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系統識別號 U0002-0907201217411700
中文論文名稱 波動度所含資訊內涵之分析
英文論文名稱 The information content of market volatility
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 顏維德
研究生英文姓名 Wei-Te Yen
學號 799530257
學位類別 碩士
語文別 中文
口試日期 2012-05-19
論文頁數 79頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-古永嘉
委員-李命志
委員-涂登才
中文關鍵字 波動度  跨式  勒式組合交易  知訊交易者 
英文關鍵字 volatility  straddle  strangle  informed trader 
學科別分類
中文摘要 本研究為了解交易人與機構交易人包含造市者在台指選擇權交易市場中何者具有波動度訊息上優勢的地位,研究採用的樣本為2008年1月至2009年3月台指選擇權的每日成交資料,區分交易人身份類別、帳號及其交易策略配對,延用Chang, Hsieh and Wang (2010)及Ni, Pan and Poteshman (2008)計算加權淨vega的方法分別計算其淨vega需求利用迴歸分析來觀察對於未來實際波動度是否有預測能力並觀察不同交易人在資訊優勢領先的狀況,且輔以跨式及勒式組合交易來檢測交易人是否具有優勢的機會。最後,本文以資料樣本時間內所發生之重大事件如:金融海嘯、總統大選 、除權息旺季等事件,以事件前後所發生的衝擊來觀察何者交易人在事件發生的前後期間是否有不一樣資訊優勢的改變。
研究發現,在樣本這段期間外資、造市者、自營商及散戶在台指選擇權市場皆具有未來波動度的預測能力。外資和自營商應為波動度資訊交易者,造市者可能藉由擔任造市者提供流動性交易時獲得對於波動度資訊內涵掌握之優勢,只在選擇權市場進行波動度交易的散戶是比較在乎市場的波動度而比較不在乎市場的方向性,通常這些人也是比較富有經驗的。至於在金融海嘯、總統大選 、除權息旺季等事件前後期間,除了造市者在金融海嘯後的預測能力有正向顯著的改變外,其餘交易者對於其預測能力並未有所改變。
英文摘要 In this paper, we use the method of Chang, Hsieh and Wang (2010) and Ni, Pan and Poteshman (2008) to investigate the information content of net vega demand to examine the predictive power of realized volatility of different types of traders in the TAIEX options market. We also examine straddle and strangle strategies and discuss the impact of significant events how to affect the traders, including financial crisis, president election and ex dividend.
After regression analysis, this paper finds that foreign institutional investors, market maker and dealers have the predictive power on the future volatility. Foreign institutional investors and dealers are the informed traders of volatility. And market makers maybe get the vantage on the information content of volatility by providing liquidity. In the period of significant events, most of investors had been unchanged, just market makers’ predictive power is positive significant after financial crisis.
論文目次 目錄
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 5
第二章 文獻探討 7
第一節 波動度相關文獻 7
第二節 選擇權市場資訊交易文獻 9
第三節 資訊交易相關文獻 11
第四節 台灣期貨與選擇權交易結構 14
第三章 研究方法 17
第一節 資料來源與處理 17
第二節 變數定義 21
第三節 迴歸分析方法與檢定 26
第四章 實證結果與分析 31
第一節 資料敘述統計分析 31
第二節 基本迴歸模型分析 34
第三節 金融海嘯的影響 44
第四節 總統大選期間的影響 53
第五節 除權息旺季期間的影響 62
第五章 結論 71
參考文獻 75
附錄 78
表目錄
【表2-1】 台灣期交所市場參與者統計 15
【表2-2】 台灣期交所各類交易人交易量統計表 16
【表3-1】 台灣選擇權商品內容簡介 18
【表3-2】 選擇權成交檔資料格式 19
【表3-3】 2008年台灣50成份股除權息日公佈表 25
【表3-4】 實際波動度(RV)自我相關函數 29
【表3-5】 實際波動度(RV)一階差分自我相關函數 29
【表3-6】 實際波動度(RV)落後期自我相關檢定 30
【表3-7】 實際波動度(RV)之最適落後期 30
【表4-1】 全市場及開、平倉加權平均淨Vega需求之敘述統計 33
【表4-2】 交易策略加權平均淨Vega需求之敘述統計 33
【表4-3】 各類交易人對於實際波動度迴歸分析表 35
【表4-4】 開、平倉淨Vega對於實際波動度迴歸分析表 39
【表4-5】 交易策略淨Vega對於實際波動度迴歸分析表 42
【表4-6】 金融海嘯各類交易人對於實際波動度迴歸分析表 46
【表4-7】 金融海嘯開、平倉淨Vega對於實際波動度迴歸分析表 48
【表4-8】 金融海嘯交易策略淨Vega對於實際波動度迴歸分析表 51
【表4-9】 總統大選期間不同交易人對於實際波動度迴歸分析表 55
【表4-10】總統大選期間開、平倉淨Vega對於實際波動度迴歸分析表 57
【表4-11】總統大選期間交易策略淨Vega對於實際波動度迴歸分析表 60
【表4-12】除權息期間不同交易人對於實際波動度迴歸分析表 64
【表4-13】除權息期間開、平倉淨Vega對於實際波動度迴歸分析表 67
【表4-14】除權息期間交易策略淨Vega對於實際波動度迴歸分析表 70
圖目錄
【圖1-1】 研究流程圖 6
【圖3-1】 台灣加權股價指數 18




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