Browsing by Author "Dar-Hsin Chen"

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Gram-Charlier GARCH選擇權演算法的評價與避險績效
(2007-01-01)
周恆志
;
陳達新
;
巫春洲
;
Heng-Chih Chou
;
Dar-Hsin Chen
本文以Gram-Charlier GARCH選擇權演算法配適於臺指選擇權的市場資料，並與BS公式解相比較，藉以瞭解GARCH選擇權演算法納入高階動差資訊後的評價與避險績效。市場資料顯示臺股指數報酬率的分配具有異質波動性，而且顯著不服從常態分配，因此BS模型會錯估臺指選擇權的價格；Gram-Charlier GARCH選擇權演算法考慮臺股指數的異質波動性、波動不對稱性與報酬率分配的高階動差值，評價績效顯著較佳。但是Gram-Charlier GARCH 選擇權演算法仍有明顯的評價誤差，臺股指數的日內波動性以及選擇權市場的流動性可以顯著解釋評價誤差。此結果反應出GARCH模型對於刻劃股價指數波動性的過程仍有不足，有必要進一步考慮跳躍風險溢酬或流動性效應的影響。避險績效測試結果顯示BS模型優於Gram-Charlier GARCH選擇權演算法，這可能是因為高階動差的敏感變動降低了避險參數估計的準確性，導致GARCH選擇權演算法呈現較差的避險績效。
The intraday price discovery of Taiwan's dual-trading foreign exchange market
(交通大學, 2016-12-01)
Dar-Hsin Chen
;
Ying-Hsin Lee
This paper examines the role of price discovery in Taiwan's two foreign exchange markets during trading days. The minor market, Cosmos Foreign Exchange International Co., has small optimal trading timing, but has a greater mean saving for liquidity dealers. The major market, Taipei Foreign Exchange Co., contributes more information for transaction price discovery, especially during the market opening and closing periods. However, the minor market dominants price discovery for the bid price, because it has the lowest cost in dealing. The causality is bidirectional between the two markets for transaction price, ask price, and spread, but unidirectional for the bid price. Finally, using high-frequency data is essential for detecting price discovery in the spot foreign exchange market, which is especially valid as larger discrepancies of transaction prices between the two markets disappear.