國際經營與貿易研究所碩士論文。
    21.陳婉琦,2014,臺指週選擇權引入後對臺指選擇權及臺指期貨之替代互補效果與市場交易品質分析,國立中正大學企業管理研究所碩士論文。
    22.陳慶隆、林秀謙、盧鎮瑋,2014,衍生性金融商品使用程度對會計資訊價值攸關性之影響-避險與非避險使用動機之檢測、管理與系統,第2卷,第21期,頁329-361。
    23.黃建憲,2014,週台指選擇權上市對原台指選擇權的影響,國立高雄第一科技大學金融研究所碩士論文。
    24.楊懷慈,2008,台灣指數選擇權結算前最佳獲利策略之研究,銘傳大學財務金融學系碩士在職專班碩士論文。
    25.劉宏軒,2008,隱含波動率指數的資訊內涵與傳遞:台灣股價指數選擇權市場之實證研究,國立台北大學企業管理學系碩士論文。
    26.謝劍平,現代投資學:分析與管理,頁 39,2014 年 9 月 6 版。
    二、英文文獻
    1.Allayannis, G., Lel, U., and Miller, D. P., 2009, Corporate Governance and the Hedging Premium around the World, Working Paper, Darden Business School.
    2.Black, F. and M. S. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81. 637-659.
    3.Blair, B. J., S. Poon and S. J. Taylor, 2001, Forecasting S&P 100 Volatility: theIncremental Information Content of Implied Volatilities and High-FrequencyIndex Returns, Journal of Econometrics, Vol. 105, 5-26.
    4.Bollerslev, T.,1986, Generalized autoregressive conditional heteroscedasticity,Journal of Econometrics, 31(3), 307-327.
    5.Chaput, J. S. and Ederington, L.,2003, Option Spread and Combination Trading, Journal of Derivatives, Vol.10, 70-88.
    6.Chiras, D. P., and S. Manaster,1978, The information content of option prices and a test of market efficiency, Journal of Financial Economics, 6, 213-234.
    7.Chopra, N., J. Lakonishok, and J. Ritter ,1992,Measuring abnormal returns : Do stocks overreact? Journal of Financial Economics,31 ,235-268.
    8.Conrad, J., and Kaul, G., 1988, Time-Variation in Expected Returns,Journal of Business, 61, 409-425.
    9.Corrado, C. J., Su, T., 1996, SKEWNESS and KURTOSIS in S&P 500 index returns implied by option prices,Journal of Financial Research (19:2), 175-192.
    10.De Bondt, W. F. M. and Thaler, R., 1985,Does the stock market overreact? Journal of Finance, 40(3), 793–805.
    11.Engle, R. F., 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation,Econometric: Journal of the Econometric Society,50(4), 987-1007.
    12.Fama, E. F.,1965, The Behavior of Stock-Market Prices,Journal of Business, 38(1), 34-105.
    13.Fama, E.F. and French, K.R., 1998, Value versus growth: The new international evidence,Journal of Finance,53(6), 1975-1999.
    14.French, K. R., & Roll, R.,1986, Stock Return Variances: The Arrival of Information and the Reaction of Traders,Journal of Financial Economics, 17(1), 5-26.
    15.Gencay, R., 1996, Non-linear Prediction of Security Returns with Moving AverageRules, Journal of Forecasting, Vol.15, 165-174.
    16.Guay, W. and Kothari, S. P., 2003 , How Much Do Firms Hedge with Derivatives, Journal of Financial Economics, Vol. 70, No. 3, 423-461.
    17.Guay, W. R., 1999, The Impact of Derivatives on Firm Risk: An Empirical Examination of New Derivatives Users, Journal of Accounting & Economics, Vol. 26, No. 1-3, 319-351.
    18.Heston, S.,1993, A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies, Vol. 6, 327-343.
    19.Huang, J. Z. and L. Wu ,2004, Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes, Journal of Financial, Vol.59, 1405-1439.
    20.Hull, J., White, A.,1987, The pricing of option on assets with stochastic volatilities., Journal of Financial, Vol.42,281-300.
    21.Jegadeesh, N.,1990, Evidence of Predictable Behavior of Security Returns, Journal of Finance, 45(3), 81.
    22.Lehmann, B. N.,1990, Fads, Martingales, and Market Efficiency, Quarterly, Journal of Economics, 105(1),1-28.
    23.Lo, A. and Mackinlay, A.C., 1990, When are contrarian profits due to stock market overreaction?The Review of Financial studies, 175-208.
    24.Lo, A. W., &MacKinlay, A. C.,1988, Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, The Review of Financial Studies, 1(1), 41-66.
    25.Manaster, S., and R. Rendleman, Jr. ,1982, Option Prices as Predictors of Equilibrium Prices,Journal of Finance, Vol. 37, No. 4 (September): 1043-1057.
    26.Officer, R. R.,1973, The variability of the market factor of the New York Stock Exchange, Journal of Business, 46(3), 434-453.
    27.Russell Rhoads, 2014, Trading weekly options pricing characteristicsandshort-term trading strategies.
    28.Scott, L. O.,1987, Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application, Journal of Financial and Quantitative Analysis, Vol. 22, 419-437.
    29.Stein, E. M., and Stein, J. C.,1991, Stock Price Distribution with stochastic Volatility: An Analytic Approach, The Review of Financial Studies, Vol. 4, 727-752.
    30.Wang, Chou-Wen and Wu, Ting-Yi ,2011, Futures and futures options with basis risk:theoretical and empirical perspectives, Quantitative Finance, 11:3,477-85.
    31.Wiggins, J. D.,1987, Self-esteem, earned grades, and television viewing habits of students, School Counselor, 35, 128-133.
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    97932226
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097932226
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

    Files in This Item:

    File SizeFormat
    222601.pdf1328KbAdobe PDF2244View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback