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題名 臺指選擇權隱含波動度之資訊內涵
The Information Content of Implied Volatility on the Taiwan Stock Index Option Market作者 吳蕙吟
Wu, Hui-Yin貢獻者 岳夢蘭
吳蕙吟
Wu, Hui-Yin關鍵詞 隱含波動度
負向及不對稱關係
隱含波動度偏態
Implied volatility
Inverse and asymmetric relation
Implied volatility skew日期 2019 上傳時間 7-八月-2019 16:03:59 (UTC+8) 摘要 本研究主要探討於 2007年1月1日至2018年12月31日這段期間，臺指選擇權市場中不同價性的隱含波動度的資訊內涵，並檢驗隱含波動度的預測能力。首先，我們分析隱含波動度與臺灣加權股價指數之間是否存在同期負向及不對稱關係。實證結果顯示，臺灣新興市場中這兩者間亦存在同期負向及不對稱關係，且價外賣權的隱含波動度和臺灣加權股價指數報酬之間，負向及不對稱關係的現象更為明顯。之後，我們分析不同價性的隱含波動度對實現波動率的預測能力，結果顯示，價外賣權的隱含波動度比其他價性的隱含波動度具有更好的解釋能力。最後，本研究使用不同價性的隱含波動度，建構七種選擇權隱含波動度偏態指標，來探討隱含波動度偏態與臺灣加權股價指數報酬率之間的關係，以檢驗選擇權隱含波動度偏態的預測能力。本研究發現相較於其他偏態指標，價外選擇權隱含波動度偏態對臺灣加權股價指數報酬率具有顯著的預測能力。
This study investigates the information contents of implied volatilitywith different types of moneyness on the Taiwan stock index option market and examine the predictive power of implied volatility. First, we analyze the inverse and asymmetric contemporaneous relationshipbetween implied volatility and Taiwan stock index(TAIEX)return.The empirical evidences reveal a stronger persistence of asymmetry among out-the-money put optionsand TAIEX stock index. We next examine the implied-realizedvolatility relation toanalyzethe explanatoryability of differentmoneynessfor forecasting the volatilityof stock index return. We find that implied volatility of out-the-money put optionshas better explanatoryability than implied volatility other types of moneyness. Finally, we develop seven types of volatility skew measures derived from the implied volatility of the TAIEX options and use them to investigate the relationship between the implied volatility skew and return on TAIEX.We examine the predictive power of implied volatility skew andfind thatvolatility skew measuresderived fromout-the-money optionshave significant predictive power to TAIEX stock index return.參考文獻 Bali, T. G., & Hovakimian, A. (2009). Volatility spreads and expected stock returns.Management Science,55(11), 1797-1812.Baltussen, G., van der Grient, B., de Groot, W., Hennink, E., & Zhou, W. (2012). Exploiting option information in the equity market. Financial Analysts Journal, 68(4), 56-72.Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. The review of financial studies, 13(1), 1-42.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.Black, F. (1975). Fact and fantasy in the use of options. Financial Analysts Journal, 31(4), 36-41.Bollen, N. P., & Whaley, R. E. (2004). Does net buying pressure affect the shape of implied volatility functions?. The Journal of Finance, 59(2), 711-753.Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of financial Economics, 31(3), 281-318.Canina, L., & Figlewski, S. (1993). The informational content of implied volatility. The Review of Financial Studies, 6(3), 659-681.Chang, C. C., Hsieh, P. F., & Lai, H. N. (2009). Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. Journal of Banking & Finance, 33(4), 757-764.Christensen, B. J., & Prabhala, N. R. (1998). The relation between implied and realized volatility. Journal of financial economics, 50(2), 125-150.Christensen, B. J., & Hansen, C. S. (2002). New evidence on the implied-realized volatility relation. The European Journal of Finance, 8(2), 187-205.Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of financial Economics, 10(4), 407-432.Cremers, M., & Weinbaum, D. (2010). Deviations from put-call parity and stock return predictability. Journal of Financial and Quantitative Analysis, 45(2), 335-367.Day, T. E., & Lewis, C. M. (1992). Stock market volatility and the information content of stock index options. Journal of Econometrics, 52(1-2), 267-287.Dennis, P., Mayhew, S., & Stivers, C. (2006). Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon. Journal of Financial and Quantitative Analysis, 41(2), 381-406.Doran, J. S., & Krieger, K. (2010). Implications for asset returns in the implied volatility skew. Financial Analysts Journal, 66(1), 65-76.Dumas, B., Fleming, J., & Whaley, R. E. (1998). Implied volatility functions: Empirical tests. The Journal of Finance, 53(6), 2059-2106.Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265-302.French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3-29.Giot, P. (2005). Relationships between implied volatility indices and stock index returns. Journal of Portfolio Management, 31(3), 92-100.Harvey, C. R., & Whaley, R. E. (1991). S&P 100 index option volatility. The Journal of Finance, 46(4), 1551-1561.Harvey, C. R., & Whaley, R. E. (1992). Market volatility prediction and the efficiency of the S & P 100 index option market. Journal of Financial Economics, 31(1), 43-73.Hibbert, A. M., Daigler, R. T., & Dupoyet, B. (2008). A behavioral explanation for the negative asymmetric return–volatility relation. Journal of Banking & Finance, 32(10), 2254-2266.Lamoureux, C. G., & Lastrapes, W. D. (1993). Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities. The Review of Financial Studies, 6(2), 293-326.Low, C. (2004). The fear and exuberance from implied volatility of S&P 100 index options. The Journal of Business, 77(3), 527-546.Odean, T. (1998). Are investors reluctant to realize their losses?. The Journal of finance, 53(5), 1775-1798.Xing, Y., Zhang, X., & Zhao, R. (2010). What does the individual option volatility smirk tell us about future equity returns?. Journal of Financial and Quantitative Analysis, 45(3), 641-662.Whaley, R. E. (1993). Derivatives on market volatility: Hedging tools long overdue. The journal of Derivatives, 1(1), 71-84Whaley, R. E. (2000). The investor fear gauge. Journal of Portfolio Management, 26(3), 12.Whaley, R. E. (2009). Understanding the VIX. The Journal of Portfolio Management, 35(3), 98-105. 描述 碩士
國立政治大學
財務管理學系
106357014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357014 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.author (作者) 吳蕙吟 zh_TW dc.contributor.author (作者) Wu, Hui-Yin en_US dc.creator (作者) 吳蕙吟 zh_TW dc.creator (作者) Wu, Hui-Yin en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-八月-2019 16:03:59 (UTC+8) - dc.date.available 7-八月-2019 16:03:59 (UTC+8) - dc.date.issued (上傳時間) 7-八月-2019 16:03:59 (UTC+8) - dc.identifier (其他 識別碼) G0106357014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124695 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357014 zh_TW dc.description.abstract (摘要) 本研究主要探討於 2007年1月1日至2018年12月31日這段期間，臺指選擇權市場中不同價性的隱含波動度的資訊內涵，並檢驗隱含波動度的預測能力。首先，我們分析隱含波動度與臺灣加權股價指數之間是否存在同期負向及不對稱關係。實證結果顯示，臺灣新興市場中這兩者間亦存在同期負向及不對稱關係，且價外賣權的隱含波動度和臺灣加權股價指數報酬之間，負向及不對稱關係的現象更為明顯。之後，我們分析不同價性的隱含波動度對實現波動率的預測能力，結果顯示，價外賣權的隱含波動度比其他價性的隱含波動度具有更好的解釋能力。最後，本研究使用不同價性的隱含波動度，建構七種選擇權隱含波動度偏態指標，來探討隱含波動度偏態與臺灣加權股價指數報酬率之間的關係，以檢驗選擇權隱含波動度偏態的預測能力。本研究發現相較於其他偏態指標，價外選擇權隱含波動度偏態對臺灣加權股價指數報酬率具有顯著的預測能力。 zh_TW dc.description.abstract (摘要) This study investigates the information contents of implied volatilitywith different types of moneyness on the Taiwan stock index option market and examine the predictive power of implied volatility. First, we analyze the inverse and asymmetric contemporaneous relationshipbetween implied volatility and Taiwan stock index(TAIEX)return.The empirical evidences reveal a stronger persistence of asymmetry among out-the-money put optionsand TAIEX stock index. We next examine the implied-realizedvolatility relation toanalyzethe explanatoryability of differentmoneynessfor forecasting the volatilityof stock index return. We find that implied volatility of out-the-money put optionshas better explanatoryability than implied volatility other types of moneyness. Finally, we develop seven types of volatility skew measures derived from the implied volatility of the TAIEX options and use them to investigate the relationship between the implied volatility skew and return on TAIEX.We examine the predictive power of implied volatility skew andfind thatvolatility skew measuresderived fromout-the-money optionshave significant predictive power to TAIEX stock index return. en_US dc.description.tableofcontents 摘要 iAbstract ii第一章、緒論 1第一節、 研究背景 1第二節、研究動機 2第三節、研究目的 4第二章、文獻回顧 5第一節、隱含波動度與標的資產報酬率間之關係 5第二節、隱含波動度與實現波動率間之關係 7第三章、研究方法 9第一節、資料來源及樣本選取 9第二節、實現波動率計算及隱含波動度偏態指標衡量 9第二節、迴歸模型假設 14第四章、實證結果與分析 17第一節、敘述統計量 17第二節、實證結果 24第五章、結論與建議 42第一節、結論 42第二節、建議 43參考文獻 44 zh_TW dc.format.extent 1770243 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357014 en_US dc.subject (關鍵詞) 隱含波動度 zh_TW dc.subject (關鍵詞) 負向及不對稱關係 zh_TW dc.subject (關鍵詞) 隱含波動度偏態 zh_TW dc.subject (關鍵詞) Implied volatility en_US dc.subject (關鍵詞) Inverse and asymmetric relation en_US dc.subject (關鍵詞) Implied volatility skew en_US dc.title (題名) 臺指選擇權隱含波動度之資訊內涵 zh_TW dc.title (題名) The Information Content of Implied Volatility on the Taiwan Stock Index Option Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bali, T. G., & Hovakimian, A. (2009). Volatility spreads and expected stock returns.Management Science,55(11), 1797-1812.Baltussen, G., van der Grient, B., de Groot, W., Hennink, E., & Zhou, W. (2012). Exploiting option information in the equity market. Financial Analysts Journal, 68(4), 56-72.Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. The review of financial studies, 13(1), 1-42.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.Black, F. (1975). Fact and fantasy in the use of options. Financial Analysts Journal, 31(4), 36-41.Bollen, N. P., & Whaley, R. E. (2004). Does net buying pressure affect the shape of implied volatility functions?. The Journal of Finance, 59(2), 711-753.Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of financial Economics, 31(3), 281-318.Canina, L., & Figlewski, S. (1993). The informational content of implied volatility. The Review of Financial Studies, 6(3), 659-681.Chang, C. C., Hsieh, P. F., & Lai, H. N. (2009). Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. Journal of Banking & Finance, 33(4), 757-764.Christensen, B. J., & Prabhala, N. R. (1998). The relation between implied and realized volatility. Journal of financial economics, 50(2), 125-150.Christensen, B. J., & Hansen, C. S. (2002). New evidence on the implied-realized volatility relation. The European Journal of Finance, 8(2), 187-205.Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of financial Economics, 10(4), 407-432.Cremers, M., & Weinbaum, D. (2010). Deviations from put-call parity and stock return predictability. Journal of Financial and Quantitative Analysis, 45(2), 335-367.Day, T. E., & Lewis, C. M. (1992). Stock market volatility and the information content of stock index options. Journal of Econometrics, 52(1-2), 267-287.Dennis, P., Mayhew, S., & Stivers, C. (2006). Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon. Journal of Financial and Quantitative Analysis, 41(2), 381-406.Doran, J. S., & Krieger, K. (2010). Implications for asset returns in the implied volatility skew. Financial Analysts Journal, 66(1), 65-76.Dumas, B., Fleming, J., & Whaley, R. E. (1998). Implied volatility functions: Empirical tests. The Journal of Finance, 53(6), 2059-2106.Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265-302.French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3-29.Giot, P. (2005). Relationships between implied volatility indices and stock index returns. Journal of Portfolio Management, 31(3), 92-100.Harvey, C. R., & Whaley, R. E. (1991). S&P 100 index option volatility. The Journal of Finance, 46(4), 1551-1561.Harvey, C. R., & Whaley, R. E. (1992). Market volatility prediction and the efficiency of the S & P 100 index option market. Journal of Financial Economics, 31(1), 43-73.Hibbert, A. M., Daigler, R. T., & Dupoyet, B. (2008). A behavioral explanation for the negative asymmetric return–volatility relation. Journal of Banking & Finance, 32(10), 2254-2266.Lamoureux, C. G., & Lastrapes, W. D. (1993). Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities. The Review of Financial Studies, 6(2), 293-326.Low, C. (2004). The fear and exuberance from implied volatility of S&P 100 index options. The Journal of Business, 77(3), 527-546.Odean, T. (1998). Are investors reluctant to realize their losses?. The Journal of finance, 53(5), 1775-1798.Xing, Y., Zhang, X., & Zhao, R. (2010). What does the individual option volatility smirk tell us about future equity returns?. Journal of Financial and Quantitative Analysis, 45(3), 641-662.Whaley, R. E. (1993). Derivatives on market volatility: Hedging tools long overdue. The journal of Derivatives, 1(1), 71-84Whaley, R. E. (2000). The investor fear gauge. Journal of Portfolio Management, 26(3), 12.Whaley, R. E. (2009). Understanding the VIX. The Journal of Portfolio Management, 35(3), 98-105. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900492 en_US
