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Title: | 以選擇權隱含之 Beta 值預測市場危機 Forecasting Market Crashes Using Option-implied Betas |
Authors: | Min-Syuan Tsai 蔡旻軒 |
Advisor: | 石百達 |
Co-Advisor: | 莊文議 |
Keyword: | 市場危機,決策樹,選擇權隱含貝它值, Stock Market Crashes,Decision Tree,Option-implied Beta, |
Publication Year : | 2020 |
Degree: | 碩士 |
Abstract: | 本研究運用選擇權隱含之 Beta 值,探討市場危機是否具可預測性。本研究 搜集了 1996 年至 2016 年 S&P 500 股價指數與其成分股週資料,以 S&P 500 股 價指數月報酬率之風險值定義市場危機,並由選擇權隱含之 Beta 值定義三項代 理變數,使用決策樹模型對市場危機進行預測。實證結果發現,在相對寬鬆之 風險值下,決策樹模型較能夠正確預測市場危機以及 S&P 500 股價指數下跌之 趨勢。 This study investigates whether market crashes can be predicted using option- implied betas. Three proxy variables of option-implied betas as features are used to predict market crisis event which is defined using Value at Risk(VaR). The thesis empirical results based upon 1996-2016 S&P 500 data show that market crisis event and S&P 500 index movement could be predicted more accurately when using VaR with a lower confidence level. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/64972 |
DOI: | 10.6342/NTU202000574 |
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-109-1.pdf Restricted Access | 1.73 MB | Adobe PDF |
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