:::

詳目顯示

回上一頁
題名:臺指選擇權非同步交易時段之資訊內涵
書刊名:臺大管理論叢
作者:莊益源 引用關係賴靖宜 引用關係王雅晴薛愛潔
作者(外文):Chuang, I-yuanLai, Jing-yiWang, Ya-chingXue, Ai-jie
出版日期:2014
卷期:24:S1
頁次:頁1-27
主題關鍵詞:非同步交易指數選擇權隱含波動Nonsynchronous tradingIndex optionsImplied volatility
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(1) 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:1
  • 共同引用共同引用:4
  • 點閱點閱:21
透過臺指選擇權市場較現貨市場提早開盤與延後收盤的非同步交易時段資訊內涵的分析,可揭露來自策略交易者的額外交易訊息。本文假設非同步交易時段的資訊內涵隱藏於選擇權隱含波動率之中,實證結果發現,選擇權市場提早開盤時段的資訊內涵與現貨隔夜報酬有顯著的負向變動關係,表示資訊交易者面對選擇權市場的私有資訊可能採取負面看法,於現貨市場開盤時操作而造成隨後開盤的現貨價格(隔夜報酬)下跌;該時段的資訊內涵會持續影響現貨市場開盤後的表現至少15分鐘,但隨交易時間遞延其影響幅度及顯著性皆會逐漸下降。而前一交易日現貨市場收盤後的選擇權資訊內涵與現貨市場報酬則無顯著關聯。
The study investigates whether the extension of trading hours for Taiwan Stock Index Options contains information about the dynamics of future spot returns. Assuming that useful information is retrievable from the option-implied volatility, we found that the information content from the pre-open options trading is significantly negative related to the overnight returns in the spot market. This implies that a lower overnight spot return is expected because informed traders might react negatively to such private information from pre-open options trading. The pre-open option trades also contain useful information in explaining subsequent spot returns up to 15 minutes during the trading day, while the size and significance of the impacts decrease as the trade continues. No significant relationship is evident between information content in post-close options trading and spot returns on the following trading day.
期刊論文
1.Whaley, Robert E.(1982)。Valuation of American Call Options on Dividend-Paying Stocks: Empirical Tests。Journal of Financial Economics,10(1),29-58。  new window
2.莊益源、蔡宗閔、賴振耀(20090700)。波動率模型之預測、評價與避險--以臺指選擇權為例。證券市場發展,21(2)=82,69-118。new window  延伸查詢new window
3.Ap Gwilym, O.、Buckle, M.(1997)。Forward-forward volatilities and the term structure of implied volatility。Applied Economics Letters,4(5),325-328。  new window
4.Foster, F.、Viswanathan, S.(1990)。A theory of the interday variation in volume, variance, and trading costs in securities markets。Review of Financial Studies,3(4),593-624。  new window
5.Ho, R. Y. K.、Lee, R. S. K.(1998)。Market closure effects on return, volatility, and turnover patterns in the Hong Kong index futures market。Journal of International Financial Markets, Institutions and Money,8(3),433-451。  new window
6.Cheng, L. T. W.、Jiang, L.、Ng, R. W. Y.(2004)。Information Content of Extended Trading for Index Futures。Journal of Futures Markets,24(9),861-886。  new window
7.Davidson, W. N.、Kim, J. K.、Ors, E.、Szakmary, A.(2001)。Using Implied Volatility on Options to Measure the Relation Between Asset Returns and Variability。Journal of Banking and Finance,25(7),1245-1269。  new window
8.Hiraki, T.、Maberly, E. D.、Akezawa, N. T.(1995)。The Information Content of End-of-the-Day Index Futures Returns: International Evidence form the Osaka Nikkei 225 Futures Contract。Journal of Banking and Finance,19(5),921-936。  new window
9.Rubinstein, M.(1976)。Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, through August 31, 1978。Journal of Finance,40(2),455-480。  new window
10.Simon, D. P.(1997)。Implied Volatility Asymmetries in Treasury Bond Futures Options。The Journal of Futures Markets,17(8),873-885。  new window
11.Chan, K. C.、Cheng, L. T. W.、Lung, P. P.(2003)。Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI option。Pacific-Basin Finance Journal,11(4),527-553。  new window
12.Rendleman, Richard J. Jr.、Latane, Henry A.(1976)。Standard Deviations of Stock Price Ratios Implied in Option Prices。The Journal of Finance,31(2),369-382。  new window
13.Beckers, S.(1981)。Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5(3),363-382。  new window
14.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1995)。Predicting Stock Market Volatility: A New Measure。Journal of Futures Markets,15(3),265-302。  new window
15.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
16.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
17.Lauterbach, Beni、Schultz, Paul(1990)。Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives。Journal of Finance,45(4),1181-1209。  new window
18.Chiras, Donald P.、Manaster, Steven(1978)。The Information Content of Option Prices and a Test of Market Efficiency。Journal of Financial Economics,6(2/3),213-234。  new window
19.郭維裕、陳威光、陳鴻隆、林信助(20091100)。動態隱含波動度模型:以臺指選擇權為例。期貨與選擇權學刊,2(2),47-89。new window  延伸查詢new window
20.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
21.Chang, Eric C.、Jain, Prem C.、Locke, Peter R.(1995)。Standard & Poor's 500 index futures volatility and price changes around the New York Stock Exchange close。Journal of Business,68(1),61-84。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE