| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 洪彥文 | zh_TW |
| dc.creator (作者) | 洪彥文 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:01:21 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:01:21 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:01:21 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094357018 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30992 | - |
| 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) | 94357018 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 台指選擇權契約自民國九十年底開始交易至今不過短短數年，成交量已迅速竄升至全球第三名。在如此大量的選擇權交易下，台指選擇權在台灣股市開盤前的交易是否隱含可以預測當日台股加權指數走勢的未公開資訊？或投資人僅是反映前一個交易日收盤後至當日開盤前所累積的已公開資訊？又或者是投資人僅依據雜訊 (noise)而交易？ 本研究以在台灣期貨交易所交易之台指選擇權契約做為研究標的，取每日開盤前15分鐘的交易資料、經計算處理後得到 ”選擇權交易量不平衡” (Option Volume Imbalance)為解釋變數，並嘗試加入虛擬變數與交互作用變數以提高模型解釋能力。檢驗結果顯示台指選擇權在開盤前的交易主要應是反映前一個交易日收盤後至當日所累積的已公開資訊、而並不具有能夠預測當日加權股價指數的未公開資訊。且台指選擇權對於台股加權指數報酬率的解釋能力並不因週一至週五不同的交易日而有所差異。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論…………………………………………………………. 1 第一節 研究背景與動機………………………………………….....1 第二節 研究目的…………………………………………...............2 第三節 研究架構與流程……………………………………….......3 第二章 文獻回顧……………………………………………………. 5 第一節 衍生性商品交易對標的資產的影響…………………….....5 第二節 衍生性商品的價格行為探討………………………….........6 第三章 研究方法………………………………………………….... 17 第一節 資料來源與處理..................................................................17 第二節 研究變數與模型建立……………………………..............20 第四章 實證結果…………………………………………………… 34 第一節 隔日報酬率…………………………………………..…....34 第二節 隔夜報酬率…………………………………………..…....39 第三節 日內報酬率…………………………………………..…....43 第五章 結論與建議………………………………………………… 46 第一節 研究結論……………………………………………..…....46 第二節 研究限制……………………………………………..…....48 第三節 後續研究建議………………………………………..…....49 參考文獻…………………………………………………………….. 50 附錄A 交互作用項 (Interactive term)說明……………………….... 54 附錄B 隔日報酬率實證結果 (非到期日樣本) ……………………. 55 附錄C 隔日報酬率實證結果 (近到期日樣本) ……………………. 67 附錄D 隔夜報酬率實證結果 (非到期日樣本) ……………………. 79 附錄E 隔夜報酬率實證結果 (近到期日樣本) ……………………. 91 附錄F 日內報酬率實證結果 (非到期日樣本) …………………… 103 附錄G 日內報酬率實證結果 (近到期日樣本) ……………………115 表 次 表 2-1 衍生性商品交易對標的資產的影響……………………………...12 表 2-2 衍生性商品的價格行為探討 -在同步交易情況下之價格行為………………………………….13 表 2-3 衍生性商品的價格行為探討 -在現貨市場交易時間外之價格行為………………………….....15 表 3-1 樣本期間內選擇權資料之統計特徵值…………………………....19 表 3-2(a) 樣本期間內買權選擇權交易量不平衡之統計特徵值…………..25 表 3-2(b) 樣本期間內賣權選擇權交易量不平衡之統計特徵值…………..25 表 3-2(c) 樣本期間內買權與賣權選擇權交易量不平衡之統計特徵值…..26 表 3-3 VIX 指數計算方式………………………………………………...30 表 B-1 選擇權交易量不平衡對台股報酬率解釋能力 (式3.3) …………55 表 B-2 (a) 加入牛市或熊市虛擬變數對台股報酬率解釋能力 (式3.4) ..57 表 B-2 (b) 加入週內交易日虛擬變數對台股報酬率解釋能力 (式3.5) ..59 表 B-3 加入波動度指數對台股報酬率的預測能力 (式3.7) ……………63 表 B-4 加入未平倉口數對台股報酬率的預測能力 (式3.8) ……………65 表 C-1 選擇權交易量不平衡對台股報酬率解釋能力 (式3.3) …………67 表 C-2 (a) 加入牛市或熊市虛擬變數對台股報酬率解釋能力 (式3.4) ...69 表 C-2 (b) 加入週內交易日虛擬變數對台股報酬率解釋能力 (式3.6) ..71 表 C-3 加入波動度指數對台股報酬率的預測能力 (式3.7) ……………75 表 C-4 加入未平倉口數對台股報酬率的預測能力 (式3.8) ……………77 表 D-1 選擇權交易量不平衡對台股報酬率解釋能力 (式3.3) …………79 表 D-2 (a) 加入牛市或熊市虛擬變數對台股報酬率解釋能力 (式3.4) ..81 表 D-2 (b) 加入週內交易日虛擬變數對台股報酬率解釋能力 (式3.5) ..83 表 D-3 加入波動度指數對台股報酬率的預測能力 (式3.7) ……………87 表 D-4 加入未平倉口數對台股報酬率的預測能力 (式3.8) ……………89 表 E-1 選擇權交易量不平衡對台股報酬率解釋能力 (式3.3) …………91 表 E-2 (a) 加入牛市或熊市虛擬變數對台股報酬率解釋能力 (式3.4) ...93 表 E-2 (b) 加入週內交易日虛擬變數對台股報酬率解釋能力 (式3.6) ..95 表 E-3 加入波動度指數對台股報酬率的預測能力 (式3.7) ……………99 表 E-4 加入未平倉口數對台股報酬率的預測能力 (式3.8) …………..101 表 F-1 選擇權交易量不平衡對台股報酬率解釋能力 (式3.3) ………...103 表 F-2 (a) 加入牛市或熊市虛擬變數對台股報酬率解釋能力 (式3.4) .105 表 F-2 (b) 加入週內交易日虛擬變數對台股報酬率解釋能力 (式3.5) .107 表 F-3 加入波動度指數對台股報酬率的預測能力 (式3.7) …………...111 表 F-4 加入未平倉口數對台股報酬率的預測能力 (式3.8) …………...113 表 G-1 選擇權交易量不平衡對台股報酬率解釋能力 (式3.3) ………..115 表 G-2 (a) 加入牛市或熊市虛擬變數對台股報酬率解釋能力 (式3.4) .117 表 G-2 (b) 加入週內交易日虛擬變數對台股報酬率解釋能力 (式3.6).119 表 G-3 加入波動度指數對台股報酬率的預測能力 (式3.7) …………..123 表 G-4 加入未平倉口數對台股報酬率的預測能力 (式3.8) …………..125 圖 次 圖 1-1 研究架構流程圖………………………………………………….... 4 圖 3-1 選擇權及股票交易時段劃分……………………………………...18 圖 3-2 台股加權指數報酬率定義………………………………………...22 圖 3-3 樣本期間內台股加權指數及本研究計算之VIX指數………........31 圖 3-4 樣本期間內台股加權指數及台指選擇權未平倉口數……….......33 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094357018 | en_US |
| dc.subject (關鍵詞) | 台指選擇權 | zh_TW |
| dc.subject (關鍵詞) | 資訊內涵 | zh_TW |
| dc.title (題名) | 台指選擇權盤前交易量不平衡的資訊內涵 | zh_TW |
| dc.type (資料類型) | thesis | en |
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