請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/61517完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
| dc.contributor.author | Jian-Min Wang | en |
| dc.contributor.author | 王建旻 | zh_TW |
| dc.date.accessioned | 2021-06-16T13:04:47Z | - |
| dc.date.available | 2025-07-12 | |
| dc.date.copyright | 2020-07-17 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-12 | |
| dc.identifier.citation | [1] Amin, Kaushik, and Charles Lee. Option trading, price discovery, and earnings news dissemination, Contemporary Accounting Research 14, 153–192. (1997). [2] Atilgan, Y., Bali, T. G., Demirtas, K. O. Implied volatility spreads and expected market returns. Journal of Business Economic Statistics, 33(1), 87–101. (2015). [3] Baker, M., Wurgler, J. Investor sentiment and the crosssection of stock returns. The journal of finance, 61(4), 1645–1680. (2006). [4] Bali, T. G., Hovakimian, A. Volatility spreads and expected stock returns. Management Science, 55(11), 1797–1812. (2009). [5] Chakravarty, S., Gulen, H., Mayhew, S. Informed trading in stock and option markets. The Journal of Finance, 59(3), 1235–1257. (2004). [6] Chang, C.C., Lin, Z.Y., Wang, Y.H. Implied volatility spreads and future options returns around information events and conditions. Available at SSRN 3096877(2018). [7] Cremers, M., Weinbaum, D. Deviations from putcall parity and stock return predictability. Journal of Financial and Quantitative Analysis, 45(2), 335–367.(2010). [8] Doran, J. S., Krieger, K. Implications for asset returns in the implied volatility skew. Financial Analysts Journal, 66(1), 65–76. (2010). [9] Doran, J. S., Peterson, D. R., Tarrant, B. C. Is there information in the volatility skew? Journal of Futures Markets: Futures, Options, and Other Derivative Products, 27(10), 921–959. (2007). [10] Easley, D., O’hara, M., Srinivas, P. S. Option volume and stock prices: Evidence on where informed traders trade. The Journal of Finance, 53(2), 431–465. (1998). [11] Lee, Charles M. C., and Mark J. Ready. Inferring trade direction from intraday data, Journal of Finance 46, 733-746. (1991). [12] Liu, W., Hsieh, Wen-Liang G., Tu, Anthony H. Does the Early Bird Catch the Worm? The Information Content of Taiwan's Index Option Trading in the Early 15-minute Pre-opening Session. North American Journal of Economics and Finance, 41, 168-189. (2017). [13] Ofek, E., Richardson, M., Whitelaw, R. F. Limited arbitrage and short sales restrictions: Evidence from the options markets. Journal of Financial Economics, 74(2), 305–342. (2004). [14] Pan, J., Poteshman, A. M.. The information in option volume for future stock prices. The Review of Financial Studies, 19(3), 871–908. (2006) [15] Vijh, Anand. Liquidity of the CBOE equity options, Journal of Finance 45,1157–1179.(1990). [16] Xing, Y., Zhang, X., Zhao, R. What does the individual option volatility smirk tell us about future equity returns? Journal of Financial and Quantitative Analysis, 45(3), 641–662. (2010). | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/61517 | - |
| dc.description.abstract | 本文使用買賣權隱含波動率差值(CPIV)，以2015至2019年期交所提供的選擇權資料，研究是否對加權指數日內走勢有正向關係，研究發現，08:45 ~ 09:00的買賣權隱含波動率差值對於當日加權指數報酬率確實有解釋能力，且其解釋能力在 (i)VIX值高的區間 (ii)選擇權流動性高的區間更為顯著，除此之外，本文也利用期交所大額交易人未平倉資料，間接證明CPIV有可能是大額交易人的交易結果，並且成功利用統計數據建構日內交易策略，在2015 ~ 2019年打敗台指期貨近月報酬。 | zh_TW |
| dc.description.abstract | This thesis uses intraday option data from Taiwan Futures Exchange to calculate intraday call-¬put implied volatility spreads (CPIV) with maturity adjustment and examines the explanatory power of CPIV for intraday returns of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock index) to Taiwan Capitalization Weighted Stock Index. I find that CPIV exhibits strong relationship with intraday TAIEX index returns. This relationship is more significant for the periods during the period when (i) VIX index is extremely high (ii) option liquidity is relatively high. In addition, I use open interests of large traders data from Taiwan Futures Exchange to partially explain that CPIV may be highly sensitive to the trading behavior of large traders. I also construct an intraday trading strategy based on the research resulted associated with TAIEX Futures. This strategy successfully earns abnormal return during 2015 — 2019. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T13:04:47Z (GMT). No. of bitstreams: 1 U0001-2506202012573300.pdf: 1898177 bytes, checksum: adda77907ec220aa57749728c5314dcf (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 中文摘要 I 英文摘要 II 目錄 III 圖表目錄 IV 第一章 緒論 1 第二章 文獻探討 3 第三章 資料及研究方法 5 3.1 買賣權隱含波動率差值(CPIV)計算 5 3.2 日內報酬率迴歸式控制變數定義 7 3.3買賣權隱含波動率差值之延伸變數 9 3.4 買賣權隱含波動率差值之形成原因 9 第四章 實證結果分析 11 4.1 加權指數日內報酬率之迴歸結果 11 4.2買賣權隱含波動率差值延伸變數之迴歸結果 15 4.3 大額交易人未平倉之迴歸結果 15 4.4 台指期貨近月之迴歸結果 17 4.5 穩健性測試 20 4.6 日內建構策略及回測結果 22 第五章 結論 26 參考文獻 27 | |
| dc.language.iso | zh-TW | |
| dc.title | 以買賣權隱含波動率差值及選擇權內外盤比預測加權指數日內走勢 | zh_TW |
| dc.title | Predicting intraday index returns with call-put implied volatility spread and option volume imbalances in Taiwan market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王之彥(Jr-Yan Wang) | |
| dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),繆維中(Wei-Chung Miao) | |
| dc.subject.keyword | CPIV,內外盤比,隱含波動率差,日內交易, | zh_TW |
| dc.subject.keyword | CPIV,Options volume imbalance,Intraday strategy, | en |
| dc.relation.page | 42 | |
| dc.identifier.doi | 10.6342/NTU202001149 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-07-13 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| U0001-2506202012573300.pdf 目前未授權公開取用 | 1.85 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。