1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 基於外匯選擇權波動率風險溢酬之外匯交易策略
Foreign Exchange Trading Strategies Based on the Volatility Risk Premia of Currency Options
作者 黄崇佑
Huang, Chung-Yu
貢獻者 林建秀
Lin, Chien-Hsiu
黄崇佑
Huang, Chung-Yu
關鍵詞 外匯交易
貨幣超額報酬
外匯選擇權
隱含波動率
波動率差
波動率風險溢酬
Forex Trading
Currency Excess Returns
Currency Options
Implied Volatility
Volatility Spread
Volatility Risk Premia
日期 2024
上傳時間 1-Jul-2024 12:33:45 (UTC+8)
摘要 本研究探討基於外匯選擇權波動率風險溢酬（VRP）的投資策略有效性，並試圖找出與Corte et al. (2014) 使用的無模型隱含波動率不同，更簡單且易得的隱含波動率指標。資料涵蓋2010年10月18日至2023年10月18日，包括10個已開發國家和8個新興市場貨幣，以一年歷史波動率與價平隱含波動率建立VRP策略。結果顯示，未來一個月波動率風險溢酬較高的貨幣容易升值，較低的貨幣容易貶值，但這種關係並非在每個時期都存在，導致VRP策略表現受時期影響。市場恐慌造成的隱含波動率錯誤定價可能是使策略失效的主要原因。 在與Corte et al. (2014)的比較上，本研究的超額報酬不及文獻且在部分時期出現虧損。然而本研究仍證實不論樣本是否包含新興國家，VRP策略超額報酬來源始終來自於匯差預期而非利差。
This study investigates the effectiveness of an foreign exchange trading strategies based on the volatility risk premia (VRP) of currency options and attempts to identify a simpler and more accessible implied volatility measure compared to the model-free implied volatility used by Corte et al. (2014). The data covers the period from October 18, 2010, to October 18, 2023, including 10 developed countries and 8 emerging market currencies. The VRP strategy is established using one-year historical volatility and at-the-money implied volatility. The results show that currencies with higher volatility risk premiums tend to appreciate, while those with lower premiums tend to depreciate over the next month. However, this relationship does not hold in every period, causing the VRP strategy's performance to be period-dependent. Mispricing of implied volatility due to market panic is likely a key factor for the strategy's failure. In comparison with Corte et al. (2014), the excess returns of this study are lower and show losses in some periods. Nevertheless, this study confirms that the excess returns of the VRP strategy, regardless of the inclusion of emerging market currencies, are always derived from exchange rate returns rather than interest returns.
參考文獻 1. 中央銀行. (2023). 金融穩定報告(第17期). 台北市: 中央銀行. 2. 陳威光. (2019). 金融創新與商品個案. 新陸書局書局. 3. Atilgan, Y., Bali, T. G., & Demirtas, K. O. (2015). Implied volatility spreads and expected market returns. Journal of Business & Economic Statistics, 33(1), 87-101. 4. Bali, T. G., & Hovakimian, A. (2009). Volatility spreads and expected stock returns. Management Science, 55, 1797-1812. 5. Bank for International Settlements. (2022). OTC Derivatives Statistics at the end of November 2022. Basel: Bank for International Settlements. 6. Bank for International Settlements. (2022). Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets in 2022. Basel: Bank for International Settlements. 7. Beber, A., Buraschi, A., & Breedon, F. (2010). Differences in beliefs and currency risk premia. Journal of Financial Economics, 98, 415–438. 8. Bollerslev, T., & Zhou, H. (2006). Volatility puzzles: a simple framework for gauging return-volatility regressions. Journal of Econometrics, 131(1-2), 123-150. 9. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Annual Review of Financial Economics, 3, 511-535. 10. Czech, R., Della Corte, P., Huang, S., & Wang, T. (2022). "FX Option Volume." Bank of England Staff Working Paper No. 964. 11. Della Corte, P., Ramadorai, T., & Sarno, L. (2016). Volatility risk premia and exchange rate predictability. Journal of Financial Economics, 120, 21–40. 12. Fullwood, J., James, J., & Marsh, I. W. (2021). Volatility and the cross-section of returns on FX options. Journal of Financial Economics, 141(3), 1262–1284. 13. Garman, M. B., & Kohlhagen, S. W. (1983). Foreign currency option values. Journal of International Money and Finance, 2, 231-237. 14. Goyal, A., & Saretto, A. (2009). Cross-section of option returns and volatility. Journal of Financial Economics, 94, 310–326. 15. Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78, 311–339. 16. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48, 65–91. 17. Lustig, H., & Adrien, V. (2007). The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk. The American Economic Review, 97, 89-117. 18. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factors in Currency Markets. Review of Financial Studies, 24, 3731-3777. 19. Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign exchange markets? Journal of Financial and Quantitative Analysis, 38, 425–447.
