查詢結果分析
相關文獻
- 臺指選擇權交易量與偏態的資訊內含
- 解除外資匯出管制對國內股市之影響
- 非常態性資料對樣本中位數之影響
- 美國關於資訊授權與管轄權相關問題
- 偏態與峰態訊息在臺灣股票市場的實證分析
- 零售業服務性作業品質評估之研究
- 臺灣股票價格非連續跳躍變動與條件異質變異之研究
- The Intradaily Price-Volume Patterns in the Taipei Foreign Exchange Market
- Modeling Asian Stock Returns with a More General Parametric GARCH Specification
- 臺灣股票市場股票報酬分配型態之實証研究
頁籤選單縮合
題名 | 臺指選擇權交易量與偏態的資訊內含=The Information Content of Trading Volume and Skewness in Taiwan Index Option |
---|---|
作者 | 吳土城; 潘璟靜; 柯偉婷; Wu, Tu-cheng; Pan, Ging-ginq; Ke, Wei-ting; |
期刊 | 樹德科技大學學報 |
出版日期 | 20140700 |
卷期 | 16:2 2014.07[民103.07] |
頁次 | 頁1-20 |
分類號 | 562.1 |
語文 | chi |
關鍵詞 | 選擇權交易量; 偏態; 資訊交易; |
中文摘要 | 本文藉由臺指選擇權交易量和偏態與現貨報酬之間的連結,觀察跨市場間資訊之傳遞效果。首先以傳統交易量對現貨報酬進行檢測,再將交易區分出主動方,以正向、負向交易和淨買壓作為資訊變數,探討交易量的資訊作用,最後,以三種不同計算方法的偏態檢測對現貨報酬的預測力。結果顯示,資訊交易者會以選擇權作為資訊交易的工具,但資訊交易量的預測力未優於傳統交易量,傳統的買權交易量的預測力長達三週,波動度冷笑情形對隔日報酬具有預測力。 |
英文摘要 | The aim of this article is to observe the transmission effect of information on cross-market by the spot return, the trading volume, and return skewness, in the Taiwan Index Option. First, we test the relationship between spot return and trading volume. Second, we let positive trading, negative trading, and net buying pressure be as information variables, and then discuss the information role of trading volume. Finally, we use three different return skews to test predictive power of spot return. The results show that information traders prefer to use the option contract as a tool in trading. However, the predictive power of the information trading volume is not superior to the traditional trading volume. The results also indicate that the predictive power of the traditional trading volume of the call option continues for three weeks, and the information of volatility sneer has a predictive power for the next-day return. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。