标题: 指数选择权市场净买压对隐含波动率变动的影响:台指选择权市场是避险者为主的市场吗?
The buying pressure influence the change of implied volatility in the index option market: Are the mainly for hedgers in Taiwan index option market?
作者: 苏世闳
Shi-Hong Su
钟惠民
许和钧
Huimin Chung
Her-Jiun Sheu
管理科学系所
关键字: 隐含波动率;净买压;避险;未平仓量;价性;implied volatility;net buying pressure;hedge;open interest;moneyness
公开日期: 2004
摘要: 本研究依据Bollen and Whaley( 2004 )的实证模型,且加入市场上经常用来判断多空指标之一的未平仓量变动,来探讨台湾指数选择权市场净买压对隐含波动率变动的影响。实证结果发现隐含波动率的变动与指数报酬率及未平仓口数变动呈现负相关且与成交量呈现正相关,而隐含波动率的变动受前一期变动的影响且呈现负相关,可得知波动率具有均值返回的现象( mean-reverting );净买压对于隐含波动率皆没有显着的关联性,在台湾的期货选择权市场中,散户占大多数( 67% ),因此在台湾的期货选择权市场中以投机者为主,避险的比率占少数,所以净买压对于隐含波动率的变动才会不显着而与Bollen and Whaley( 2004 )所提出的观念相违背。在考虑可预期会影响投资市场的重大事件之后,发现避险的人数有增加的情形,因为在OTMP( out-of-money put )的系数呈现正值,可显示投资人在可预期的经济事件较愿意加入避险的行列。
According to the empirical model of Bollen and Whaley ( 2004 ),this paper adds the change of open interest which is often used for judging long or short in the index option market and examines the relationship between net buying pressure and the change of implied volatility in Taiwan index options market. The empirical result show as the index return and the change of open interest are negatively correlated with the change of implied volatility. The volume and the change of implied volatility are positive relationship. The coefficients on lagged change in implied volatility are significantly negative,so we can suggest that volatility has mean-reverting. Net buying pressure of out-of-money put options is not correlated with the change of implied volatility and violate the thought of hedging which the scholars bring up. Because in the Taiwan index option market,the speculator is great majority. When considering that the expected major economic events which maybe influence the investment market,we can find out that the hedgers increase because the coefficients of out-of-money put options are positive. We can suggest that investors are willing to hedge before the expected major economic events come.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009231519
http://hdl.handle.net/11536/76995
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