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題名:臺指選擇權和股價指數之領先落後關係與投資組合保險需求之分析
書刊名:玄奘管理學報
作者:周恆志王功亮
作者(外文):Chou, Heng-ChihWang, David
出版日期:2007
卷期:5:1
頁次:頁1-26
主題關鍵詞:隱含波動率價差領先落後關係投資組合保險需求臺指選擇權Implied volatility spreadLead-lag relationshipDemand for portfolio insuranceTXO option
原始連結:連回原系統網址new window
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  • 共同引用共同引用:22
  • 點閱點閱:42
本文以隱含波動率價差探討台指選擇權市場的二個議題:首先是台指選擇權市場與其標的市場之間的領先落後關係,其次是分析交易者以台拍賣權建立投資組合保險部位的避險需求。實證結果發現台指選擇權價格變動含有股價指數報酬率的訊息,而且台指選擇權市場反應資訊的速度顯著領先股票市場一天。其次我們發現台指選擇權交易者對投資組合保險的需求並不高,並不習於長期持有台拍賣權以進行避險,只有在股價指數下跌之後憂心股市進一步下跌時,交易者方有較強的投資組合保險需求。
This article applies the measure of volatility spread, the difference between implied volatilities of puts and calls, to investigate two important issues of Taiwan index option (TXO): 1. the lead-lag relationship between the spot market and the options market 00 Taiwan Stock Index, and 2. investors’ demand for portfolio insurance by holding a position of put options. Empirical results show that the options market contains some information about the returns of spot market, and the options market leads the spot market as much as one day. Investors do not demand put options as expected and only demand more put options when they predict the stock index will further go downward.
期刊論文
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2.Ackert, L. F.、Tian, Y. S.(2001)。Efficiency in index options markets and trading in stock baskets。Journal of Banking & Finance,25,1607-1634。  new window
3.Jegadeesh, N.、Titman, S.(2002)。Cross-Sectional and Time-Series Determinants of Momentum Returns。Review of Financial Studies,15(1),143-157。  new window
4.Schoneburg, E.(1990)。Stock Price Prediction Using Neural Networks: A Project Report。Neurocomputing,2,17-27。  new window
5.Tavakkol, A.,(2000)。“Positive Feedback Trading in the Options Market,”。Quarterly Journal of Business and Economics,39,69-80。  new window
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13.Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of S&P 100 Index Options Market。Journal of Financial Economics,31(1),43-73。  new window
14.Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。  new window
15.Jegadeesh, Narasimhan、Titman, Sheridan(1995)。Overreaction, delayed reaction and contrarian profits。The Review of Financial Studies,8(4),973-993。  new window
16.莊益源、張鐘霖、王祝三(20030600)。波動率模型預測能力的比較--以臺指選擇權為例。臺灣金融財務季刊,4(2),41-63。new window  延伸查詢new window
17.周恆志、杜玉振(20050700)。臺指選擇權市場之套利效率。管理與系統,12(3),1-26。new window  延伸查詢new window
18.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
19.Chiang, Raymond、Fong, Wai-Ming(2001)。Relative informational efficiency of cash, futures, and options markets: the case of an emerging market。Journal of Banking and Finance,25(2),355-375。  new window
20.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
21.Chan, Kalok、Hameed, Allaudeen、Tong, Wilson(2000)。Profitability of Momentum Strategies in the International Equity Markets。Journal of Financial and Quantitative Analysis,35(2),153-172。  new window
22.Wiggins, J.(1987)。Option values under stochastic volatility: Theory and empirical estimates。Journal of Financial Economics,19,351-372。  new window
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研究報告
1.Boyle, P.、Byoun, S.、Park, H. Y.(1999)。Temporal price relation between stockand option markets and a bias of implied volatility in option prices。  new window
2.Poon, S-H.、P.F. Pope(1999)。Trading volatility spreads: A test of index option market efficiency。  new window
圖書
1.Wolff, K.(2001)。Trading on Momentum。  new window
 
 
 
 
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