English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 114399/145431 (79%)
Visitors : 53072926      Online Users : 451
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30994


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30994


    Title: 選擇權交易對於價格的影響：盤前、盤中與盤後有差異嗎？
    Authors: 陳麟隴
    Contributors: 杜化宇
    陳麟隴
    Keywords: 期貨報價
    選擇權成交量
    日內資料
    一般化自我相關條件異質變異模型
    Date: 2006
    Issue Date: 2009-09-14 09:01:34 (UTC+8)
    Abstract: 本研究主要是探討選擇權成交量與期貨價格變動之關係，檢定Schlag and Stoll (2005) 的三個假說：完全效率市場假說（perfect market hypothesis）、資訊假說（information hypothesis）及流動性假說（liquidity hypothesis）。採用2005年一整年期貨與選擇權之日內資料，將同一日內樣本資料區分成盤前、盤中與盤後三個交易時段，另外亦將同一週內區分成不同交易日（週一至週五），藉由一般化自我相關條件異質變異模型(GARCH)，得出下列三個實證結果：
    1. 日內未區分交易時段下，拒絕完全效率市場假說及資訊假說，淨買權或是正向選擇權成交量對於期貨價格有正向之影響，淨賣權或是負向選擇權成交量對於期貨價格則有負向之影響，且選擇權成交量對於期貨價格變動之同步價格效果在接下來的六分鐘內反轉。無法拒絕流動性假說。
    2. 日內區分交易時段、但週內不區分不同交易日下，無論盤前、盤中及盤後，皆拒絕完全效率市場假說及資訊假說，而不拒絕流動性假說。
    3. 日內區分交易時段、且週內區分不同交易日下，週內各交易日盤前與盤中時段，皆拒絕完全效率市場及資訊假說，而無法拒絕流動性假說；而週內盤後時段結果則相對複雜，值得進一步討論。
    Reference: 中文部分（按作者筆畫姓名排列）
    1. 楊奕農，時間序列分析—經濟與財務上之應用，民國九十五年，雙葉書廊有限公司。
    2. 楊清芬，2001，”資訊交易機率之測度及其決定因素探討”，國立中山大學財務管理研究所碩士論文。
    3. 鍾惠民、吳壽山、周賓鳳、范懷文，財金計量，民國九十五年，雙葉書廊有限公司。
    英文部分（按作者姓氏字母排列）
    1. Admati, A. and Pfleiderer, P., 1988. “A theory of intraday patterns: volume and price variability”, Review of Financial Studies, Vol. 1, p3-40.
    2. Anthony, J., 1988. “The interrelation of stock and options market trading-volume data”, Journal of Finance, Vol. 43, p949-964.
    3. Black, F., 1975. “Fact and fantasy in the use of options”, Financial Analysts Journal, Vol. 31, p37-72.
    4. Bomfim, A. N., 2003. “Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market”, Journal of Banking and Finance, Vol. 27, p133-151.
    5. Cairney, T. and Swisher, J., 2004. “The role of the options market in the dissemination of private information”, Journal of Business Finance and Accounting, Vol. 31, p1015-1041.
    6. Chan, K., Chung, P. and Johnson, H., 1993. “Why options prices lag stock prices: a trading-based explanation”, Journal of Finance, Vol. 48, p1957-1968.
    7. Chan, K., Chung, Y. and Fong, W., 2002. “The information role of stock and option volume”, Review of Financial Studies, Vol. 15, p1049-1075.
    8. Chan, Y. C., 2005. “Who trades in the stock index futures market when the underlying cash market is not trading?”, Pacific-Basin Finance Journal, Vol. 13, p547-561.
    9. Chang, E. C., Jain, P. C. and Locke, P. R., 1995. “Standard & Poor’s 500 index futures volatility and price changes around the New York Stock Exchange close”, Journal of Business, Vol. 68, p61-84.
    10. Chang, M. H., Lin, T. Y., Huang, C. M. and Lin, Y., 2006. “Intraday trading patterns and day-of-the-week in stock index options markets: evidence from emerging markets”, Journal of Financial Management and Analysis, Vol. 19, p32-45.
    11. Easley, D., O’Hara, M. and Srinivas, P., 1998. “Option volume and stock prices: evidence on where informed traders trade”, Journal of Finance, Vol. 53, p431-466.
    12. Foster, F. D. and Viswanathan, S., 1990. “A theory of the interday variations in volume, variance, and trading costs in securities markets”, Review of Financial Studies, Vol. 3, p593-624.
    13. Kyle, A., 1985. “Continuous auctions and insider trading”, Econometrica, Vol. 53, p1315-1335.
    14. Manaster, S. and Rendleman, R., 1982. “Option prices as predictors of equilibrium stock prices”, Journal of Finance, Vol. 37, p1043-1057.
    15. Roll, R. A., 1984. “Simple implicit measure of the effective bid-ask spread in an efficient market”, Journal of Finance, Vol.39, p1127-1139.
    16. Schlag, C. and Stoll, H., 2005. “Price impacts of options volume”, Journal of Financial Markets, Vol. 8, p69-87.
    17. Stephan, J. and Whaley, R., 1990. “Intraday price changes and trading volume relations in the stock and stock option markets”, Journal of Finance, Vol. 45, p191-220.
    18. Vijh, A., 1990. “Liquidity of the CBOE equity options”, Journal of Finance, Vol. 45, p1157-1179.
    網站
    1. 台灣證券交易所 http://www.tse.com.tw/ch/
    2. 台灣期貨交易所 http://www.taifex.com.tw/chinese/home.htm
    Description: 碩士
    國立政治大學
    財務管理研究所
    94357021
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094357021
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2245View/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