臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：台灣市場隱含波動率指標之資訊內涵探究
作者：袁淑芳 引用關係
作者(外文)：Shu-fang Yuan
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：李進生
邱忠榮
學位類別：博士
出版日期：2008
主題關鍵詞：VXO；波動率指標；槓桿效果；展望理論；擇時指標；VXO；Implied Volatility；Leverage Effect；Prospect Theory；Timing Index
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:46
本文目的在根據隱含波動率與市場報酬的變動特性，分析波動率指標的資訊內涵。首先在隱含波動率的建構上，本文參考CBOE計算VXO的邏輯，以台股選擇權的隱含波動率建構台灣市場的波動率指標。然而基於考慮現貨市場在套利機制的先天限制，本文建議以台股期貨指數取代現貨市場指數，應用在反推隱含波動率的過程。接著，再考慮台灣市場買、賣權隱含波動率差異較大的特性，分別計算買權、賣權的波動率指標。同時再將估計期間納入判斷最適隱含波動率指標的因子。
在隱含波動率與市場報酬變動關係的分析上，本文發現隱含波動率除了得做為市場波動率的估計值外，至少具有二個資訊內涵。第一、隱含波動率指標與同期現貨市場報酬形成如傾倒S型的函數。過去文獻普遍以「槓桿效果」假說解釋。然而近年大量文獻質疑「槓桿效果」假說不能完全解釋波動率與報酬的變動關係。據此，本文試圖以「展望理論」論述的投資人決策行為特性提供另一種解釋，推論投資人決策特性與波動率指標的變動特性有關。實證結果顯示，Taifex’s VXO除了具有反映投資人避險交易特性的資訊內涵，亦傳達其它非避險目的交易決策特性。第二、延續隱含波動率具傳達投資情緒的推論，將此資訊內涵應用在以隱含波動做為判斷未來指數價格變動的擇時指標。本文藉由隱含波動率指標與領先期的指數報酬的分量迴歸式分析及模擬交易策略的設計，證明Taifex’s VXO與CBOE’s VXO相同，皆具有反映市場異常交易的訊息，得做為判斷市場短期價格的擇時指標。
而在建構隱含波動率的因子對隱含波動率在傳遞市場訊息良寙的影響。本文發現估計期間22天的隱含波動率在傳達市場訊息的能力表現相對較佳，特別是在擇時的應用上尤其明顯。此外，實證結果顯示賣權隱含波動率無論在反映投資人交易決策特性或在擇時表現上，皆顯著優於其它契約建構的隱含波動率指標，本文歸究此現象在於賣權的資訊內涵往往具支配買權的結果。
This article aims to investigate the information contents contained in the volatility index for Taiwan stock markets. In construcing the volatility index, this article proposes a procedure to build up the volatility index for Taiwan stock markets. We suggest an approach resembling the CBOE’s VXO which weights the implied volatilities of various index options. However, the volatility index in Taiwan should consider the difference in information contents between put implied volatility and call implied volatility.
According to the examination of the relationship of volatiliy index and the index price return, there are two main information contents contained in the volatility index. First, previous studies have looked at the relationship between volatility and return is asymmetric and non-linear, best described as a reclined downward sloping S-curve. A standard explanation ties the phenomenon to the hypothesis of “leverage effect”. However, it has been a puzzle in literatures due to numerous anomalies that call into question the “leverage effect” as explanation. This article documents that the behavioral peculiarities of the traders, which are defined by prospect theory, provide a potential explanation. Base on the hypothesis of “trader behavior effect” introduced in prospect theory, the implied volatility index is not only a risk perception but also provides the information of the unknown investors risk preference and investor behavior potentially. Secondly, we also assess the information contents of Taifex’s VXO in providng the relevant information as to whether the market index is going up or down since it reflects the market sentiment of fear. Results suggest the traders could make an economic profit by exploiting the timing information contained in the behavior of volatility index.
