| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (作者) | 王真翔 | zh_TW |
| dc.creator (作者) | 王真翔 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 2009-09-14 | - |
| dc.date.available | 2009-09-14 | - |
| dc.date.issued (上傳時間) | 2009-09-14 | - |
| dc.identifier (其他 識別碼) | G0090357003 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30963 | - |
| 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) | 90357003 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 本研究嘗試探討股價指數期貨選擇權的資訊內涵，並與股價指數選擇權及歷史波動度的資訊內涵加以比較。我們的研究標的為2000年2月至2003年3月的S&P 500指數、指數選擇權及指數期貨選擇權，首先說明三個資料序列的敘述統計量，並使用單根檢定以確定資料序列為定態，符合迴歸分析的假設，再來探討原始隱含波動度的資訊內涵，然後嘗試以門檻自我迴歸模型修正隱含波動度，但檢定發現隱含波動度門檻效果並不存在，接下來以Christensen and Prabhala (1998)提出的工具變數修正隱含波動度，並探討修正後隱含波動度的資訊內涵，最後使用包含迴歸模型比較指數選擇權及指數期貨選擇權對指數的資訊內涵。得出結論如下： 1.指數選擇權與指數期貨選擇權隱含波動度均具有指數已實現波動度充分資訊，指數選擇權的資訊內涵較指數期貨選擇權為高。指數選擇權與指數期貨選擇權隱含波動度均無法作為已實現波動度的不偏估計量。歷史波動度沒有隱含波動度未包含的資訊。隱含波動度的衡量誤差並不存在。 2.指數選擇權與指數期貨選擇權隱含波動度門檻效果均不存在。前一期隱含波動度與當期隱含波動度並不顯著相關，歷史波動度與當期隱含波動度相關性較高，但使用上述兩種工具變數修正隱含波動度並不能增加對已實現波動度的解釋能力。 3.指數選擇權對指數的資訊較指數期貨選擇權為多，但指數選擇權與指數期貨選擇權隱含波動度均含有對方所缺乏的解釋能力，沒有一個隱含波動度完全包含另外一個隱含波動度的資訊。 | zh_TW |
| dc.description.tableofcontents | 第一章、 緒論----------------------------------------1 第一節、 研究動機與目的------------------------------1 第二節、 研究架構------------------------------------3 第二章、 理論與文獻探討------------------------------5 第一節、 理論基礎------------------------------------5 第二節、 文獻探討-----------------------------------10 第三節、 本論文與前述文獻之相關性-------------------23 第三章、 研究方法-----------------------------------25 第一節、 單根檢定-----------------------------------25 第二節、 工具變數-----------------------------------28 第三節、 門檻自我迴歸模型與檢定---------------------33 第四節、 包含迴歸-----------------------------------36 第四章、 實証結果-----------------------------------40 第一節、 資料來源與處理方法-------------------------40 第二節、 敘述統計量---------------------------------42 第三節、 單根檢定-----------------------------------43 第四節、 隱含波動度資訊內涵-------------------------48 第五節、 TAR效果探討與隱含波動度資訊內涵------------53 第六節、 指數選擇權與期貨選擇權資訊內涵之比較-------58 第五章、 結論與建議---------------------------------63 第一節、 結論---------------------------------------63 第二節、 研究限制與建議-----------------------------64 參考文獻--------------------------------------------65 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090357003 | en_US |
| dc.subject (關鍵詞) | 指數選擇權 | zh_TW |
| dc.subject (關鍵詞) | 指數期貨選擇權 | zh_TW |
| dc.subject (關鍵詞) | 隱含波動度 | zh_TW |
| dc.subject (關鍵詞) | 歷史波動度 | zh_TW |
| dc.subject (關鍵詞) | 門檻自我迴歸 | zh_TW |
| dc.subject (關鍵詞) | 包含迴歸 | zh_TW |
| dc.title (題名) | 指數選擇權與指數期貨選擇權資訊內涵之比較與探討 | zh_TW |
| dc.type (資料類型) | thesis | en |
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