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政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 > Item 140.119/124695

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124695

Title:	臺指選擇權隱含波動度之資訊內涵 The Information Content of Implied Volatility on the Taiwan Stock Index Option Market
Authors:	吳蕙吟 Wu, Hui-Yin
Contributors:	岳夢蘭吳蕙吟 Wu, Hui-Yin
Keywords:	隱含波動度負向及不對稱關係隱含波動度偏態 Implied volatility Inverse and asymmetric relation Implied volatility skew
Date:	2019
Issue Date:	2019-08-07 16:03:59 (UTC+8)
Abstract:	本研究主要探討於 2007年1月1日至2018年12月31日這段期間，臺指選擇權市場中不同價性的隱含波動度的資訊內涵，並檢驗隱含波動度的預測能力。首先，我們分析隱含波動度與臺灣加權股價指數之間是否存在同期負向及不對稱關係。實證結果顯示，臺灣新興市場中這兩者間亦存在同期負向及不對稱關係，且價外賣權的隱含波動度和臺灣加權股價指數報酬之間，負向及不對稱關係的現象更為明顯。之後，我們分析不同價性的隱含波動度對實現波動率的預測能力，結果顯示，價外賣權的隱含波動度比其他價性的隱含波動度具有更好的解釋能力。最後，本研究使用不同價性的隱含波動度，建構七種選擇權隱含波動度偏態指標，來探討隱含波動度偏態與臺灣加權股價指數報酬率之間的關係，以檢驗選擇權隱含波動度偏態的預測能力。本研究發現相較於其他偏態指標，價外選擇權隱含波動度偏態對臺灣加權股價指數報酬率具有顯著的預測能力。 This study investigates the information contents of implied volatilitywith different types of moneyness on the Taiwan stock index option market and examine the predictive power of implied volatility. First, we analyze the inverse and asymmetric contemporaneous relationshipbetween implied volatility and Taiwan stock index(TAIEX)return.The empirical evidences reveal a stronger persistence of asymmetry among out-the-money put optionsand TAIEX stock index. We next examine the implied-realizedvolatility relation toanalyzethe explanatoryability of differentmoneynessfor forecasting the volatilityof stock index return. We find that implied volatility of out-the-money put optionshas better explanatoryability than implied volatility other types of moneyness. Finally, we develop seven types of volatility skew measures derived from the implied volatility of the TAIEX options and use them to investigate the relationship between the implied volatility skew and return on TAIEX.We examine the predictive power of implied volatility skew andfind thatvolatility skew measuresderived fromout-the-money optionshave significant predictive power to TAIEX stock index return.
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Description:	碩士國立政治大學財務管理學系 106357014
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0106357014
Data Type:	thesis
DOI:	10.6814/NCCU201900492
Appears in Collections:	[財務管理學系] 學位論文

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