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題名 台灣選舉事件與台指選擇權的資訊效率
作者 李明珏
Li, Ming-Chueh
貢獻者 杜化宇
李明珏
Li, Ming-Chueh
關鍵詞 選舉事件
指數選擇權
機率密度函數
風險中立密度
機率分配
波動率指數
對數常態混合法
Election Event
Index Options
Probability Density Function
Risk Neutral Density
Implied Distribution
Volatility Index
Lognormal Mixtures
日期 2005
上傳時間 17-Sep-2009 19:18:07 (UTC+8)
摘要 台灣特殊的兩黨對立政治環境及幾乎每年都會有的固定選舉，使得政治的不確定性深深的影響著國內的投資環境及投資人心態。本研究便是要探討，2002/1/1~2006/1/16 研究期間台灣的投資人在選舉前後的投資行為，是否真如大家所預期的，會受到台灣選舉事件的影響。
本研究首先利用適當的機率密度函數模型及選擇權市場資訊來導出隱含的風險中立密度值。再利用這些風險中立密度值，求出各個選舉事件相對應的機率分配圖形，並透過其機率分配圖形及波動率指數等統計值於投票日前後的變化來觀察某一選舉事件前後投資者的反應。
研究結果發現：1. 選舉事件的發生確實會影響投資者的心理，且投資者會透過選擇權市場有效率的反應預期的未來股價指數分佈情況。2. 越大型、越具爭議且全國性的選舉結果，其選舉期間機率分配圖形及波動率指數具有較高的波動性。3. 一般而言，選舉過後市場不確定因素降低，將使投資者對於股市的預期較為一致和樂觀。而若這個選舉結果使投資者感到意外，因而增加了市場的不確定性，則選後機率分配圖形及波動率指數的改變反而會更為明顯。4. 在此研究下對數常態混合法比傳統的 Black-Scholes 方法產生較低的誤差值，因此就實證的分析上能提供更好的配適。
This research examines the behavior of investors during election periods from January 1st 2002 to January 6th 2006 in Taiwan. The research includes a few steps. First, we adopted a proper probability density function composed of stock index options data to construct the implied distribution. Then, when changing the whole shape of the risk-neutral implied distribution, the volatility indexes, and the statistics of the implied distribution, we observed investors` response around a specific election event.
According to the empirical results, we found that: 1. An election event would influence investors’ behavior, and investors tend to reflect their expectation of future stock index in the option market in an efficient way. 2. The result of a large-scale and more disputed nationwide election will cause a higher fluctuation in both the implied distribution and the volatility index. 3. In general, the factor resulting from investors’ uncertainty of the market is likely to reduce after the election, which makes investors’ relatively unanimous and optimistic expectation of the stock market. However, if this election result surprises investors, their uncertainty of the market will increase, and thus the changes of the implied distribution and the volatility index become quite obvious. 4. The in-sample performance of the lognormal mixtures method employed in the research is considerably better than that of the traditional Black-Scholes model by having a lower root mean squared error.
