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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 30-Oct-2012 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.
參考文獻 1.Baker, M. and J. Wurgler, 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
2.Baker, M., and J. Wurgler, 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21, 129-151.
3.Black, F., 1976. Studies of Stock Price Volatility Changes. Proceeding of the American Statistical Association, Business and Economic Statistics Section, 177
-181.
4.Brandt, M.W., and Q. Kang, 2004. On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach. Journal of Financial Economics 72, 217-257.
5.Brown, 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal, 55, 82-90.
6.Campbell, J. Y., and L. Hentschel, 1992. No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, no. 3: 281-318.
7.DeLong, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990. Noise trader risk in financial markets. Journal of Political Economy 98, 703-738.
8.Dennis, P., S. Mayhew, and C. Stivers, 2006. Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analysis 41, 381-406.
9.Fleming, J., B. Ostdiek, R. Whaley, 1995. Predicting stock market volatility: A new measure. The Journal of Futures Markets 15, 265-302.
10.Giot, P., 2005. Relationships between implied volatility indexes and stock index returns. The Journal of Portfolio Management 31, No. 3: 92-100.
11.Glosten, L. R., 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.
12.Hibbert A. M., R. T. Daigler, and B. Dupoyet, 2008. A behavioral explanation for the negative asymmetric return-volatility relation, Journal of Banking & Finance 32, 2254-2266.
13.Lee, W. Y., C. X. Jiang, and D. C. Indro, 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.
14.Low, C., 2004. The fear and exuberance from implied volatility of S&P 100 index options. Journal of Business 77, 527-546.
15.Nelson, D.B., 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59, 347-370.
16.Wang, Y. H., A. Keswani, and J. S. J. Taylor, 2006. The relationships between sentiment, returns and volatility. International Journal of Forecasting 22, 109- 123.
17.Whitelaw, R.F., 1994. Time variations and covariations in the expectation and volatility of stock market returns. Journal of Finance 49, 515-541.
18.Yu J., and Y. Yuan, 2011. Investor sentiment and the mean–variance relation. Journal of Financial Economics 100, 367-381
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
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin K.en_US
dc.contributor.author (Authors) 張純菁zh_TW
dc.contributor.author (Authors) Chang, Chung Chingen_US
dc.creator (作者) 張純菁zh_TW
dc.creator (作者) Chang, Chung Chingen_US
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 13:59:35 (UTC+8)-
dc.date.available 30-Oct-2012 13:59:35 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 13:59:35 (UTC+8)-
dc.identifier (Other Identifiers) G0099357009en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54848-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 99357009zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (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.en_US
dc.description.tableofcontents Abstract…………………………………………………………………………………………………………………………IV
List of Tables……………………………………………………………………………………………………………V
Chapter 1. Introduction…………………………………………………………………………………1
1.1. Motivation of the study……………………………………………………………………1
1.2. Objective of the study………………………………………………………………………2
1.3. Chapter outlines………………………………………………………………………………………2
Chapter 2. Literature Review.…………………………………………………………………3
2.1. Empirical evidence on negative return-volatility relation……………………………………………………………………………………………………………………………3
2.2. The leverage and volatility feedback hypotheses………6
2.2.1. The leverage hypothesis………………………………………………………………6
2.2.2. The volatility feedback hypothesis…………………………………7
2.3. Empirical evidence about the impact of investor sentiment on return-volatility relation…………………………………………8
Chapter 3. Data Description and Research Methodology……………………………………………………………………………………………………………………10
3.1. Data and Variable Description………………………………………………………10
3.1.1. Sample period and index variable…………………………………………10
3.1.2. Investor sentiment index………………………………………………………………12
3.2. Methodology………………………………………………………………………………………………………13
3.3. Hypothesis…………………………………………………………………………………………………………15
Chapter 4. Empirical Results……………………………………………………………………17
4.1. Summary statistics of return, volatility and investor sentiment…………………………………………………………………………………………………………………………17
4.1.1. Daily summary statistics………………………………………………………………17
4.1.2. Weekly summary statistics……………………………………………………………17
4.2. Empirical result for daily data…………………………………………………18
4.2.1. Daily results of changes in VIX……………………………………………18
4.2.2. Daily results of changes in VXN……………………………………………19
4.2.3. Conclusions of daily results……………………………………………………20
4.3 Empirical result for weekly data…………………………………………………21
4.3.1. Weekly results of changes in VIX…………………………………………21
4.3.2. Weekly results of changes in VXN…………………………………………23
4.3.3. Conclusions of weekly results…………………………………………………23
Chapter 5. Conclusion………………………………………………………………………………………24
References………………………………………………………………………………………………………………………53		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357009en_US
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 隱含波動度zh_TW
dc.subject (關鍵詞) investor sentimenten_US
dc.subject (關鍵詞) implied volatilityen_US
dc.title (題名) Investor sentiment and the return-implied volatility relationen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1.Baker, M. and J. Wurgler, 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
2.Baker, M., and J. Wurgler, 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21, 129-151.
3.Black, F., 1976. Studies of Stock Price Volatility Changes. Proceeding of the American Statistical Association, Business and Economic Statistics Section, 177
-181.
4.Brandt, M.W., and Q. Kang, 2004. On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach. Journal of Financial Economics 72, 217-257.
5.Brown, 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal, 55, 82-90.
6.Campbell, J. Y., and L. Hentschel, 1992. No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, no. 3: 281-318.
7.DeLong, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990. Noise trader risk in financial markets. Journal of Political Economy 98, 703-738.
8.Dennis, P., S. Mayhew, and C. Stivers, 2006. Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analysis 41, 381-406.
9.Fleming, J., B. Ostdiek, R. Whaley, 1995. Predicting stock market volatility: A new measure. The Journal of Futures Markets 15, 265-302.
10.Giot, P., 2005. Relationships between implied volatility indexes and stock index returns. The Journal of Portfolio Management 31, No. 3: 92-100.
11.Glosten, L. R., 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.
12.Hibbert A. M., R. T. Daigler, and B. Dupoyet, 2008. A behavioral explanation for the negative asymmetric return-volatility relation, Journal of Banking & Finance 32, 2254-2266.
13.Lee, W. Y., C. X. Jiang, and D. C. Indro, 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26, 2277-2299.
14.Low, C., 2004. The fear and exuberance from implied volatility of S&P 100 index options. Journal of Business 77, 527-546.
15.Nelson, D.B., 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59, 347-370.
16.Wang, Y. H., A. Keswani, and J. S. J. Taylor, 2006. The relationships between sentiment, returns and volatility. International Journal of Forecasting 22, 109- 123.
17.Whitelaw, R.F., 1994. Time variations and covariations in the expectation and volatility of stock market returns. Journal of Finance 49, 515-541.
18.Yu J., and Y. Yuan, 2011. Investor sentiment and the mean–variance relation. Journal of Financial Economics 100, 367-381		zh_TW