Historical data shows that the weighted put implied volatility with the forecasting horizon of 22 days is an appropriate volatility index for Taiwan market since it provides both relevant informations of sentimental measure and of timing for Taiwan stock market.
Aboura, S., and C. Villa, 2003. International Market Volatility Indexed-A Study on VX1, VDAX, and VXO, Working Paper.
Aitken, B., 1998. Have Institutional Investors Destabilized Emerging Markets?. Contemporary Economic Policy, 16, 173-84.
Andersen, T., T. Bollerslev, F. Diebold, and H. Ebens, 2001. The Distribution of Realized Stock Return Volatility. Journal of Financial Economics, 61, 43-76.
Becker, S., 1981. Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability. Journal of Banking and Finance, 5, 363-82.
Black, F., 1976. Studies of Stock Price Volatility Changes. American Statistical Association 1976 Proceedings of the Business and Economic Statistics Section, 177-181.
Blair, B., S. Poon, and S. Taylor, 2001. Forecasting S&P 100 Volatility: The Incremental Information Content of Implied atilities and High-Frequency Index Returns. Journal of Econometrics, 105, 5-26.
Bollen, N., and R. Whaley, 2004. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?, Journal of Finance, 59, 711-753.
Braun, P., D. Nelson and A. Sunier, 1995. Good News, Bad news, Volatility, and Betas. Journal of Finance, 50, 1575-1603.
Chang, E., J. Cheng and A. Khorana, 2000. An Examination of Herd Behavior in Equity Markets: An International Perspective. Journal of Banking and Finance, 24, 1651-1679.
Choi, S., and M. Wohar, 1992. Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets. Financial Review, 27, 503-530.
Chrias, D., and S. Manaster, 1978. The Information Content of Option Prices and a Test of Market Efficiency. Journal of Financial Economics, 6, 213-234.
Christensen, B. and N. Prabhala, 1998. The Relation between Implied and Realized Volatility. Journal of Financial Economics, 50, 125-150.
Christie, A., 1982. The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects. Journal of Financial Economics, 10, 407-432.
Christie, W. and R. Huang, 1995. Following the Pied Piper: Do Individual Returns Herd Around the Market?. Financial Analysts Journal, 51, 31-37.
Collver, C., 2003. Technically, Some Measures of Implied Volatility Do Provide Market Timing Signals,. Working Paper.
Connors, L., 1998. Connors on Advanced Trading Strategies, 1st ed., M. Gordon.
Connors, L., 1999. A Volatile Idea. Futures, Jul., 36-37.
Connors, L., 1999. Extreme Volatility Trading. Futures, Aug., 38-39.
Connors, L., 2002. Timing Your S&P Trades with VXO. Futures, Jun., 46-47.
Connors, L., and G. Che, 2001. Trading Connors VXO Reversals, 1st ed., M. Gordon.
Cox, J., and M. Rubinstein, 1985. Options Markets, 1st ed., New Jersey: Prentice Hall.
Cox, J., and S. Ross, 1976. The Valuation of Options for Alternative Stochastic Processes. Journal of Financial Economics, 3, 145-166.
Day, T., and C. Lewis, 1988. The Behavior of the Volatility Implicit in the Prices of Stock Index Options. Journal of Financial Economics, 22, 103-122.
Day, T., and C. Lewis, 1992. Stock Market Volatility and the Information Content of Stock Index Options. Journal of Econometrics, 52, 267-287.
Engle, R. and G. Lee, 1993. A Permanent and Transitory Component Model of Stock Return Volatility. Working Paper.
Engle, R. and V. Ng, 1993. Measuring and Testing the Impact of News on Volatility. Journal of Finance, 48, 1749-1778.
Engle, R., and J. Rosenberg, 1998. Testing the Volatility Term Structure Using Option Hedging Criteria. Department of Economics University of California, San Diego, Working Paper.