參考文獻 一、 中文部份 (依作者姓名筆劃排列)
1. 于文燕，”政治選舉事件對股價報酬之影響”，南華大學財務管理研究所未出版碩士論文，民國九十四年六月。
2. 余致力，民意與公共決策—理論探討與實證研究，民國九十一年，五南出版。
3. 卓世傑，”台灣股市選舉行情之實證研究：1989-2004年”，國立成功大學政治經濟學研究所未出版碩士論文，民國九十三年六月。
4. 吳政義，”台灣總統大選期間過度自信的投資行為與股價關聯性之研究”，國立東華大學企業管理研究所未出版碩士論文，民國九十三年六月。
5. 胡學聖，”選舉議題與候選人支持度關聯性之研究—以2004 年總統大選TVBS 民調為例”，世新大學傳播管理學系研究所未出版碩士論文，民國九十四年六月。
6. 陳俊明，”民意調查與政黨的選舉競爭：電腦輔助電話訪問、焦點團體、深度訪談的運用”，行政管理學報，民國八十八年，第2期，127-144頁。
7. 陳尚樂，”政治選舉事件對股票市場之影響”，國立高雄第一科技大學金融營運研究所未出版碩士論文，民國九十二年六月。
8. 張宮熊，”台灣三大法人與一般投資人間資訊傳遞結構之研究—以選舉效應為例”，企銀季刊，民國九十一年七月，第24卷第1期，167-181頁。
9. 張智星，MATLAB 程式設計與應用，民國九十一年，清蔚科技出版。
10. 張玉花，”指數選擇權價格隱含混合對數常態機率分配之研究”，國立東吳大學企業管理研究所未出版碩士論文，民國九十一年六月。
11. 黃譯賢，”最高行政首長更迭與美股大崩盤對股票市場的影響─美、日、英、法的實證研究”，真理大學管理科學研究所未出版碩士論文，民國九十年六月。
12. 黃維本，”選舉事件對國家指數之影響”，國立高雄第一科技大學金融營運研究所未出版碩士論文，民國九十一年六月。
13. 鄭碧月，”台灣股市選舉效應之研究”，台南女子技術學院學報，民國八十七年六月，第17期，237-246頁。
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5. Ait-Sahalia Yacine, Yubo Wang, and Francis Yared, (2001), “Do option markets correctly price the probabilities of movement of the underlying asset?”Journal of Econometrics, 102, P67–110.
6. Anagnou, I., M. Bedendo, S. D. Hodges, and R. Tompkins (2002), “The relation between implied and realized probability density functions,” University of Warwick, UK.
7. Ané, T. (1999), “Pricing and hedging S&P 500 index options with Hermite polynomial approximation: empirical tests of Madan and Milne’s model,” Journal of Futures Markets, Vol. 19, P735-758.
8. Apariciao, S. D. and S. D. Hodges (1998), “Implied risk-neutral distributions: a comparison of estimation methods,” University of Warwick, UK.
9. Bahra, B. (1997), “Implied risk-neutral probability density functions from option prices: theory and application,” Bank of England, London.
10. Bates, D. S. (1991), “The crash of ´87: was it expected? The evidence from option markets,” Journal of Finance, Vol. 46, P1009-1044.
11. Bates, D. S. (1996a), “Dollar jump fears, 1984-1992: distributional abnormalities implicit in currency futures options,” Journal of International Money and Finance, Vol. 15, P65-93.
12. Bates, D. S. (1996b), “Jumps and stochastic volatility: exchange rate processes implicit in PHLX Deutschemark options,” Review of Financial Studies, Vol. 9, P69-107.
13. Bates, D. S. (2000), “Post-´87 crash fears in the S&P 500 futures option market,” Journal of Econometrics, Vol. 94, P181-238.
14. Berkowitz, Jeremy (2001), “Testing density forecasts, with applications to risk management,” Journal of Business and Economic Statistics, 19, P465-474.
15. Bliss, R. R. and N. Panigirtzoglou (2001), “Recovering risk aversion from options,” Working Paper, University of Georgia.
16. Bliss, R. R. and N. Panigirtzoglou (2002), “Testing the stability of implied probability density functions,” Journal of Banking and Finance, Vol. 26, P381-422.
17. Bliss, R. R. and N. Panigirtzoglou (2004), “Option-implied risk aversion estimates,” Journal of Finance, Vol. 59, No.1, P407-446.
18. Bookstaber, R. M. and J. B. McDonald (1987), “A general distribution for describing security price returns,” Journal of Business, Vol.60, P401-424.
19. Breeden, D. T. and R. H. Litzenberger (1978), “Prices of state-contingent claims implicit in option prices,” Journal of Business, Vol. 51, P621-651.
20. Brown, C. A. and D. M. Robinson (2002), “Skewness and kurtosis implied by option prices: a correction,” Journal of Financial Research, Vol. 25, P279-282.
21. Buchen, P. W. and M. Kelly (1996), “The maximum entropy distribution of an asset inferred from option prices,” Journal of Financial and Quantitative Analysis, Vol. 31, P143-159.
