本文目的在根據隱含波動率與市場報酬的變動特性，分析波動率指標的資訊內涵。首先在隱含波動率的建構上，本文參考CBOE計算VXO的邏輯，以台股選擇權的隱含波動率建構台灣市場的波動率指標。然而基於考慮現貨市場在套利機制的先天限制，本文建議以台股期貨指數取代現貨市場指數，應用在反推隱含波動率的過程。接著，再考慮台灣市場買、賣權隱含波動率差異較大的特性，分別計算買權、賣權的波動率指標。同時再將估計期間納入判斷最適隱含波動率指標的因子。
在隱含波動率與市場報酬變動關係的分析上，本文發現隱含波動率除了得做為市場波動率的估計值外，至少具有二個資訊內涵。第一、隱含波動率指標與同期現貨市場報酬形成如傾倒S型的函數。過去文獻普遍以「槓桿效果」假說解釋。然而近年大量文獻質疑「槓桿效果」假說不能完全解釋波動率與報酬的變動關係。據此，本文試圖以「展望理論」論述的投資人決策行為特性提供另一種解釋，推論投資人決策特性與波動率指標的變動特性有關。實證結果顯示，Taifex’s VXO除了具有反映投資人避險交易特性的資訊內涵，亦傳達其它非避險目的交易決策特性。第二、延續隱含波動率具傳達投資情緒的推論，將此資訊內涵應用在以隱含波動做為判斷未來指數價格變動的擇時指標。本文藉由隱含波動率指標與領先期的指數報酬的分量迴歸式分析及模擬交易策略的設計，證明Taifex’s VXO與CBOE’s VXO相同，皆具有反映市場異常交易的訊息，得做為判斷市場短期價格的擇時指標。
而在建構隱含波動率的因子對隱含波動率在傳遞市場訊息良寙的影響。本文發現估計期間22天的隱含波動率在傳達市場訊息的能力表現相對較佳，特別是在擇時的應用上尤其明顯。此外，實證結果顯示賣權隱含波動率無論在反映投資人交易決策特性或在擇時表現上，皆顯著優於其它契約建構的隱含波動率指標，本文歸究此現象在於賣權的資訊內涵往往具支配買權的結果。

This article aims to investigate the information contents contained in the volatility index for Taiwan stock markets. In construcing the volatility index, this article proposes a procedure to build up the volatility index for Taiwan stock markets. We suggest an approach resembling the CBOE’s VXO which weights the implied volatilities of various index options. However, the volatility index in Taiwan should consider the difference in information contents between put implied volatility and call implied volatility.  
According to the examination of the relationship of volatiliy index and the index price return, there are two main information contents contained in the volatility index. First, previous studies have looked at the relationship between volatility and return is asymmetric and non-linear, best described as a reclined downward sloping S-curve. A standard explanation ties the phenomenon to the hypothesis of “leverage effect”. However, it has been a puzzle in literatures due to numerous anomalies that call into question the “leverage effect” as explanation. This article documents that the behavioral peculiarities of the traders, which are defined by prospect theory, provide a potential explanation. Base on the hypothesis of “trader behavior effect” introduced in prospect theory, the implied volatility index is not only a risk perception but also provides the information of the unknown investors risk preference and investor behavior potentially. Secondly, we also assess the information contents of Taifex’s VXO in providng the relevant information as to whether the market index is going up or down since it reflects the market sentiment of fear. Results suggest the traders could make an economic profit by exploiting the timing information contained in the behavior of volatility index.
Historical data shows that the weighted put implied volatility with the forecasting horizon of 22 days is an appropriate volatility index for Taiwan market since it provides both relevant informations of sentimental measure and of timing for Taiwan stock market.

