| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 徐雅慧 | zh_TW |
| dc.creator (作者) | 徐雅慧 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:03:37 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:03:37 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:03:37 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096357020 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31013 | - |
| 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) | 96357020 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本研究旨在探討信用違約交換市場與個股選擇權市場兩者的連動關係。研究發現，對於CDS價差，隱含波動率較歷史波動率有較佳的解釋能力。過去有文獻指出，CDS價差存在很明顯的狀態變換(Regime Switching)行為，故將前述使用的迴歸模型加入馬可夫轉換模型(Markov Switching Models)。結果發現，CDS價差與兩種波動率衡量方法間，無論是在經濟涵義上或統計上皆存在顯著的關係。然而，由於本研究使用的樣本期間裡，CDS價差面臨前所未有的劇烈波動，相較以往的研究結果有所出入，顯示當市場處在波動度過度放大的情形下，隱含波動率與CDS價差的關係將有所改變。接著，採用混合迴歸探討股票市場、選擇權市場與CDS市場的領先落後關係。得到的結果顯示，無論是CDS價差變動、隱含波動率變動或股票報酬率，各自的落後項、其他兩者變動及落後項均對之有顯著的解釋能力。此外，觀察各市場的殘差項如何影響其他市場後續的變化再次證實，CDS和選擇權市場彼此具有解釋能力。最後，從未來實現波動率和波動風險溢酬作為CDS價差解釋變數的迴歸結果可知，未來實現波動率較歷史波動率作為解釋變數來得顯著，可見良好的波動率估計值和CDS價差具有密切的關係。 | zh_TW |
| dc.description.tableofcontents | 摘要 1 目錄 2 表目錄 3 圖目錄 4 第壹章 緒論 5 第一節 研究背景 5 第二節 研究動機 7 第三節 研究目的與論文架構 8 第貳章 文獻探討 10 第一節 信用風險衡量工具 10 第二節 信用價差決定因素 11 第三節 選擇權隱含波動率與信用價差 13 第參章 研究資料與方法 14 第一節 資料來源 14 第二節 資料整理 17 第三節 馬可夫轉換模型(Markov Switching Models) 22 第肆章 實證結果 25 第一節 Benchmark Regressions 25 第二節 馬可夫轉換模型(Markov Switching Models) 31 第三節 股票、選擇權和CDS的領先落後關係(Lead-Lag Relation) 33 第四節 隱含波動率內含的波動風險溢酬（Volatility Risk Premium） 38 第五章 結論 42 參考文獻 44 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096357020 | en_US |
| dc.subject (關鍵詞) | 個股選擇權 | zh_TW |
| dc.subject (關鍵詞) | 隱含波動率 | zh_TW |
| dc.subject (關鍵詞) | 信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 領先落後關係 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫轉換 | zh_TW |
| dc.subject (關鍵詞) | Markov-Switching | en_US |
| dc.title (題名) | 個股選擇權隱含波動率是否包含信用違約交換合約的資訊內涵？ | zh_TW |
| dc.type (資料類型) | thesis | en |
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