22. Campa, J. M., P. H. K. Chang, and R. L. Reider (1998), “Implied exchange rate distributions: evidence from OTC option markets,” Journal of International Money and Finance, Vol. 17, P117-160.
23. Campell, J. and Hentschell, L. (1992), “No news is good news: an asymmetric model of changing volatility in stock returns,” Journal of Financial Economics, Vol. 31, P281-318.
24. Corrado, C. J. and T. Su (1996), “Skewness and kurtosis in S&P 500 index returns implied by option prices,” Journal of Financial research, Vol. 19, P175-192.
25. Corrado, C. J. and T. Su (1997), “Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices,” Journal of Derivatives, Vol. 4, P8-19.
26. Coutant, S., E. Jondeau, and M. Rockinger (2001),”Reading PIBOR futures options smiles: the 1997 snap election,” Journal of Banking and Finance, Vol. 25, P1957-1987.
27. Downs, Anthony (1957), An Economic Theory of Democracy, New York: Harper and Row.
28. Eliezer, Z. Prisman (2000), Pricing Derivative Securities: An Interactive Dynamic Environment with Maple V and Matlab, Academic Press.
29. Fama, Eugene F. (1970), “Efficient capital markets: a review of theory and empirical work,” Journal of Finance, American Finance Association, vol. 25, No. 2, P 383-417.
30. Fiorina, Morris P. (1981), Retrospective Voting in American National Elections, New Haven: Yale University Press.
31. Fousseni Chabi-Yo, René Garcia, and Eric Renault ,(2005),” State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle”, Bank of Canada Working Paper.
32. Gemmill, G. (1992), “Political risk and market efficiency: tests based in British stock and options markets in the 1987 election,” Journal of Banking and Finance, Vol. 16, P211-231.
33. Gemmill, G. and Kamyiama, N. (2000), “International transmission of option volatility and skewness: When you’re smiling, does the whole world smile on you? Unpublished manuscript,” London: City University.
34. Gemmill, G. and Saflekos, A. (2000), “How useful are implied distributions? Evidence from stock-index options,” The Journal of Derivatives, Vol. 7, No. 3, P83-98.
35. Glatzer, E. and Scheicher, M. (2005), “What moves the tail? The determinants of the option-implied probability density function of the DAX index,” The Journal of Futures Markets, Vol. 25, No. 6, P515-536.
36. Hamilton, James D. (1994), Time Series Analysis, N.J.: Princeton University Press.
37. Hensel, C.R., Ziemba, W.T. (1995), “U.S. small and large capitalized stocks, bonds and cash returns during democratic and republican administrations, 1928-1993,” Financial Analysts Journal, Vol. 51, No. 2, P61-69.
38. Hördahl, P. (1999), “Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model,” Working paper, European Central Bank.
39. Hsieh, J. F., Lacy, D. and Niou, Emerson M.S. (1997), “Retrospective and prospective voting in a one-party-dominant democracy: Taiwan`s 1996 presidential election,” Working Papers in Taiwan Studies, American Political Science Association.
40. Hwang, Shiow-Duan (1994), “Economic conditions and voters` choices [in Chinese],” Soochow Journal of Political Science, Vol. 3, P97-123.
41. Jackwerth, J. C. and Rubinstein, M. (1998), “Implied probability distributions: empirical analysis,” Working Paper .
42. Jackwerth, J. C. and Rubinstein, M. (1996), “ Recovering probability distributions from option prices,” The Journal of Finance, Vol. 51, No. 5, P1611-1631.
43. Jackwerth, J. C. (1999), “Option implied risk-neutral distributions and implied binomial trees: a literature review,” Journal of Derivatives, Vol. 7, P66-82.
44. Jackwerth, J. C. (2000), “Recovering risk aversion from option prices and realized returns”, Review of Financial Studies, Vol.13, P433–467.
45. Jarrow, R. A. and A. Rudd (1982), “Approximate valuation for arbitrary stochastic processes,” Journal of Financial Economics, Vol. 10, P347-369.
46. John, C. Hull (2003), Options, Futures, & Other Derivatives, 5th ed., N.J.: Prentice-Hall.
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48. Jondeau, E. and M. Rockinger (2001), “Gram-Charlier densities,” Journal of Economic Dynamics and Control, Vol. 25, P1457-1483.
