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標題: 台指選擇權波動率與加權股價指數報酬率之關係
The Relation between the Volatility of Taiwan Index Options and the Return of Taiwan Weighted Stock Index
作者: 石馥瑄
Shih, Fu-Hsuan
關鍵字: 波動率指數;VIX;台指選擇權波動率指數;TVIX
出版社: 應用數學系所
引用: Black, F., (1976), Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Section, 177-181. Black, F. and Scholes, M., (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637-659. Chiras, D. P. and Manaster, S., (1978), The information content of option prices and a test of market efficiency, Journal of Financial Economics, 6, 213-234. Christie, A. A., (1982), The Stochastic Behavior of Common Stock Variances: Value, Leverage, and Interest Rate Effects, Journal of Financial Economics, 10, 407-432. Fleming, J., Ostdiek, B., and Whaley, R. E., (1995), Predicting Stock Market Volatility: A New Measure, Journal of Futures Markets, 15, 265-302. French, K. R., Schwart, G. W., and Stambaugh, R. F., (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29. Gemmill, G., (1986), The Forecasting Performance of Stock Options on the London Traded Options Market, Journal of Business Finance and Accounting, 13, 535-546. Giot, P. (2002), Implied Volatility Indices as Leading Indicators of Stock Index Return? working paper, 7-12. Ljung, G. M., and Box, G. E. P. (1978), On a measure of lack of fit in time series models, Biometrika, 65, 297-303. Schwert, G. W, (1989), Why Does Stock Market Volatility Change over Time? Journal of Finance, 44, 1115-1154. Whaley, R. E., (1993), Derivatives on Market Volatility: Hedging Tools Long Overdue, Journal of Derivatives, 1, 71-84. Whaley, R. E., (2000), The Investor Fear, Journal of Portfolio Management, 26, 3, 12-17. 卓必靖 (2004),台指選擇權VIX指數基礎制避險績效之研究,碩士論文,銘傳大學財務金融研究所。 胡僑芸 (2003),台指選擇權VIX指數之編制與交易策略分析,碩士論文,中山大學財務管理研究所。
芝加哥選擇權交易所(CBOE)於1993年推出以S&P 100指數選擇權為標的物之VIX指數(Volatility Index),用來衡量選擇權交易人對未來股票市場波動率的預期,推出後廣為市場所接受,由於可具體描繪投資人心理的變化情形,所以又稱為「投資人恐慌指標(The investor fear gauge)」。隨著財務理論的發展,以及為了更貼近市場,CBOE又於2003年9月重新編制以S&P 500指數選擇權為標的物之新VIX指數。
台灣期貨交易所(TAIFEX)於2001年12月24日推出台股指數選擇權(TXO),但目前尚未編制類似VIX指數,無法提供選擇權交易人更多的市場資訊,本研究針對台指選擇權市場之特性來模擬CBOE之VIX的新編制法,建構出台指選擇權VIX指數(Taiwan Volatility Index, TVIX) ,藉此觀察TVIX、加權股價指數報酬率及其歷史波動率之間的關係,期望能找出有利的預測模型,提供選擇權交易人有效率的投資參考依據。研究結果顯示,研究期間TVIX及其變動都與股價指數報酬率呈負向關係且非對稱,且股價指數報酬率與落後之一至五期之TVIX皆有顯著的相關性,而TVIX與股價指數歷史波動率大致呈現正向關係。另外,研究期間2002年至2005年之TVIX不具有均數回歸(mean reverting)之性質。

In 1993, the Chicago Board Options Exchange (CBOE) presented the Volatility Index (VIX) of S&P100, which is used for estimate investors' expectation to the volatility of stock market in the future, afterwards, it is widely accepted by market. Because it can describe the change of investors' various expectation concretely, it is also called “The investor fear gauge”. With the development of financial theory and in order to press close to the market more, CBOE reorganized VIX index of S&P500the in September, 2003.
TAIFEX presented TXO on December 24, 2001, but it hasn't had similar VIX index at present, therefore, it couldn't provide more information to the investors in option market. This research will imitate the new VIX of CBOE for the features of the market of TXO, then to reorganized TVIX, via this way to observe the relation among TXO, the return of Taiwan weighted stock index and the historical volatility, and expect to find out the useful models and offer efficient investment reference to investors. The outcome of this study shows that TVIX have negative and asymmetric relation with the return of stock index, and the relation between of return and TVIX which at lag 1 to 5 is significant. Moreover, TVIX has positive relation with historical volatility. In addition, TVIX hadn't mean reverting phenomenon during the research years.
其他識別: U0005-2406200600162600
Appears in Collections:應用數學系所

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