描述 碩士
國立政治大學
金融學系
111352015
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111352015
資料類型 thesis
dc.contributor.advisor 林建秀zh_TW
dc.contributor.advisor Lin, Chien-Hsiuen_US
dc.contributor.author (Authors) 黄崇佑zh_TW
dc.contributor.author (Authors) Huang, Chung-Yuen_US
dc.creator (作者) 黄崇佑zh_TW
dc.creator (作者) Huang, Chung-Yuen_US
dc.date (日期) 2024en_US
dc.date.accessioned 1-Jul-2024 12:33:45 (UTC+8)-
dc.date.available 1-Jul-2024 12:33:45 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2024 12:33:45 (UTC+8)-
dc.identifier (Other Identifiers) G0111352015en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=171540-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 111352015zh_TW
dc.description.abstract (摘要) 本研究探討基於外匯選擇權波動率風險溢酬（VRP）的投資策略有效性，並試圖找出與Corte et al. (2014) 使用的無模型隱含波動率不同，更簡單且易得的隱含波動率指標。資料涵蓋2010年10月18日至2023年10月18日，包括10個已開發國家和8個新興市場貨幣，以一年歷史波動率與價平隱含波動率建立VRP策略。結果顯示，未來一個月波動率風險溢酬較高的貨幣容易升值，較低的貨幣容易貶值，但這種關係並非在每個時期都存在，導致VRP策略表現受時期影響。市場恐慌造成的隱含波動率錯誤定價可能是使策略失效的主要原因。 在與Corte et al. (2014)的比較上，本研究的超額報酬不及文獻且在部分時期出現虧損。然而本研究仍證實不論樣本是否包含新興國家，VRP策略超額報酬來源始終來自於匯差預期而非利差。zh_TW
dc.description.abstract (摘要) This study investigates the effectiveness of an foreign exchange trading strategies based on the volatility risk premia (VRP) of currency options and attempts to identify a simpler and more accessible implied volatility measure compared to the model-free implied volatility used by Corte et al. (2014). The data covers the period from October 18, 2010, to October 18, 2023, including 10 developed countries and 8 emerging market currencies. The VRP strategy is established using one-year historical volatility and at-the-money implied volatility. The results show that currencies with higher volatility risk premiums tend to appreciate, while those with lower premiums tend to depreciate over the next month. However, this relationship does not hold in every period, causing the VRP strategy's performance to be period-dependent. Mispricing of implied volatility due to market panic is likely a key factor for the strategy's failure. In comparison with Corte et al. (2014), the excess returns of this study are lower and show losses in some periods. Nevertheless, this study confirms that the excess returns of the VRP strategy, regardless of the inclusion of emerging market currencies, are always derived from exchange rate returns rather than interest returns.en_US
dc.description.tableofcontents 目 次 4 表 次 5 圖 次 6 第一章 緒論 7 第一節 研究背景及動機 7 第二節 研究目的 8 第三節 論文架構 8 第二章 文獻回顧 9 第一節 波動率差交易策略相關文獻 9 第二節 利差交易策略文獻回顧 11 第三節 動能交易策略文獻回顧 12 第三章 樣本選擇與研究方法 13 第一節 匯率資料 13 第二節 隱含波動率資料 13 第三節 外匯超額報酬計算方法 15 第四節 歷史波動率計算方法 16 第五節 波動率風險溢酬計算方式 16 第六節 VRP策略建構方法 17 第七節 利差策略及動能策略建構方法 18 第四章 實證結果及分析 19 第一節 敘述性統計 19 第二節 VRP交易策略 25 第三節 與其他策略比較 35 第五章 結論 43 參考文獻 45zh_TW
dc.format.extent 2473968 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352015en_US
dc.subject (關鍵詞) 外匯交易zh_TW
dc.subject (關鍵詞) 貨幣超額報酬zh_TW
