頁籤選單縮合
題 名 | 臺指選擇權市場資訊反應之探討=Reaction to Information in the Taiex Options Market |
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作 者 | 潘璟靜; 吳土城; | 書刊名 | 中國統計學報 |
卷 期 | 54:3 2016.09[民105.09] |
頁 次 | 頁112-128 |
分類號 | 562.1 |
關鍵詞 | 隱含波動度; 錯誤反應; 市場效率性; Implied volatility; Misreaction to information; Market efficiency; |
語 文 | 中文(Chinese) |
中文摘要 | 面對波動度衝擊,短期與長期選擇權價格的相對反應能力一直是重要的研究課題;現存文獻多以某一既定模型推導隱含波動度進行比較分析,但這將產生模型設定錯誤問題。為避免模型設定錯誤,本研究分別採用Britten-Jonesand Neuberger (2000) 與Bakshi, Kapadia and Madan (2003) 的想法,使用價外選擇權交易價格計算隱含波動度,以近月份與遠月份臺指選擇權為對象,探討當近月份隱含波動度變動,遠月份隱含波動度的變動是否過度或不足。有別於S&P 指數選擇權的過度反應現象,2005年至2008年臺指選擇權存在低度反應現象,2009年至2013年則不存在錯誤反應現象,表示臺指選擇權市場效率性已獲改善。 |
英文摘要 | Existing research examines the impact of volatility shocks on the relative pricing of long-term vs. short-term options. Most of them rely on implied volatilities derived from specific option-pricing models and are thus subject to model specification errors. In order to avoid the model specification errors, this study adopts the approach developed by Britten-Jones and Neuberger (2000) and Bakshi, Kapadia and Madan (2003), using all out-of-the-money options, to deriving implied volatilities. The empirical results show that underreaction to information was in the TXO market during the period 2005~2008, while such misreaction disappeared during the period 2009~2013. It means the efficiency of the TXO market has improved. |
本系統中英文摘要資訊取自各篇刊載內容。