本研究目的在探討隱含波動微笑曲線的結構及特性，以及隱含波動偏態程度的決定因數，以LIFFE市場交易的個股及FTSE 100指數選擇權為樣本。第一研究議題主要驗證一些有趣的假說，得到許多實證結果。首先，個股及指數選擇權隱含波動曲線斜率都顯著負值，顯示具有隱含波動偏態。到期期限越長，隱含波動曲線越趨平緩。隱含波動偏態可以被風險中立偏態及峰態係數所描述，前者為第一階效應、後者為第二階效應。其次，個股選擇權隱含波動偏態程度不若指數選擇權大。在決定個股風險中立偏態時，個別公司的因數較市場因數影響較大。最後，指數選擇權隱含偏態(峰態)係數與指數報酬實際動差的關係，風險趨避係數參數扮演了連結的角色，實證結果風險趨避係數為顯著正值，且各到期期限選擇權結果十分一致，指數選擇權隱含風險中立動差與實際動差呈現穩定的關係。LIFFE市場個股選擇權及FTSE 100指數選擇權隱含波動偏態程度分別小於CBOE市場個股選擇權及S&P 100指數選擇權。

第二研究議題主要驗證公司個別因素與市場面因數對隱含波動偏態程度的影響。橫斷面分析結果顯示，公司個別因數例如槓桿比率、公司規模、Beta值、個股交易量在解釋隱含波動偏態程度提供有用的解釋。平均而言，大型公司、交易量大的公司傾向於比較負偏的波動偏態。買賣權交易量比係數則不顯著。高階風險中立動差與隱含波動偏態程度的關係和前一議題的實證結果一致。追蹤分析結果顯示，財務槓桿比率有一致且顯著負的迴歸係數。指數選擇權隱含偏態係數越負偏，則個股選擇權隱含波動偏態程度越大。指數選擇權隱含峰態係數越大，則個股選擇權隱含波動曲線越趨平坦。對個股選擇權隱含波動偏態程度的影響，個別公司因數顯然較市場面因數重要，且提供更多的解釋。

The aim of this study is to investigate the structure and characteristics of the implied volatility smile, and the determinants of the slope of implied volatility skew, using prices of individual equity and FTSE 100 index options traded on LIFFE. Several interesting hypotheses were tested in fist issue and some important empirical results were obtained. First, the slope of implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer-term options. The implied volatility skew can be described by risk-neutral skewness and kurtosis with the former the first-order effect and the later second-order. Moreover, the implied volatility skew for individual stock options is less severe than that of the index options, and the idiosyncratic component dominates the market component in determining the individual stock risk-neutral skewness. Finally, the empirical estimation for the risk-aversion parameter is significantly positive and quite consistent across time-to-maturities, confirming the stable relationship between the real and the risk-neutral moments implied in option prices. The results indicate that for FTSE 100 index and stock options traded on LIFFE, the slope of implied volatility skew is flatter than that for S&P 100 index options and stock options traded on CBOE.

In second issue we examine the firm-specific and market wide determinants of the slope of implied volatility skew. In the cross-sectional analysis the results indicate that the firm-specific variables such as leverage ratio, firm size, beta, and traded volume provide useful explain in the slope of smile. On average, the larger firms, and larger traded volume firms tend have more negative slope of the smile. There is no evidence that the slope of smile is related to put-to-call traded volume ratio. The relationships between the higher risk-neutral moments and volatility smile are consistent with the results of fist issue. In panel analysis the results indicate the consistent significantly negative coefficients for the variable leverage ratio, the more negative skewness of FTSE 100 index option the steeper of the slope of smile of individual stock options, and the greater kurtosis of FTSE 100 index option the flatter of the slope of smile of individual stock options. Additionally, we find the firm-specific variables provide more explanatory power than the market wide variables in determining the implied volatility skew.

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