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| 題名: | Investor sentiment and the return-implied volatility relation |
| 作者: | 張純菁
Chang, Chung Ching |
| 貢獻者: | 周冠男
Chou, Robin K.
張純菁
Chang, Chung Ching |
| 關鍵詞: | 投資人情緒
隱含波動度
investor sentiment
implied volatility |
| 日期: | 2011 |
| 上傳時間: | 2012-10-30 13:59:35 (UTC+8) |
| 摘要: | We examine how investor sentiment affects the changes in implied volatility, and discover investor sentiment has impact on the size of the changes in implied volatility through returns, especially when returns are negative. We examine the short-tern relation between the S&P 500 index returns and the changes of VIX from January 1990 to January 2011, and between the NASDAQ-100 index returns and the changes of VXN from February 2001 to January 2011 with proxy for beginning-of-period investor sentiment at both the daily and weekly level. We find that during high sentiment periods, the negative and asymmetric relation of return to changes in implied volatility can be mitigated significantly. When returns are segregated into positive and negative returns, investor sentiment has different impact on the size of changes in implied volatility. In negative returns, investors are more panic than in positive returns, but the panic can be mitigated significantly when investors are in high sentiment. Thus, sentiment can alter the risk attitude of investors and reduce their panic in the future, especially when market has negative performance. |
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| 描述: | 碩士
國立政治大學
財務管理研究所
99357009
100 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0099357009 |
| 資料類型: | thesis |
| 顯示於類別: | [財務管理學系] 學位論文
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