政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34035
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113822/144841 (79%)
造访人次 : 51781498      在线人数 : 594
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34035


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34035


    题名: 市場訊息變動對外匯波動之不對稱影響與其反轉特性：選擇權市場的證據
    作者: 陳盈之
    贡献者: 杜化宇
    陳盈之
    关键词: 波動度
    外匯選擇權
    不對稱效果
    反轉效果
    VS-GARCH 模型
    日期: 2002
    上传时间: 2009-09-17 19:11:10 (UTC+8)
    摘要: 一般研究外匯波動均以現貨的波動為主，但理論上衍生性金融商品由於成本低、市場限制較少，並且隱含波動度為「事前」波動度，隱含「預期」的意涵，因此衍生性金融商品的波動應該比現貨更能反映市場的資訊，市場資訊透過市場參與者的投資策略反映在市場，將會造成市場上的波動，且影響是不對稱和具有反轉現象的，所謂的「反轉」是指當價格變動幅度很大時，負向的價格變動比正向對波動度的影響要大，但當價格變動很小時，影響方向便會出現反轉 (reversal)，即小幅度的正向價格變動比負向價格變動對波動度的影響要大。

    本研究以英磅、歐元、日圓及瑞士法郎四種外匯選擇權作為研究標的，探討外匯波動是否具有不對稱效果以及不對稱效果是否因價格變動幅度而有反轉現象，並且發展類似double-threshold GARCH模型的VS-VOLUME-GARCH模型，在控制交易量變數後，檢視不對稱及反轉的現象是否有所改變。實證結果發現市場訊息對英磅、歐元、日圓與瑞士法郎波動具有不對稱效果與反轉，但是方向與影響程度剛好與一般股市波動相反，即小幅度正向價格變動對波動度的影響較負向小，大幅度的正向價格變動對波動度的影響較負向大，其次，交易量的確可以用來解釋波動度不對稱及反轉但是僅能解釋部份原因，並且由實證結果可知交易量的確可以減輕波動度不對稱及反轉的程度，另外，實證結果也指出交易量只是造成不對稱及反轉效果的一個原因，除了交易量之外應該還存在其它重要因素。
    參考文獻: 參考文獻
    英文部份(依作者姓氏字母順序排列)
    1.Admati, A. R., and P. Pflerderer, (1988) “A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies, Vol.1, P1-40.
    2.Bessembinder, Hendrik and Paul J. Seguin, (1993) “Price Volatility, Trading Volume, and Market Depth: Evidence form Futures Markets”, Journal of financial and Quantitative Analysis, Vol.28, P21-39.
    3.Black, F., (1976) “Studies of Stock Price Volatility Changes”, Proceedings of the American Statistical Association, Business and Economics and Statistics Section, P177-181.
    4.Bollerslev, T., (1986) ”Generalized Autoregressive Conditional Heteroskeasticity”, Journal of Econometrics, Vol.31, P307-327.
    5.Campbell and Hentschel, (1992) ”No News is Good News”, Journal of Financial Economics, Vol.31, P281-318.
    6.Cheung, Y. W. and Ng, L.K., (1992) “Stock price dynamics and firm size: an empirical investigation”, Journal of Finance, Vol.48, P1985-1997.
    7.Christie, A., (1982) “The Stochastic Behavior of Common Stock Variances: Values, Leverage and Interest Rate Effects”, Journal of Financial Economics, Vol.10, P15-36.
    8.Clark, P.K., (1973) ”A Subordinated Stochastic Process Model with Finite Variances for Speculative Prices”, Economertrica, Vol.41, P135-155.
    9.Copeland, T.E., (1976)”A Model of Asset Trading Under the Assumptions of Sequential Information Arrival”, Journal of Finance, Vol.31, P1149-1168.
    10.Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, (1998) “Investor Psychology and Security Market Under- and Overreactions”, Journal of Finance, Vol.53, P1839-1886.
    11.Engle, R., (1982) “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation”, Econometrica, Vol.50, P987-1008.
    12.Engle Robert F. and Victor K. Ng, (1993) “Measuring and Testing the Impact of News on Volatility”, Journal of Finance, Vol.18, P1749-177.
    13.Epps, T.W., and M.L. Epps, (1976) ”The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis”, Economertrica, Vol.44, P305-325.
