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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/12942

Title: 台指選擇權市場與加權股價指數之關聯性分析
An Analysis of Relationship between the Stock Market and the Index Options Market in Taiwan
Authors: Po-Kai Zhong
鍾博凱
Contributors: NTOU:Institute of Applied Economics
國立臺灣海洋大學:應用經濟研究所
Keywords: 台股加權股價指數;真實波動率;隱含波動率;選擇權市場
TAIEX Index;Real Volatility;Implied Volatility;Options Market
Date: 2003
Issue Date: 2011-06-30T07:09:19Z
Abstract: 本文利用2003年(2003/1/2至2003/12/31)為樣本期間之台股加權股價指數日內高頻率資料估計出真實波動率,利用MAE、RMSE、RMSPE和迴歸模式檢定比較GARCH(1,1)模型與隱含波動率模型對真實波動率的配適能力。實證發現在2003年下半年台指選擇權交易量平穩時買權真實波動率對真實波動率的配適能力最好;另外本文也用買權隱含波動變動率與台股加權股價指數報酬率以VAR模型來衡量選擇權市場與股票市場間的領先落後關係。實證結果發現台指選擇權市場會領先股票市場一天,且買權隱含波動變動率與股價報酬率呈反向變動。但是股票市場的表現並不會影響台指選擇權市場,也就是說股票市場並無領先台指選擇權市場。
This article uses the intraday data of TAIEX index to estimate the real volatility of the return of TAIEX index in 2003 and to compare the performance of the estimated volatility which is estimated by GRACH(1,1) model and the implied volatility model calculated based on Black and Scholes model. Based on MAE, RMSE, RMSPE and the regression methods, this study shows that the implied volatility model performs well than the estimated GARCH(1,1) volatility during the second half of 2003 when the trading volume of the TAIEX index options is stable. This study also uses the daily percentage change of the implied volatility of call options and the return of the TAIEX index to analyze the lead-lag relationship between the TAIEX options market and the spot market by VAR model. The empirical result shows that the options market leads the spot market for one day and the percentage change of the implied volatility of the call options has a negative impact on the return of the TAIEX index, but not vis verse. Hence, the spot market doesn’t lead the options market during 2003.
URI: http://ethesys.lib.ntou.edu.tw/cdrfb3/record/#G0M91350003
http://ntour.ntou.edu.tw/ir/handle/987654321/12942
Appears in Collections:[應用經濟研究所] 博碩士論文

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