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博碩士論文 etd-0727110-113405 詳細資訊
Title page for etd-0727110-113405
論文名稱
Title
放空限制與投資人意見分歧對選擇權隱含波動率之影響
The Impact of Short Sale and Opinion Divergence on Implied Volatility
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
47
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2010-07-24
繳交日期
Date of Submission
2010-07-27
關鍵字
Keywords
隱含波動率、意見分歧、放空限制
implied volatility, short sale constraint, opinion divergence
統計
Statistics
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中文摘要
過去許多研究討論了「放空限制與意見分歧對選擇權標的物價格與選擇權的評價偏誤的影響」以及「選擇權評價偏誤與隱含波動率之間的關係」,本研究對於兩個議題做出了連結,探討了放空限制與意見分歧對選擇權隱含波動率的影響,並進一步探討投資人觀察隱含波動率後如何影響意見分歧的程度。實證結果發現,投資人意見分歧會提高隱含波動率之值,加入放空限制影響之下而發現投資人意見越一致會使得隱含波動率增加;而隱含波動率數值越大,使投資人對於市場行情解讀不同,導致投資人間意見分歧程度增加。
Abstract
none
目次 Table of Contents
目錄
1. 緒論 1
1.1 背景與動機 1
1.2 目的與貢獻 4
2. 文獻回顧 5
2.1 放空限制的衡量 5
2.2 放空限制與意見分歧 6
2.3 放空限制與選擇權評價 7
2.4 隱含波動率 8
3. 資料與假說建立 11
3.1 資料來源 11
3.2 資料篩選 11
3.3 資料分組 11
3.4 變數說明 13
3.5 資料敘述 16
3.6 假說 26
4. 實證 27
4.1 假說一之實證模型 27
4.2 假說一之實證結果 30
4.3 假說二之實證模型 32
4.4 假說二之實證結果 33
4.5 考慮報酬率波動之不對稱 34
5. 結論 39
參考文獻 40

 
圖目錄
圖 1:隱含波動率偏離現象 18
圖 2:買權分組OIB平均 24
圖 3:賣權分組OIB平均 24

表目錄
表 1:選擇權分組定義 12
表 2:隱含波動率之敘述統計 19
表 3:選擇權市場OIB之敘述統計 22
表 4:選擇權委託單資料 25
表 5:式(11)與式(12)中變數間相關係數 29
表 6:假說一之實證結果 31
表 7:式(13)變數間相關係數 32
表 8:假說二之實證結果 33
表 9:買賣權分類下,OIB反應投資人對市場看法與意見分歧程度 35
表 10:實證結果 37
參考文獻 References
參考文獻
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