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系統識別號 U0002-2905200521573700
中文論文名稱 淨買壓解釋隱含波動率微笑現象
英文論文名稱 Net Buying Pressure Explains Implied Volatility Smile Effect
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 姜書甄
研究生英文姓名 Shu-Chen Chiang
學號 692490518
學位類別 碩士
語文別 中文
口試日期 2005-05-24
論文頁數 63頁
口試委員 指導教授-林蒼祥
共同指導教授-段昌文
委員-謝文良
委員-林筠
委員-古永嘉
中文關鍵字 淨買壓  隱含波動率  波動率微笑  波動率偏斜 
英文關鍵字 net buying pressure  implied volatility  volatility smile  volatility skew 
學科別分類 學科別社會科學商學
中文摘要 本文以台指選擇權進行實證分析,探討之議題與結論分為以下三部份:
首先,在檢測隱含波動率水準與淨買壓方面,觀察發現買權隱含波動率偏斜為正斜率且買權淨買壓程度隨履約價格增加而增加,而賣權隱含波動率偏斜為負斜率且賣權淨買壓程度隨履約價格增加而減少,而所有選擇權之隱含波動率與淨買壓程度皆由次低履約價格遞減至高履約價格,上述隱含波動率水準與淨買壓程度之走勢一致,顯示出台指選擇權微笑現象可由淨買壓來解釋。
其次,檢測同時期隱含波動率變化與淨買壓之關係方面,實證顯示同時期隱含波動率變化與淨買壓呈正向關係,當投資人買入需求愈大,隱含波動率上漲幅度愈大;而同時期隱含波動率變化與現貨報酬率呈反向關係,顯示現貨市場與選擇權市場間存在槓桿效果;而同時期隱含波動率變化與現貨交易量呈正向關係,當愈多的新資訊湧入市場,現貨交易量增加,隱含波動率隨之增加,顯示現貨與選擇權間存在資訊流動效果;而同時期隱含波動率變化與前一期隱含波動率變化呈反向關係,表示隱含波動率於次一個交易日有可能發生回漲或回跌的現象。
最後,利用賣出選擇權之交易模擬結果,檢測淨買壓與異常報酬間關係,實證顯示賣出淨買壓愈大的選擇權獲利愈大,當中又以存續期間為一個月價外賣權之淨買壓最大且獲利最大,可能原因為一般投資人或機構法人買入價外賣權作為投資組合保險之避險需求大,由於造市者無法撮合全部部位則會造成價外賣權存貨的累積,造市者要求之波動率風險補償造成價外賣權價格偏高,所以執行賣出價外賣權之獲利最佳。
英文摘要 This study takes the Taiwan Index Option (TXO) to an empirical analysis. The topics we explore and their conclusions can be devided into the following three parts.
First, we discuss the relationship between the implied volatility level and net buying pressure. For the call options, implied volatilities and net buying pressure are positively related to exercise prices. For the put options, implied volatilities and net buying pressure are negative related to exercise prices. This result support that net buying pressure can explain TXO implied volatility smile effect.
Second, we discuss the contemporary relation of implied volatility changes and net buying pressure. The empirical indicates that contemporary implied volatility changes are positive relatived to net buying pressure, and contemporary implied volatility changes are negative relatived to spot index pricse return, and contemporary implied volatility changes are positive relatived to spot index trading volume, and contemporary implied volatility changes are negative relatived to prior implied volatility changes.
At last, simulated option writing trading strategies find that writing net buying pressure options can generate positive abnormal returns.
論文目次 目錄

第一章 緒論
1-1 研究動機……………………………………………………..………..1
1-2 研究目的……………………………………………………………....4
1-3 研究架構………………………………………………………………5
1-4 研究流程………………………………………………………………6
第二章 文獻探討
2-1 修正B-S選擇權訂價模型解釋微笑現象之相關文獻……...………..8
2-2 淨買壓假說解釋微笑現象之相關文獻……………………………..11
第三章 研究方法
3-1 隱含波動率估計……………………………………………..………14
3-2 隱含波動率分類……………………………………………………..15
3-3 淨買壓衡量……………………………………………………..……19
3-4 資料配對………………………………………………………..……21
3-5 淨買壓與隱含波動率變化之迴歸模型…………………...…...……22
3-6 交易模擬…………………………………………………...…...……24
第四章 實證結果與分析
4-1 資料…………………………………………………………………..28
4-2 隱含波動率微笑現象………………………………………………..30
4-3 淨買壓與隱含波動率………………………………………………..38
4-4 賣出選擇權之交易模擬結果……………..…………………………44
第五章 結論與建議
5-1 結論…………………………………………………………………..56
5-2 建議…………………………………………………………………..57
參考文獻……………………………………………………………………………..59
附錄…………………………………………………………………………………..63


表目錄

表3.1、價位分類………………………………..……………………………………16
表3.2、履約價格分類………..………………………………………………………18
表3.3、存續期間分類………………………………………………………..………19
表4.1、加權股價指數之歷史波動率……………………………………….….……31
表4.2、買權之隱含波動率……………………………………………..………...….34
表4.3、賣權之隱含波動率…………………………………………………………..35
表4.4、所有選擇權之隱含波動率…………………………………………………..37
表4.5、淨買壓分析………………………………….……………………………….39
表4.6、淨買壓與隱含波動率之相關係數檢定……………………………………..40
表4.7、淨買壓與隱含波動率之迴歸檢定………………………………………….42
表4.8、賣出五種存續期間選擇權獲利率之迴歸檢定……………….…………….46
表4.9、賣出選擇權之交易結果……………………………………………….…….47
表4.10、賣出五種價位與五種存續期間選擇權之交易結果………………..……..50


圖目錄

圖3.1、買方動機與賣方動機之定義……………………..………..………..………20
圖3.2、Minspan資料配對過程…………………………..………………………..…22
圖4.1、賣出買權且不避險之獲利率…………………………..…………..……..…55
圖4.2、賣出賣權且不避險之獲利率………………………..……………..……..…55
圖4.3、賣出所有選擇權且不避險之獲利率………………..……………..……..…55
圖4.4、賣出買權且避險之獲利率……………………………..…………..……..…55
圖4.5、賣出賣權且避險之獲利率…………………………..……………..……..…55
圖4.6、賣出所有選擇權且避險之獲利率………………..………………..……..…55
附圖1、台指選擇權契約成交量及未平倉量每月日平均量走勢圖………..…….. 63
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