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dc.contributor.author謝文良en_US
dc.contributor.author李進生en_US
dc.contributor.author袁淑芳en_US
dc.contributor.authorWen-Liang G. Hsiehen_US
dc.contributor.authorChin-Shen Leeen_US
dc.contributor.authorShu-Fang Yuanen_US
dc.date.accessioned2015-01-12T12:53:28Z-
dc.date.available2015-01-12T12:53:28Z-
dc.date.issued2006-10-01en_US
dc.identifier.issn1023-9863en_US
dc.identifier.urihttp://hdl.handle.net/11536/107974-
dc.description.abstract本文參考CBOE計算VXO的模式,以台股選擇權的隱含波動度建構台灣市場的波動度指標。研究發現台灣市場買權與賣權的隱含波動度差異頗大,且具有不同的資訊內涵,其中賣權的隱含波動度與指數報酬率的相關性較大,對指數變化的敏感度也較高,是較能反映台灣市場風險的波動度指標。本文所建立的賣權波動度指標IVP與同期的指數報酬率呈現顯著的負相關,顯示其具備反映市場恐慌情緒的能力。分量迴歸的結果顯示,當賣權波動度指標出現極端高值時,短期(1-2日)內台股現貨市場會發生追賣的動能交易,但自第5個交易日起則出現反向操作交易。將上述資訊內涵應用於擇時交易策略,其績效表現在本文研究期間內超越買進持有的基本策略。zh_TW
dc.description.abstractThis article proposes a procedure to build up the volatility index for the Taiwan stock markets. Our approach resembles the CBOE's VXO which weights the implied volatilities of various index options, however, separating the put implied volatility and the call implied volatility. Evidence shows that the put implied volatility is more closely linked to the spot index and is more sensitive to the change of spot index than the call volatility. The volatility index using only put options (IVP) exhibits negative correlation to the spot index return, reflecting the market sentiment of fear. We find that the extremely high IVP is often followed by momentum trading (selling) in day 1 and day 2, and subsequent contrarian trading (buying) from day 5 to day 9. A market timing strategy based on the information contents of put volatility index outperforms the buy-and-hold strategy. Results suggest that the weighted put implied volatility is an appropriate sentiment measure of Taiwan spot market.en_US
dc.subjectVXOzh_TW
dc.subject波動度指標zh_TW
dc.subject隱含波動度zh_TW
dc.subject擇時交易zh_TW
dc.subjectvolatility indexzh_TW
dc.subjectimplied volatilityzh_TW
dc.subjecttiming strategyzh_TW
dc.title台股市場波動性指標之建構、資訊內涵與交易策略zh_TW
dc.titleThe Construction of the Volatility Index for the Taiwan Stock Market: An Analysis of the Information Contents and Trading Strategiesen_US
dc.identifier.journal管理與系統zh_TW
dc.identifier.journalJournal of Management and Systemsen_US
dc.citation.volume13en_US
dc.citation.issue4en_US
dc.citation.spage471en_US
dc.citation.epage497en_US
dc.contributor.departmentInstitute of Business and Managementen_US
dc.contributor.department經營管理研究所zh_TW
顯示於類別:管理與系統


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