Figlewski, S. and X. Wang, 2002. Is the Leverage Effect a Leverage Effect?. Working Paper.
Fleming, J., 1998. The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices. Journal of Empirical Finance, 5, 317-345.
Fleming, J., B. Ostdiek, and R. Whaley, 1995. Predicting Stock Market Volatility: A New Measure. Journal of Futures Markets, 15, 265-286.
French, K., G. Schwert, and R. Stambaugh, 1987. Expected Stock Returns and Volatility. Journal of Financial Economics, 19, 3-29.
Gastineau, G., 1977. An Index of Listed Option Premiums. Financial Analysis Journal, 30, 70-75.
Giot, P., 2002a. Implied Volatility Indices as Leading Indicators of Stock Index Returns. Working Paper.
Giot, P., 2002b. The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk. Working Paper.
Giot, P., 2003. The Asian Financial Crisis: the Start of a Regime Switch in Volatility. Working Paper.
Giot, P., 2005. Relationships between Implied Volatility Indexes and Stock Index Returns. Journal of Portfolio Management, 31, 92-100.
Glosten, L., R. Jagannathan and D. Runkle, 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48, 1779-1801.
Gwilym, O., 2001. Forecasting Volatility for Options Pricing for the U.K. Stock Market. Journal of Financial Management and Analysis, 14, 55-62.
Gwilym, O., 2001. Forecasting Volatility for Options Pricing for the U.K. Stock Market. Journal of Financial Management and Analysis, 14, 56-62.
Harbaugh, R., 2003. Skill Signaling, Prospect Theory, and Regret Theory. Working Paper.
Harvey, C., and R. Whaley, 1992. Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market. Journal of Financial Economics, 31, 43-73.
Hsieh, W., C. Lee, and S. Yuan, 2006. The Constructuion of the Volatility Index for the Taiwan Stock Market: An Analysis of the Information Contents and Trading Strategies. Journal of Management and Systeems (In Chinese), 13, 471-497。
Jorion, P., 1995. Predicting Volatility in the Foreign Exchange Market. Journal of Finance,50, 507-528.
Kahneman, D. and A. Tversky, 1979. Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47, 263-29.
Kahneman, D. and M. Piepe, 1998. Aspects of Investor Psychology. Journal of Portfolio Management, 52-65.
Latane, H., and R. Rendleman, 1976. Standard Deviations of Stock Price Ratios
Implied in Optimal Prices. Journal of Finance, 31, 369-381.
Lintner, J., 1965. The Valuation of Risk Assets and the Selection of Risky
Investment in Stock Portfolios and Capital Budgets. Review of Economics and
Statistics, 47, 13-37.
Low, C., 2004. The Fear and Exuberance from Implied Volatility of S&P100 Index
Options. Journal of Business, 77, 527-546.
Maital, D., R. Filer and J. Simon, 1986. What Do People Bring to the Stock Market
Besides Money? Individual Attitudes and Stock Market Behavior. Handbook of
Behavioral Economics, Greenwich: JAI press.
Markowitz, H., 1952. Portfolio Selection. Journal of Finance, 7, 71-91.
Merton, R., 1973. Theory of Rational Option Pricing. Bell Journal of Economics
and Management Science, 4, 141-183.
Merville, L. and J. Macbeth, 1979. An Empirical Examination of the Black-Scholes
Call Option Pricing Model. Journal of Finance, 34, 1173-1186.
Moraux, F., P. Navatte and C. Villa, 1999. The Predictive Power of the French
Market Volatility Index: A Multi Horizons Study. European Finance Review, 2,
303-320.
Nelson, D. 1989. Modeling Stock Market Volatility Changes. Procedings of the 1989
Meetings of the American Statistical Association, Business and Economics Section,
93-98.
Nelson, D., 1991. Conditional Heteroskedasticity in Asset Returns: A New Approach.
Econometrica, 59, 347-370.
Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of
Finance, 53, 1775-1798.
Olsen, R., 1998. Behavioral Finance and Its Implications for Stock-Price Volatility.
Financial Analysis Journal, 10-18.
Pindyck, R., 1984. Risk, Inflation, and the Stock Market. American Economic
Review, 74, 335-51.
Poon S. and C. Granger, 2003. Forecasting Volatility in Financial Market: A Review.
Journal of Economic Literature, 41, 478-539.
Poterba, J., and L. Summers, 1986. The Persistence of volatility and Stock Market
Fluctuations. American Economic Review, 76, 1142-1151.
Poteshman, A., 2006. Unusual Option Market Activity and the Terrorist Attacks of
104
September 11. Journal of Business, 79, 1703-1726.
Richards, A., 1996. Volatility and Predictability in National Stock Markets: How Do
Emerging and Mature Market Differ? IMF Staff Papers, 43, 461-501.
Schmalensee, R. and R. Trippi, 1978. Common Stock Volatility Expectations
Implied by Option Prices. Journal of Finance, 33, 129-147.
Schwert, G., 1990. Stock Volatility and the Crash of ’87. Review of Financial Studies,
3, 77-101.
Sharpe, W., 1964. Capital Asset Prices: A Theory of Market Equilibrium under
Conditions of Risk. Journal of Finance, 19, 425-442.
Shefrin, H and M .Statman, 1985. The Disposition to Sell Winner Too Early and
Ride Losers Too Long: Theory and Evidence. Journal of Finance, 40, 777-790.
Shiller, R., 1984. Stock Prices and Social Dynamics. Brookings Paper on Economic
Activity, 2, 457-498.
Shleifer, A., 2000. Inefficient Market. Oxford: Oxford U. Press.
Summa, J., 2002. Forecasting Market Direction with Put/Call Ratios.
http://www.investopedia.com/.
Tan, K., 2002. Fixated on the VXO: Soaring Volatility Mean Fear – and Opportunity.
Barron’s, MW13.
Tauchen, G., H. Zhang and M. Liu, 1996. Volume, Volatility, and Leverage: A
Dynamic Analysis. Journal of Econometrics, 74, 177-208.
Thaler, R., 1980. Toward a Positive Theory of Consumer Choice. Journal of
Economic Behavior and Organization, 1, 39-60.
Thaler, R., 1985. Mental Accounting and Consumer Choice. Marketing Science, 4,
199-214.
Traub, H., L. Ferreira, M. Mcardle, and M. Antognelli, 2000. Fear and Greed in
Global Asset Allocation. The Journal of Investing, 27-31.
Whaley, R., 1986. Valuation of American Futures Options: Theory and Empirical
Tests. Journal of Finance, 10, 71-84.
Whaley, R., 1993. Derivatives on Market Volatility: Hedging Tools Long Overdue.
Journal of Derivatives, 71-84.
Whaley, R., 2000. The Investor Fear Gauge. The Journal of Portfolio Management,
12-17.
Whitelaw, R., 1994. Time Variations and Covariations in the Expectation and
Volatility of Stock Market Returns. Journal of Finance, 49, 515-541.
Xu, X., and S. Taylor, 1995. Conditional Volatility and the Informational Efficiency
of the PHLX Currency Options Market. Journal of Banking and Finance,19,
803-821.
Yadav, P. and P. Pope, 1994. Stock Index Futures Mispricing: Profit Opportunities or
Risk Premia?. Journal of Banking and Finance, 921-953.
Yuan, S. and C. Lee, 2007. The Property of Market Volatility Index on Taiwan
Market: Taifex’s VXO and Prospect Theory. Journal of Management (In Chinese),
24, 211-228.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關博士論文
 
無相關書籍
 
無相關著作
 
無相關點閱
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：799（臺灣：774，外國：25） ／ 本年度總使用人次：2459241 ／ 訪客人次（自102年09月）：68267252
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上