Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16981
Title: | 波動率微笑預測匯率報酬分析 Can OTC Currency Option Volatility Smile Predict Currency Future Returns? |
Authors: | Meng-Te Chan 詹孟德 |
Advisor: | 王耀輝 |
Keyword: | 波動率微笑,外匯市場,外匯選擇權, Volatility Smile,Exchange rate,Currency option, |
Publication Year : | 2014 |
Degree: | 碩士 |
Abstract: | 有許多文獻都探討選擇權市場波動率微笑與現貨市場報酬間的關係,許多實證研究顯示波動率微笑的確對於現貨市場的未來報酬有預測的作用,代表選擇權市場隱含著現貨市場的資訊。本篇文章中與之前的文獻不同的地方在於利用OTC市場的資料,而不是公開市場的資料,來驗證外匯選擇權與外匯未來的報酬之間的關係。
我們將外匯報酬與從波動率微笑中定義的變數作迴歸,發現只有有關日幣的匯率迴歸所得到的結果具有顯著性。這種線性的顯著性可以維持超過20個禮拜。但我們利用迴歸所得到的結果建立買高賣低策略所得到的報酬並沒有顯著異於買進並持有的策略所得到的報酬。因此我們無法從波動率微笑中所得到的資訊建立具有額外報酬的投資組合。 Lots of previous studies show the volatility smile in option markets has significant predictive power for future stock returns. In this paper we want to exam the predictability of measure of volatility smile for future currency returns. Different from previous studies, we use OTC option data instead of exchange market data. By regressing future currency returns on the measures of volatility smile, we find the measures of volatility smile for exchange rates related to Yen have significant predictability to future currency returns. The predictability persists up to 20 weeks. However, the two Long-Short strategies cannot get extra returns compared with the Buy-and-Hold strategy. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16981 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 財務金融組 |
Files in This Item:
File | Size | Format | |
---|---|---|---|
ntu-103-1.pdf Restricted Access | 2 MB | Adobe PDF |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.