49. Key, V.O., Jr. (1966), The Responsible Electorate, Harvard University Press.
50. Liu, X., M. B. Shackleton, S. J. Taylor, and X. Xu. (2004), “Closed-form transformations from risk-neutral to real-world distributions,” Lancaster University, UK.
51. Madan, D. B. and F. Milne (1994), “Contingent claims valued and hedged by pricing and investing in a basis,” Mathematical Finance, Vol. 4, P223-245.　
52. Malz, A. M. (1996), “Using option prices to estimate realignment probabilities in the European monetary system: the case of sterling-mark,” Journal of International Money and Finance, Vol. 15, P717-748.
53. Malz, A. M. (1997), “Estimating the probability distribution of the future exchange rate from option prices,” Journal of Derivatives, Vol. 5, P18-36.
54. Malz, A. M. (1997), “Option-based estimates of the probability distribution of exchange rates and currency excess returns,” Federal Reserve Bank of New York.
55. McDonald, J. B. and R. M. Bookstaber (1991), “Option pricing for generalized distributions,” Communications in Statistics, Vol. 20, P4053-4068.
56. Melick, W.R. and C.P. Thomas (1997), “Recovering an asset’s implied PDF from option prices: an application to crude oil during the Gulf crisis,” Journal of Financial and Quantitative Analysis, Vol. 32, P91-115.
57. Merton, Robert C. (1973), “Theory of rational option pricing,” The Bell Journal of Economics and Management Science, Vol. 4, No. 1, P141-183.
58. Nikkinen, J. and Sahlström, P. (2004), “Impact of the federal open market committee’s meetings and scheduled macroeconomic news on stock market uncertainty,” International Review of Financial Analysis, Vol. 13, P1-12.
59. Pantzalis, C., Stangeland, D. A. and Turtle, H. J. (2000), “Political elections and the resolution of uncertainty: the international evidence,” Journal of Banking and 　　Finance, Vol. 24, P1575-1604.
60. Peel, D. and P. Pope (1983), “General elections in the U.K. in the post 1950 period and the behaviour of the stock market,” Investment Analyst, Vol. 67, P4-10.
61. Pérignon, Christophe, and Christophe Villa, (2002), “Extracting information from options markets: Smiles, state-price densities and risk aversion,” European Financial Management, Vol. 8, P495–513.
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65. Sophie Coutant (1999), “Implied risk aversion in options prices using Hermite polynomials,” Working Paper, BIS Workshop at the BIS.
66. Steeley, J. M. (2004), “Stock price distributions and news: evidence from index options,” Review of Quantitative Finance and Accounting, Vol. 23, P229-250.
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描述 碩士
國立政治大學
財務管理研究所
93357024
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093357024
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 李明珏zh_TW
dc.contributor.author (Authors) Li, Ming-Chuehen_US
dc.creator (作者) 李明珏zh_TW
dc.creator (作者) Li, Ming-Chuehen_US
dc.date (日期) 2005en_US
dc.date.accessioned 17-Sep-2009 19:18:07 (UTC+8)-
dc.date.available 17-Sep-2009 19:18:07 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:18:07 (UTC+8)-
dc.identifier (Other Identifiers) G0093357024en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34059-
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) 93357024zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) 台灣特殊的兩黨對立政治環境及幾乎每年都會有的固定選舉，使得政治的不確定性深深的影響著國內的投資環境及投資人心態。本研究便是要探討，2002/1/1~2006/1/16 研究期間台灣的投資人在選舉前後的投資行為，是否真如大家所預期的，會受到台灣選舉事件的影響。
本研究首先利用適當的機率密度函數模型及選擇權市場資訊來導出隱含的風險中立密度值。再利用這些風險中立密度值，求出各個選舉事件相對應的機率分配圖形，並透過其機率分配圖形及波動率指數等統計值於投票日前後的變化來觀察某一選舉事件前後投資者的反應。
研究結果發現：1. 選舉事件的發生確實會影響投資者的心理，且投資者會透過選擇權市場有效率的反應預期的未來股價指數分佈情況。2. 越大型、越具爭議且全國性的選舉結果，其選舉期間機率分配圖形及波動率指數具有較高的波動性。3. 一般而言，選舉過後市場不確定因素降低，將使投資者對於股市的預期較為一致和樂觀。而若這個選舉結果使投資者感到意外，因而增加了市場的不確定性，則選後機率分配圖形及波動率指數的改變反而會更為明顯。4. 在此研究下對數常態混合法比傳統的 Black-Scholes 方法產生較低的誤差值，因此就實證的分析上能提供更好的配適。		zh_TW
dc.description.abstract (摘要) This research examines the behavior of investors during election periods from January 1st 2002 to January 6th 2006 in Taiwan. The research includes a few steps. First, we adopted a proper probability density function composed of stock index options data to construct the implied distribution. Then, when changing the whole shape of the risk-neutral implied distribution, the volatility indexes, and the statistics of the implied distribution, we observed investors` response around a specific election event.
