| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 陳盈之 | zh_TW |
| dc.creator (作者) | 陳盈之 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:11:10 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:11:10 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:11:10 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090357018 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34035 | - |
| 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) | 90357018 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 一般研究外匯波動均以現貨的波動為主，但理論上衍生性金融商品由於成本低、市場限制較少，並且隱含波動度為「事前」波動度，隱含「預期」的意涵，因此衍生性金融商品的波動應該比現貨更能反映市場的資訊，市場資訊透過市場參與者的投資策略反映在市場，將會造成市場上的波動，且影響是不對稱和具有反轉現象的，所謂的「反轉」是指當價格變動幅度很大時，負向的價格變動比正向對波動度的影響要大，但當價格變動很小時，影響方向便會出現反轉 (reversal)，即小幅度的正向價格變動比負向價格變動對波動度的影響要大。本研究以英磅、歐元、日圓及瑞士法郎四種外匯選擇權作為研究標的，探討外匯波動是否具有不對稱效果以及不對稱效果是否因價格變動幅度而有反轉現象，並且發展類似double-threshold GARCH模型的VS-VOLUME-GARCH模型，在控制交易量變數後，檢視不對稱及反轉的現象是否有所改變。實證結果發現市場訊息對英磅、歐元、日圓與瑞士法郎波動具有不對稱效果與反轉，但是方向與影響程度剛好與一般股市波動相反，即小幅度正向價格變動對波動度的影響較負向小，大幅度的正向價格變動對波動度的影響較負向大，其次，交易量的確可以用來解釋波動度不對稱及反轉但是僅能解釋部份原因，並且由實證結果可知交易量的確可以減輕波動度不對稱及反轉的程度，另外，實證結果也指出交易量只是造成不對稱及反轉效果的一個原因，除了交易量之外應該還存在其它重要因素。 | zh_TW |
| dc.description.tableofcontents | 目錄第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 3 第三節 研究架構 5第二章 波動度不對稱之理論探討 7 第一節 波動度不對稱之現象 7 第二節 波動度不對稱與反轉之理論 9 第三節 選擇權隱含波動度不對稱之探討 17第三章 波動度模型文獻回顧 21 第一節 波動度模型 21 第二節 News Impact Curve與符號偏差檢定 27 第三節 非線性模型之估計方法 30第四章 研究方法 33 第一節 資料來源 33 第二節 變數與模型建立 35第五章 實證結果 43 第一節 樣本敘述 43 第二節 不對稱效果檢定 47 第三節 VS-GARCH模型實證結果 50 第四節 加入交易量後的VS-VOLUME-GARCH模型 61第六章 結論與研究限制 65 第一節 結論 65 第二節 研究限制 66參考文獻 67表目錄表 4-1 外匯選擇權契約規格與貨幣種類 33表4-2 樣本研究期間與樣本數 34表5-2 自我相關係數與常態檢定表 47表5-3 不對稱效果檢定表 49表5-5(a) VS-GARCH模型參數估計表 51表5-5(b) VS-GARCH模型參數估計表 52表5-6(a) VS-VOLUME-GARCH模型之係數估計表 63表5-6(b) VS-VOLUME-GARCH模型之係數估計表 64圖目錄圖1-1 研究架構流程圖 6圖4-1 GARCH模型與VS-GARCH模型之NIC圖 40圖5-1 標準化後英磅選擇權隱含波動度與標的價格走勢圖 44圖5-2 標準化後歐元選擇權隱含波動度與標的價格走勢圖 44圖5-3 標準化後日圓選擇權隱含波動度與標的價格走勢圖 45圖5-4 標準化後瑞士法郎選擇權隱含波動度與標的價格走勢圖 46圖5-5(a) 英磅選擇權之NIC(未標準化) 53圖5-5(b) 英磅選擇權之NIC(標準化) 54圖5-6(a) 歐元選擇權之NIC(未標準化) 54圖5-6(a) 歐元選擇權之NIC(未標準化) 55圖5-6(b) 歐元選擇權之NIC (標準化) 56圖5-7(a) 日圓選擇權之NIC(未標準化) 57圖5-7(b) 日圓選擇權之NIC(標準化) 58圖5-8(a) 瑞士法郎選擇權之NIC(未標準化) 59圖5-8(b) 瑞士法郎選擇權之NIC (標準化) 60 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090357018 | en_US |
| dc.subject (關鍵詞) | 波動度 | zh_TW |
| dc.subject (關鍵詞) | 外匯選擇權 | zh_TW |
| dc.subject (關鍵詞) | 不對稱效果 | zh_TW |
| dc.subject (關鍵詞) | 反轉效果 | zh_TW |
| dc.subject (關鍵詞) | VS-GARCH 模型 | zh_TW |
| dc.title (題名) | 市場訊息變動對外匯波動之不對稱影響與其反轉特性：選擇權市場的證據 | zh_TW |
| dc.type (資料類型) | thesis | en |
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