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| Title: | 台指選擇權市場淨買壓假說之驗證 |
| Authors: | 李淳祥 |
| Contributors: | 杜化宇
黃文光
李淳祥 |
| Keywords: | 隱含波動率
淨買壓
價性
Implied Volatility
Net Buying Pressure
Moneyness |
| Date: | 2005 |
| Issue Date: | 2009-09-17 19:17:30 (UTC+8) |
| Abstract: | 這一篇文章主要的目的在於檢視 Bollen and Whaley (2004) 所提出來的淨買壓假說 (Net Buying Pressure Hypothesis) 在台指選擇權市場上是否一樣有相同的現象。
在本文的研究當中，我們也發現台指選擇權市場，較符合套利限制假說，包括落後一期的隱含波動率的變化和當期的隱含波動率的變化呈現負相關的現象以及價平選擇權的淨買壓對於價外的選擇權隱含波動率影響的程度較價外選擇權的淨買壓來的小。但是從淨買壓來看，其結果和S&P 500指數選擇權不同，因為台指選擇權的淨買壓，除了深度價外賣權以外，全部都是負數。
另外，本研究也將樣本資料區間中，另外分成總統大選前以及總統大選後這兩個階段來分析選擇權的淨買壓是否對於選擇權的隱含波動率變化仍然具有影響力，其結果發現在總統大選前，對買權來說，買權的市場行為符合套利限制假說。另外對賣權而言，在總統大選前，賣權的市場行為符合學習假說。在總統大選後，對買權而言，買權的市場行為改變為符合學習假說。而對賣權而言，在總統大選後，賣權的市場行為並沒有改變，仍然符合學習假說。
This paper mainly examines that whether the Net Buying Pressure Hypothesis which is issued by Bollen and Whaley (2004) fits the options market in Taiwan?
In this paper, we find that the options market in Taiwan supports the limits to arbitrage hypothesis. These phenomena include the changes of implied volatility with lag one is negative with the changes of implied volatility and the net buying pressure of the at-the-money options have less effect on the changes of the implied volatility in comparison with that of out-of-the-money options. But form the prospect of the net buying pressure, the result is different from that of the S&P 500 index options. This is because the net buying pressures in the options markets in Taiwan are all negative besides the deep-out-of-the-money put options.
Besides, this paper also analyzes that whether the net buying pressure in the options market will affect the changes of implied volatility of the options before the President election and after the President election. Our research finds that before the election, the market behaviors support the limits to arbitrate hypothesis for call options. But the market behaviors support the learning hypothesis for put options. After the election, the market behaviors support the learning hypothesis for call options. For put options, the results are the same, which support the learning hypothesis. |
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| Description: | 碩士
國立政治大學
財務管理研究所
93357020
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093357020 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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