目  錄

誌  謝	i
論文提要內容	ii
第壹章 緒論	1
第貳章 文獻回顧	7
第一節 隱含波動率指標之建構及統計特性	7
第二節 隱含波動率與市場波動率之變動關係	9
第三節 隱含波動率指標與價格報酬的變動關係	10
第叁章 台股波動率指標-Taifex’s VXO	13
第一節 台股波動率指標之建構	13
第二節 台股隱含波動率指標與指數報酬之變動關係	18
第三節 台股波動率指標之統計特性分析	21
第四節 週內隱含動率之變動結構分析	27
第五節 隱含波動率指標對未來市場波動度之預測能力分析	31
第肆章 台股波動率指標之資訊內涵	36
第一節 觀念論述	36
第二節 展望理論	39
第三節 「展望理論」應用在CBOE’s VXO之闡述	42
第五節 結論	71
第伍章 波動率指數之擇時訊息	73
第一節 FIV與現貨市場報酬率(Rtse)的相關	74
第二節FIV極端值的資訊內涵	76
第三節 交易策略之應用	90
第四節 結論	96
第陸章 結論	98
參考文獻	101

表 目 錄

表 3- 1  FIVＣ買權隱含波動率指數每日變動之統計特性分析	24
表 3- 2  FIVＰ賣權隱含波動率指數每日變動之統計特性分析	25
表 3- 3  FIVＴＸＯ台股選擇權隱含波動率指數每日變動之統計特性分析	26
表 3- 4  隱含波動率之變動之週內效果分析	30
表 3- 5  FIV10對未來指數期貨之報酬波動度的資訊內涵	34
表 3- 6  FIV22對未來指數期貨之報酬波動度的資訊內涵	35

表 4- 1  估計期10天的TAIFEX’S VXO變動率對同期現貨市場指數日報酬的迴歸分析	56
表 4- 2  估計期間22天的TAIFEX’S VXO變動率對同期現貨市場指數日報酬的迴歸分析	57
表 4- 3  估計期間10天之TAIFEX’S VXO變動率對當期現貨市場指數正 、負報酬與極端正、負報酬迴歸分析	58
表 4- 4  估計期間22天之TAIFEX’S VXO變動率對當期現貨市場指數正 、負報酬與極端正、負報酬迴歸分析	59
表 4- 5  估計期間10天的TAIFEX’S VXO變動率對同期現貨日報酬的迴歸分析	67
表 4- 6  估計期間22天的TAIFEX’S VXO變動率對同期現貨日報酬的迴歸分析	68
表 4- 7  估計期間10天之TAIFEX’S VXO變動率對當期正 、負報酬與極端正、負報酬迴歸分析	69
表 4- 8  估計期間22天之TAIFEX’S VXO變動率對當期正 、負報酬與極端正、負報酬迴歸分析	70

表 5- 1  FIVTXO、FIVC、FIVP與領先一期市場日報酬率之迴歸分析	75
表 5- 2  估計期間10天的隱含波動率極端高值與領先期現貨報酬之分量迴歸結果	83
表 5- 3  估計期間22天的隱含波動率極端高值與領先期現貨報酬之分量迴歸結果	84
表 5- 4  估計期間10天的隱含波動率極端低值與領先期現貨報酬之分量迴歸結果	85
表 5- 5  估計期間22天的隱含波動率極端低值與領先期現貨報酬之分量迴歸結果	86
表 5- 6  估計期間22天的隱含波動率極端高值與領先期期貨報酬之分量迴歸結果	89
表 5- 7  以波動率極端值擬定操作策略之報酬統計分析	93
表 5- 8  波動率極端值策略在不同樣本區間之報酬分析	96

圖 目 錄

圖 3- 1 台股指數期貨價格與買/賣權未平倉口數之差	16
圖 3- 2  FIVC、FIVP、FIVTXO與台指期貨報酬之關係	20
圖 3- 3  FIV的週內波動率之結構	29

圖 4- 1  展望理論的價值函數	41
圖 4- 2  展望理論的決策權數函數	42
圖 4- 3  CBOE’S VXO變化量與S&P報酬	47
圖 4- 4  TAIFEX’S VXO變動率與台股市場報酬之分佈圖	50
圖 4- 5  TAIFEX’S VXO變動率與現貨市場指數報酬(RT TSE)的配適曲線	51
圖 4- 6  買、賣權契約未平倉口數與市場報酬之變化分析	61
圖 4- 7  TAIFEX’S VXO變動率與指數期貨報酬()的配適曲線	64

圖 5- 1  以波動率極端值FIVP22擬定操作策略之報酬分配	94

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