According to the empirical results, we found that: 1. An election event would influence investors’ behavior, and investors tend to reflect their expectation of future stock index in the option market in an efficient way. 2. The result of a large-scale and more disputed nationwide election will cause a higher fluctuation in both the implied distribution and the volatility index. 3. In general, the factor resulting from investors’ uncertainty of the market is likely to reduce after the election, which makes investors’ relatively unanimous and optimistic expectation of the stock market. However, if this election result surprises investors, their uncertainty of the market will increase, and thus the changes of the implied distribution and the volatility index become quite obvious. 4. The in-sample performance of the lognormal mixtures method employed in the research is considerably better than that of the traditional Black-Scholes model by having a lower root mean squared error.		en_US
dc.description.tableofcontents 第壹章 緒論…………………………………………………………………1
第一節 研究動機………………………………………………………1
第二節 研究目的………………………………………………………2
第三節 研究範圍與對象………………………………………………3
第四節 研究架構與流程………………………………………………4

第貳章 文獻探討……………………………………………………………6
第一節 選舉事件研究…………………………………………………6
第二節 風險中立機率密度函數的模型………………………………11
第三節 風險中立機率分配圖形的應用………………………………19

第參章 研究方法……………………………………………………………22
第一節 選擇風險中立機率密度函數的模型…………………………22　　
第二節 風險中立機率密度的定義……………………………………23
第三節 取對數後的風險中立機率密度 (Lognormal RND)………26
第四節 對數常態混合法 (Lognormal Mixtures)………………28
第五節 波動率指數 (Volatility Index)………………………30

第肆章 實證分析……………………………………………………………33
第一節 資料來源與處理………………………………………………33
第二節 各選舉事件之風險中立機率分配圖形………………………36
第三節 VIX 指數………………………………………………………68

第伍章 研究結論與建議……………………………………………………72
第一節 研究結論……………………………………………………72
第二節 研究限制……………………………………………………74
第三節 後續研究建議………………………………………………76

參考文獻………………………………………………………………………77		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093357024en_US
dc.subject (關鍵詞) 選舉事件zh_TW
dc.subject (關鍵詞) 指數選擇權zh_TW
dc.subject (關鍵詞) 機率密度函數zh_TW
dc.subject (關鍵詞) 風險中立密度zh_TW
dc.subject (關鍵詞) 機率分配zh_TW
dc.subject (關鍵詞) 波動率指數zh_TW
dc.subject (關鍵詞) 對數常態混合法zh_TW
dc.subject (關鍵詞) Election Eventen_US
dc.subject (關鍵詞) Index Optionsen_US
dc.subject (關鍵詞) Probability Density Functionen_US
dc.subject (關鍵詞) Risk Neutral Densityen_US
dc.subject (關鍵詞) Implied Distributionen_US
dc.subject (關鍵詞) Volatility Indexen_US
dc.subject (關鍵詞) Lognormal Mixturesen_US
dc.title (題名) 台灣選舉事件與台指選擇權的資訊效率zh_TW
dc.type (資料類型) thesisen
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