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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁 | |
| dc.contributor.author | Cheng-Yen Lin | en |
| dc.contributor.author | 林政彥 | zh_TW |
| dc.date.accessioned | 2021-06-16T16:20:35Z | - |
| dc.date.available | 2023-03-02 | |
| dc.date.copyright | 2013-02-16 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2013-01-31 | |
| dc.identifier.citation | [1] Aumann, R.J. and R. Serrano. 2008. “An Economic Index of Riskiness,” Journal
of Political Economy, Vol. 116:810-836. [2] Bakshi, G. and D. Madan. 2000. “Spanning and Derivative-Security Valution,” Journal of Financial Economics, Vol.55:205-238. [3] Bali, T.G., N. Cakici and F. Chabi-Yo. 2011. “Riskiness Measures and Expected Returns,” Working Paper, McDonough School of Business, Georgetown University, February 17, 2011. [4] Banerjee, P.S., J.S. Doran and D.R. Peterson. 2007. “Implied Volatility and Future Portfolio Returns,” Journal of Banking and Finance, Vol. 31:3183-3199. [5] Day, T.E. and C.M. Lewis. 1992. “Stock Market Volatility and the Information Content of Stock Index Options,” Journal of Econometrics, Vol. 52:267-287 [6] Foster, D.P. and S. Hart. 2009. “An Operational Measure of Riskiness,” Journal of Political Economy, Vol. 117. [7] French, K.R., G.W. Schwert and R.F. Stambaugh. 1987. “Expected Stock Returns and Volatility,” Journal of Financial Economics, Vol. 19:3-29. [8] Giot, P. 2005. “Relationships Between Implied Volatility Indexes and Stock Index Returns,” The Journal of Portfolio Management, Vol. 31:92-100. [9] Guo, H. and R.F. Whitelaw. 2006. “Uncovering the Risk-Return Relation in the Stock Market,” The Journal of Finance, Vol. 61:1433-1463. [10] Harrison, P. and H.H. Zhang. 1999. “An Investigation of the Risk and Return Relation at Long Horizons,” The Review of Economics and Statistics, Vol. 81:399-408. [11] Hong, J. and J. Zhai. 2010. “An Objective Measure of Risk,” in Industrial Engineering and Engineering Management (IEEM), 2010 IEEE International Conference, December 7-10, Macao, available at: http://ieeexplore.ieee.org/ [12] Kanas, Angelos. 2012. “Modelling the Risk-Return Relation for the S&P100: The Role of VIX,” Economic Modelling, Vol. 29:795-809. [13] Merton, R.C. 1973. “An Intertemporal Capital Asset Pricing Model,” Econometrica, Vol. 41:867-887. [14] Michal Lewandowski. 2009. “Gamble with Price, Operational Measure of Riskiness and Buying and Selling Price for Risky Lotteries,” Retrieved December 24, 2011, from European University Institute, available at: http://www.ewget.uek.krakow.pl/papers/Lewandowski-paper.pdf [15] Whaley, R.E. 2000. “The Investor Fear Gauge,” The Journal of Portfolio Management, Vol. 26:12-17. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/63055 | - |
| dc.description.abstract | 本研究使用 Bali, Cakici and Chabi-Yo (2011) 所提出的方法，利用不同到期日的選擇權分別建立符合 Aumann and Serrano (2008) 與 Foster and Hart (2009) 定義之新風險指標 “Riskiness”。並與波動率指標(VIX)同時應用在台灣加權股價指數、金融指數與電子指數，証實Riskiness 與 VIX 和當期市場報酬具反向之不對稱關係，且兩者皆與未來報酬成正向關係，但 Riskiness 之解釋能力較 VIX 佳，其中又以 60 日選擇權建立之 Riskiness 與未來報酬的關係最為顯著，同時也發現風險指標與報酬間存在線性之外的相關性。若能克服選擇權隱含 Riskiness 中受到期日影響的效果，Riskiness 應可取代 VIX 作為投資人判讀市場的指標。 | zh_TW |
| dc.description.abstract | We employ the option implied “Riskiness” proposed by Bali, Cakici and Chabi-Yo (2011) to perform an empirical study in Taiwan stock market. The Riskiness defined by Aumann and Serrano (2008) and Foster and Hart (2009) are constructed with options with different maturities. We find the evidence of contemporaneous relation between the underlying asset’s return and risk indices, which is asymmetric and negative. And the forward looking ability of both risk indices is confirmed, there is more than positive linearity between expected risk and return. Riskiness has been proved to have stronger explanatory ability than VIX. As long as the effect of maturity can be separated from option implied riskiness, Riskiness will be a better indicator of market condition than VIX. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T16:20:35Z (GMT). No. of bitstreams: 1 ntu-101-R99723065-1.pdf: 734592 bytes, checksum: ddeb9d4b5ec12e1a69a8169b20ab602f (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書....................................................................................................... #
誌謝 ............................................................................................................................... i 中文摘要 ...................................................................................................................... ii ABSTRACT ................................................................................................................ iii CONTENTS ................................................................................................................ iv LIST OF FIGURES ..................................................................................................... vi LIST OF TABLES ...................................................................................................... vii 第一章、 緒論 ....................................................................................................... 1 第二章、 文獻回顧 ............................................................................................... 4 第三章、 研究方法 ............................................................................................... 6 3.1 考量隨機優越下的風險指標 ..................................................................... 6 3.1.1 Aumann and Serrano ......................................................................... 6 3.1.2 Foster and Hart .................................................................................. 7 3.2 風險中立之選擇權隱含 Riskiness ............................................................. 8 3.2.1 Aumann and Serrano ......................................................................... 8 3.2.2 Foster and Hart .................................................................................. 9 3.3 預期風險與實際報酬............................................................................... 11 3.3.1 風險反映 ......................................................................................... 11 3.3.2 預測能力 ......................................................................................... 12 第四章、 資料與實證結果 .................................................................................. 13 4.1 風險反映 .................................................................................................. 15 4.2 預測能力 .................................................................................................. 19 4.2.1 線性關係 ......................................................................................... 19 4.2.2 等級迴歸 ......................................................................................... 22 第五章、 結論與建議 ......................................................................................... 30 參考文獻 .................................................................................................................... 31 | |
| dc.language.iso | zh-TW | |
| dc.subject | 選擇權 | zh_TW |
| dc.subject | Riskiness | zh_TW |
| dc.subject | VIX | zh_TW |
| dc.subject | 預期風險 | zh_TW |
| dc.subject | 期望報酬 | zh_TW |
| dc.subject | Option | en |
| dc.subject | Riskiness | en |
| dc.subject | VIX | en |
| dc.subject | expected risk | en |
| dc.subject | expected return | en |
| dc.title | 選擇權隱含 Riskiness 在台灣股市之實證研究 | zh_TW |
| dc.title | An empirical study of option implied Riskiness in Taiwan market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
| dc.subject.keyword | 選擇權,Riskiness,VIX,預期風險,期望報酬, | zh_TW |
| dc.subject.keyword | Option,Riskiness,VIX,expected risk,expected return, | en |
| dc.relation.page | 32 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-01-31 | |
| 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 | |
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