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    Title: 選擇權價格對期貨報酬的資訊內涵
    The information content of option prices on futures returns: Evidence from Taiwan Derivatives Market
    Authors: 施冠宇
    Shih, Guan-Yu
    Contributors: 陳威光
    羅秉政
    Chen, Wei‑Kuang
    Kendro Vincent
    施冠宇
    Shih, Guan-Yu
    Keywords: 期貨報酬
    具有方向性台灣VIX指標
    選擇權策略
    LASSO
    Ridge
    Futures Returns
    Directional Taiwan VIX
    Option Strategies
    LASSO Regression
    Ridge Regression
    Date: 2024
    Issue Date: 2024-03-01 12:34:35 (UTC+8)
    Abstract: 本研究採用了包括回歸分析、時間序列分析以及機器學習方法，深入探討了台灣衍生性商品市場中選擇權價格與期貨報酬之間的資訊內涵。首先就預測因子而言，研究結果顯示，具有方向性台灣VIX指標因子在預測能力上優於傳統的VIX恐慌指數和大多數選擇權策略因子。再來，雖然大部分的選擇權策略因子對於期貨報酬的預測能力不顯著，但是當它們與具方向性台灣VIX指標因子同時考量時，可以在多變量回歸模型中發揮綜效。
    此外就多變量回歸模型而言，Ridge的整體預測能力表現最為出色，因為透過降低模型複雜度，使模型能夠適應各個主要的多頭市場。LASSO雖然在整體的預測能力表現略遜一籌，但是在特定的極端市場情況，如空頭市場中的表現相對較佳。最後，在2012至2023年的樣本期間可以發現，使用部分的選擇權策略因子來對台灣股價指數期貨建構均值-變異數最佳化的投資組合，可以獲得較高的夏普值。
    This study employed various methods including regression analysis, time series analysis, and machine learning to deeply explore the information content of option prices on futures returns in the Taiwanese derivatives market. Firstly, regarding predictors, the results show that the Directional Taiwan VIX predictors has superior predictability compared to the traditional VIX and most option strategies predictors. Furthermore, although the majority of the option strategies predictors are not significantly predictive of futures returns, they demonstrate a synergistic effect in multivariate regression models when considered alongside the Directional Taiwan VIX predictors.
    In terms of multivariate regression models, Ridge regression demonstrates superior overall predictive capabilities, as it reduces model complexity, enabling the model to adapt to various major bull markets. Although LASSO regression slightly lags in overall predictive ability, it performs relatively better in certain extreme market conditions, such as bear markets. Finally, during the sample period from 2012 to 2023, it is observed that using certain option strategy predictors to construct a mean-variance optimized investment portfolio for Taiwan stock index futures can achieve a higher Sharpe ratio.
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    Description: 碩士
    國立政治大學
    金融學系
    111352019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111352019
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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