| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 劉靜芬 | zh_TW |
| dc.contributor.author (Authors) | Liou, Jing Fen | en_US |
| dc.creator (作者) | 劉靜芬 | zh_TW |
| dc.creator (作者) | Liou, Jing Fen | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:02:34 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:02:34 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:02:34 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095357009 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31003 | - |
| 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) | 95357009 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本文主要探討股票選擇權的隱含波動率是否能夠有效反應公司的財務風險與違約風險，並使用Merton (1974)與Black and Scholes (1973)的選擇權評價模型推導出每日的負債權益比率，作為公司財務風險的代理變數；違約風險的代理變數則是使用Bandyopadhyay (2007)的風險中立違約機率與真實世界違約機率。首先，本文觀察到隱含波動率和股票報酬率之間的確存在負向關係，除此之外，也發現非系統隱含波動率與股票報酬率之間也有負向關係。進一步研究非系統隱含波動率是否能夠反應公司風險，結果顯示當公司的財務風險與違約風險增加時，非系統隱含波動率會上升。最後，本文比較非系統隱含波動率與GARCH模型的波動率對公司財務風險與違約風險的資訊內涵，並執行包圍檢定、工具變數兩階段迴歸分析與非包覆模型的檢定，發現非系統隱含波動率的資訊內涵無法包圍GARCH模型的波動率，但兩者的資訊內涵互相交集。 | zh_TW |
| dc.description.tableofcontents | 摘要------------------------------------ii 目錄------------------------------------iii 表目錄-----------------------------------iv 圖目錄------------------------------------v 第壹章 緒論--------------------------------1 第一節 研究背景----------------------------1 第二節 研究動機----------------------------2 第三節 研究目的與論文架構-------------------4 第貳章 文獻探討---------------------------5 第一節 現有的財務風險與違約風險衡量工具-----5 第二節 波動率與公司財務風險的關係-----------8 第三節 非系統波動率---------------------9 第四節 Black-Scholes-Merton(BSM)模型----11 第五節 波動率指數(Volatility Index; VIX)--14 第參章 研究方法---------------------------16 第一節 資料來源與整理----------------------16 第二節 非系統隱含波動率(Implied Idiosyncratic Volatility)---20 第三節 公司財務風險與違約風險代理變數-----------------------23 第肆章 實證結果------------------------------------30 第一節 非系統隱含波動率與股票報酬-------------------------30 第二節 非系統隱含波動率對財務風險與違約風險的反應---------38 第三節 非系統隱含波動率與GARCH模型----------------------49 第伍章 研究結論-------------------------------------75 參考文獻---------------------------------------77 附錄----------------------------------------------83 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095357009 | en_US |
| dc.subject (關鍵詞) | 隱含波動率 | zh_TW |
| dc.subject (關鍵詞) | 財務風險 | zh_TW |
| dc.subject (關鍵詞) | 違約風險 | zh_TW |
| dc.subject (關鍵詞) | Implied volatility | en_US |
| dc.subject (關鍵詞) | Financial risk | en_US |
| dc.subject (關鍵詞) | Default risk | en_US |
| dc.title (題名) | 是否個股選擇權隱含波動率包含公司財務與違約風險的資訊內涵？ | zh_TW |
| dc.type (資料類型) | thesis | en |
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