研究生: |
趙應龍 Ying-Lung Chao |
---|---|
論文名稱: |
選擇權隱含資訊及投資策略之研究 The research of the imply information of option and investing strateg |
指導教授: |
林丙輝
Bing-Huei Lin |
口試委員: |
黃彥聖
Yen-Sheng Huang 張琬喻 Wan-Yu Chang |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2006 |
畢業學年度: | 94 |
語文別: | 中文 |
論文頁數: | 72 |
中文關鍵詞: | 交易策略,隱含波動率指數,向量自我迴歸模型 |
外文關鍵詞: | imply volatility index |
相關次數: | 點閱:318 下載:2 |
分享至: |
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台灣股市與期貨、選擇權市場自開放交易以來,成交量急遽增加。但是投資人往往因為心理因素追高殺低,使得投資績效不彰。本研究使用2005年3月至2005年11月的五分鐘資料,進行交易策略的研究。本研究先以近月份選擇權隱含波動率計算隱含波動率指數(VIX),再利用向量自我迴歸模型(VAR)進行領先落後模型測試。其結果發現,以落後期數為四期的向量自我迴歸模型最能解釋指數報酬率與隱含波動率指數的關係,而以落後五期的向量自我迴歸模型最能解釋期貨報酬率與隱含波動率指數的關係。本研究根據上述兩個模型進行交易策略實證,其報酬率分別為16.57%、16.67%。本研究之策略可以免去投資人心理上的障礙而使投資更有紀律。
The trading volume sharply increased since the stocks, futures and options market has been opened. But investors don’t get much return because the psychological factor. This research used the data between March 2005 and November 2005 to analysis the trading strategy. We use the imply volatility of the near month option to calculate the volatility index (VIX). Then we use the vector auto-regression model (VAR) to analysis the relationship of lead-behind. We find 4 periods lag between index return and VIX is most suitable. 5 periods lag between futures return and VIX is most suitable. We use two model to examine the trading strategy, the returns are 16.57% and 16.67%. The research can avoid the fear of invertors and enhance the discipline of trade.
中文部分
1. 吳易欣,1998年6月,「股價指數期貨與現貨之關連性研究-新加坡摩根台股指數期貨實證分析」,國立政治大學金融研究所未出版碩士論文。
2. 施雅菁,2002年6月,「小型台指期貨價格發現之研究」,淡江大學財務金融學系碩士論文。
3. 胡僑芸,2003年6月,「台指選擇權VIX指數之編制與交易策略分析」,中山大學財務管理所,碩士論文。
4. 陳麗娟,2003年7月,「股票、期貨與選擇權市場領先落後關係之研究」,朝陽科技大學,財務金融所碩士論文。
5. 黃玉娟,徐守德,1997年,「台股指數現貨與期貨市場價格動態關連性之研究」,證券市場發展季刊,第九卷第三期,頁1-28。
6. 黃亦駿,2003年,「台股指數選擇權市場效率性研究」,銘傳大學財務金融研究所碩士論文。
7. 施義展,2004年7月,「台灣股價指數期貨、現貨與選擇權使場領先落後關係之探討」,高雄第一科大財管系碩士論文。
英文部分
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12. Whaley, R. E., 1993, “Derivatives on Market Volatility: Hedging Tools Long Overdue,” Journal of Derivatives, 1, pp. 71-84.
13. Whaley, R. E., 2000, “The Investor Fear Gauge,” Journal of Portfolio Management, No. 26,pp. 12-17.
14. Wiggins, J. 1987, “Options Value under Stochastic Volatility: Theory and Empirical Estimates,” Journal of Financial Economics Vol.19, pp. 351-372.