| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 黃怡寧 | zh_TW |
| dc.creator (作者) | 黃怡寧 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 18-Sep-2009 20:12:42 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 20:12:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 20:12:42 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096357012 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36936 | - |
| 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) | 96357012 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本文主要探討選擇權價格隱含的非系統波動率與未來股票報酬的關係，除使用迴歸作為計量模型外，考量波動度具有狀態轉換現象(regime switching)且存在不對稱性，因此也使用馬可夫狀態轉換模型(Markov-switching Model)作為計量模型，探討在高波動與低波動狀態，非系統隱含波動率與未來股票報酬關係。首先，本文觀察到市場波動率指數對於未來市場的波動度具有顯著的預測能力，且由LR檢定結果發現，市場波動率指數的預測能力在高波動與低波動時存在不對稱性，而個股選擇權的隱含波動率對於未來波動度也具有顯著預測能力，且存在不對稱關係。除此之外，也發現非系統隱含波動率不論在高波動或低波動狀態下，對於未來非系統波動率均具有預測能力；但歷史非系統波動僅在低波動狀態下對於未來非系統波動率具有預測能力。進一步研究期望非系統波動與風險溢酬的關係，結果顯示兩者之間存在顯著正向關係，且亦存在不對稱性。最後研究考量個別公司的特質後，期望非系統波動與未來股票報酬的關係，結果發現兩者之間無顯著關係存在。 | 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 研究動機 1第二節 研究目的與論文架構 5第貳章 文獻探討 7第一節 非系統波動率 7第二節 波動率指數 10第參章 研究方法 12第一節 資料來源與整理 12第二節 選擇權價格隱含的非系統波動率 16第三節 期望非系統波動與風險溢酬 20第四節 非系統波動率與股票報酬率 22第肆章 實證結果 23第一節 隱含波動率之預測能力 23第二節 非系統隱含波動率之預測能力 34第三節 期望非系統波動與風險溢酬 45第四節 非系統波動率與股票報酬 47第伍章 研究結論 64參考文獻 66 | 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/#G0096357012 | en_US |
| dc.subject (關鍵詞) | 非系統隱含波動率 | zh_TW |
| dc.title (題名) | 期望非系統波動的資訊內含與未來股票報酬之關係:個股選擇權的證據 | zh_TW |
| dc.type (資料類型) | thesis | en |
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