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博碩士論文 etd-0520113-205722 詳細資訊
Title page for etd-0520113-205722
論文名稱
Title
微笑曲線交易策略實證分析 – 以台灣加權股價指數選擇權為例
The Empirical Analysis of Volatility Smile in Taiwan Options Market
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
81
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
2013-06-16
繳交日期
Date of Submission
2013-06-23
關鍵字
Keywords
交易策略、動態避險、隱含波動率、Black模型、微笑曲線
Imply Volatility, Trading Strategy, Black model, Dynamic Hedging, Volatility smile
統計
Statistics
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中文摘要
本研究使用Pena(1999)所建立迴歸式作為隱含波動率的理論估計,並設立迴歸期間天數、成交量與價差為主要變數,使用Black模型估計市場上隱含波動率作為迴歸模型應變數。採用台灣股價指數選擇權每日盤後資料作為交易目標。利用理論波動率反求理論價格,以單純的買低賣高概念作為策略主體,觀察在三個變數(迴歸期間天數、成交量、價差)不同之下的策略平均報酬率的變化。
在買權的部分發現迴歸天數與平均報酬率之間呈現負向關係,設定期間以月資料(21天)會有最佳的平均報酬;成交量具有正向關係,但是在門檻設定1500口以上則差距不大;價差設定則影響並不顯著。考量動態避險後,迴歸天數設定依舊呈現負向關係;成交量敏感度方向反轉;價差設定則敏感度與顯著性皆上升。
賣權價差的結果與買權分析相似,迴歸天數設定與平均報酬率呈現負向關係,不過並沒有存在顯著影響;成交量是賣權平均報酬唯一顯著變數,在門檻設定1500口以上平均報酬率則差距不大。加入動態避險後,結果與買權分析相似,但是避險的獲利性並不佳,使得避險後的平均報酬率下降。策略勝率大部分未達五成,,在於策略對於市場下跌時波動率捕捉狀況不好,造成策略勝率不佳。
Abstract
In this study, we use the regression by Pena (1999) as theoretical implied volatility estimation, and assuming three variables : “The number of days”, ”Volume” and “Spread” as main variables. The real implied volatility as a dependent variable regression model is estimated by the Black model. We use the daily data of Taiwan Stock Index Options as trading objectives. Finally we use the theoretical implied volatility theoretical to get the theoretical price and take buy low and sell high price strategy to observe the average return changes of three different variables value.
The result of call, we find that the number of days has negative relationship with average return. And the period of monthly data (21 days) has the best average returns; Volume has a positive relationship with average return, but more than the threshold 1500 is not; Spreads is not significant relationship. After consideration of dynamic hedging, the number of days still remain a negative relationship with average return; Volume sensitivity direction is reversed; Spreads sensitivity and significance are increasing.
The result of put, the spread and he number of days conclusion similar to the call analysis both have negative relationship with average return, but do not present a significant impact; Volume is only significant variable with average returns but more than the threshold 1500 the impact is not significant. After dynamic hedging, all results similar the call conclusion, but hedge profitability is poor, making the average return after hedging decline. Most winning rate less than 50%, is that strategies for capturing market volatility in poor market condition is not well, resulting in low winning rate.
目次 Table of Contents
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻探討 4
第一節 Black模型 4
第二節 台灣股價指數選擇權介紹 5
第三節 隱含波動率 9
第三章 研究方法與設計 12
第一節 研究步驟與方法 12
第二節 模型設定 14
第三節 Delta Neutral 16
第四章 實證結果與分析 18
第一節 資料來源與變數定義 18
第二節 買權實證結果 21
第三節 賣權實證結果 33
第五章 結論與建議 45
第一節 研究結論 45
第二節 研究建議 46
參考文獻 47
附錄 50
參考文獻 References
一、國內文獻
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二、國外文獻
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