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題名 | 臺指選擇權和股價指數之領先落後關係與投資組合保險需求之分析=An Analysis of Lead-lag Relation between TXO Option and Index and Demand for Portfolio Insurance |
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作者 | 周恆志; 王功亮; Chou, Heng-Chih; Wang, David; |
期刊 | 玄奘管理學報 |
出版日期 | 20070900 |
卷期 | 5:1 2007.09[民96.09] |
頁次 | 頁1-26 |
分類號 | 562.1 |
語文 | chi |
關鍵詞 | 隱含波動率價差; 領先落後關係; 投資組合保險需求; 臺指選擇權; Implied volatility spread; Lead-lag relationship; Demand for portfolio insurance; TXO option; |
中文摘要 | 本文以隱含波動率價差探討台指選擇權市場的二個議題:首先是台指選擇權市場與其標的市場之間的領先落後關係,其次是分析交易者以台拍賣權建立投資組合保險部位的避險需求。實證結果發現台指選擇權價格變動含有股價指數報酬率的訊息,而且台指選擇權市場反應資訊的速度顯著領先股票市場一天。其次我們發現台指選擇權交易者對投資組合保險的需求並不高,並不習於長期持有台拍賣權以進行避險,只有在股價指數下跌之後憂心股市進一步下跌時,交易者方有較強的投資組合保險需求。 |
英文摘要 | This article applies the measure of volatility spread, the difference between implied volatilities of puts and calls, to investigate two important issues of Taiwan index option (TXO): 1. the lead-lag relationship between the spot market and the options market 00 Taiwan Stock Index, and 2. investors’ demand for portfolio insurance by holding a position of put options. Empirical results show that the options market contains some information about the returns of spot market, and the options market leads the spot market as much as one day. Investors do not demand put options as expected and only demand more put options when they predict the stock index will further go downward. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。