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Title: | 衍生性商品隱含尾端指數對標的資產價格動態之資訊內涵 The Information Content of Derivatives Implied Tail Indices for Future Price Dynamics |
Authors: | Cheng-Lun Li 李承侖 |
Advisor: | 王耀輝(Yaw-Huei Wang) |
Keyword: | VIX,S&P500,選擇權,尾端指數,實現波動度,報酬率,極端事件,巨幅波動, VIX,S&P500,Option,Jump,Tail,Tail Index,Realized Volatility,Return,Rare Event,Large Movement, |
Publication Year : | 2014 |
Degree: | 碩士 |
Abstract: | 市場上的投資人最怕的是遇到股市崩盤或是大幅下跌,近幾年來的衍生性商品發展越趨成熟,衍生性商品提供了一個良好的避險管道,借由觀察衍生性商品的交易資料,我們可以推出投資人對未來的預期及避險需求進一步了解未來可能發生的極端事件(包括大漲或大跌)。本文取了四種商品,分別為VIX 買權、VIX 賣權、S&P500 買權、S&P500 賣權,透過模型假設堆導,利用接近到期日且深度價外的選擇權,計算得到尾端指數,再將這些指數拿來預估市場的報酬率及波動率,相較之下S&P500 買權、S&P500 賣權對於未來的報酬率具有比VIX 買權、VIX 賣權更顯著的解釋力。波動率的部分則是四個尾端指數都具有顯著解釋能力。而我們做出來的結果發現這些尾端指數比較像是預測波動幅度大小而非方向。 One of the things investors fear the most is market crash. As the developmentof the financial product, more and more derivatives are actively traded. Those derivatives provide a way for investors to hedge their position. By observing the trading data on the derivative markets, we might be able to extract the useful information regarding how the investors expect about futures. We built a model and use close to maturity and deep out of the money S&P500 call, S&P500 put, VIX call, and VIX put to calculate the tail indices. And we use these indices to predict the return and volatility of S&P500 Index. Overall, S&P500’s tail indices got more significant in the return prediction. On the prediction of realized volatility, we got perfect result on all four tail indices. And our result act more like predicting return volatility rather than the direction (gain or loss). |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/57330 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
Files in This Item:
File | Size | Format | |
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ntu-103-1.pdf Restricted Access | 2.31 MB | Adobe PDF |
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