    14.Franses, P.H. and Dick Van Dijk, (2000) Nonlinear Time Series Models in Empirical Finance, Cambridge University Press
    Fornari, Fabio and Antonio Mele, (1997) ”Sign-And Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets”, Journal of Applied Econometrics, Vol.12, P49-65.
    15.French, K., G.W. Schwert, and R. Stambaugh, (1987) “Expected Stock Returns and Volatility”, Journal of Financial Economics, Vol.19, P3-29.
    16.Glosten, L., R. Jagannathan, and D. Rundle, (1993) ”On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance, Vol.48, P1779-1801.
    17.González-Rivera, Gloria, (1998) “Smooth Transition GARCH Models", Studies in Nonlinear Dynamics and Econometrics, Vol.3, P 61-78.
    18.Hong, Harrison, Terence Lim, and Jeremy C. Stein, (1999) ”The Unified Theory of Underreaction Momentum Trading and Overreaction in Asset Markets ”, Journal of Finance, Vol. 54, P2143-2184.
    19.Kim, Minho, (2003) "Implied Volatility Dynamics in the Foreign Exchange Markets", Working paper, Chonbuk National University
    20.Longin, F., and B. Solnik, (1995) “Is the correlation in international equity returns constant: 1960-1990? ”, Journal of International Money and Finance, Vol.14, P3-26.
    21.Longin Francois M., (1997) ”The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information”, Review of financial Studies, Vol.10, P837-869.
    22.Morse, D., (1981) ”Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination”, Journal of Accounting Research, Vol.19, P374-383.
    23.Nelson, D., (1990) “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, Vol.59, P347-370.
    24.Park, Tae H., Lorne N. Switzer and Robert Bedrossian, (1999) “The Interactions between trading volume and volatility: Evidence from the Equity Options markets”, Applied Financial Economics, Vol. 9, P 627-637.
    25.Rabemananjara R and J. M. Zakoian, (1993) ”Threshold Arch Models and Asymmetries in Volatility”, Journal of Applied Econometrics, Vol.8, P31-49.
    26.Rubinstein, M., (1994) ”Implied Binomial Trees”, Journal of Finance, Vol. 49, P 771-818.
    27.Schwert, G.W., (1989) “Why Does Stock Market Volatility Change Over Time？” Journal of Finance, Vol.44, P1115-1153.
    28.Schwert, G.W., (1990) “Stock Volatility and the Crash of 87”, Review of Financial Studies, Vol.3, P 77-102.
    29.Simon David P., (1997) ”Implied Volatility Asymmetries in Treasury Bond Futures Options”, Journal of Futures Markets, Vol.17, P873-885.
    30.Stoll, H. and Whaley, R., (1987) “Program Trading and Expiration Day Effects”, Financial Analysts Journal, Vol.43, P16-28.
    描述: 碩士
    國立政治大學
    財務管理研究所
    90357018
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090357018
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    35701801.pdf55KbAdobe PDF2748检视/开启
    35701802.pdf90KbAdobe PDF2852检视/开启
    35701803.pdf113KbAdobe PDF2876检视/开启
    35701804.pdf178KbAdobe PDF21752检视/开启
    35701805.pdf253KbAdobe PDF25822检视/开启
    35701806.pdf268KbAdobe PDF27042检视/开启
    35701807.pdf256KbAdobe PDF21487检视/开启
    35701808.pdf448KbAdobe PDF21154检视/开启
    35701809.pdf238KbAdobe PDF21388检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