dc.subject (關鍵詞) 外匯選擇權zh_TW
dc.subject (關鍵詞) 隱含波動率zh_TW
dc.subject (關鍵詞) 波動率差zh_TW
dc.subject (關鍵詞) 波動率風險溢酬zh_TW
dc.subject (關鍵詞) Forex Tradingen_US
dc.subject (關鍵詞) Currency Excess Returnsen_US
dc.subject (關鍵詞) Currency Optionsen_US
dc.subject (關鍵詞) Implied Volatilityen_US
dc.subject (關鍵詞) Volatility Spreaden_US
dc.subject (關鍵詞) Volatility Risk Premiaen_US
dc.title (題名) 基於外匯選擇權波動率風險溢酬之外匯交易策略zh_TW
dc.title (題名) Foreign Exchange Trading Strategies Based on the Volatility Risk Premia of Currency Optionsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 中央銀行. (2023). 金融穩定報告(第17期). 台北市: 中央銀行. 2. 陳威光. (2019). 金融創新與商品個案. 新陸書局書局. 3. Atilgan, Y., Bali, T. G., & Demirtas, K. O. (2015). Implied volatility spreads and expected market returns. Journal of Business & Economic Statistics, 33(1), 87-101. 4. Bali, T. G., & Hovakimian, A. (2009). Volatility spreads and expected stock returns. Management Science, 55, 1797-1812. 5. Bank for International Settlements. (2022). OTC Derivatives Statistics at the end of November 2022. Basel: Bank for International Settlements. 6. Bank for International Settlements. (2022). Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets in 2022. Basel: Bank for International Settlements. 7. Beber, A., Buraschi, A., & Breedon, F. (2010). Differences in beliefs and currency risk premia. Journal of Financial Economics, 98, 415–438. 8. Bollerslev, T., & Zhou, H. (2006). Volatility puzzles: a simple framework for gauging return-volatility regressions. Journal of Econometrics, 131(1-2), 123-150. 9. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Annual Review of Financial Economics, 3, 511-535. 10. Czech, R., Della Corte, P., Huang, S., & Wang, T. (2022). "FX Option Volume." Bank of England Staff Working Paper No. 964. 11. Della Corte, P., Ramadorai, T., & Sarno, L. (2016). Volatility risk premia and exchange rate predictability. Journal of Financial Economics, 120, 21–40. 12. Fullwood, J., James, J., & Marsh, I. W. (2021). Volatility and the cross-section of returns on FX options. Journal of Financial Economics, 141(3), 1262–1284. 13. Garman, M. B., & Kohlhagen, S. W. (1983). Foreign currency option values. Journal of International Money and Finance, 2, 231-237. 14. Goyal, A., & Saretto, A. (2009). Cross-section of option returns and volatility. Journal of Financial Economics, 94, 310–326. 15. Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78, 311–339. 16. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48, 65–91. 17. Lustig, H., & Adrien, V. (2007). The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk. The American Economic Review, 97, 89-117. 18. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factors in Currency Markets. Review of Financial Studies, 24, 3731-3777. 19. Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign exchange markets? Journal of Financial and Quantitative Analysis, 38, 425–447.zh_TW