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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝 | |
| dc.contributor.author | Yen-Ming Chen | en |
| dc.contributor.author | 陳彥銘 | zh_TW |
| dc.date.accessioned | 2021-06-17T00:21:04Z | - |
| dc.date.available | 2012-06-29 | |
| dc.date.copyright | 2012-06-29 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-06-20 | |
| dc.identifier.citation | Aït-Sahalia, Y., A. W. Lo, 2000, “Nonparametric risk management and
implied risk aversion”, Journal of Econometrics, 94, 9–51. Ang, A., R. Hodrick, Y. Xing, and X. Zhang, 2006, “The cross section of volatility and expected returns”, Journal of Finance, 51, 259–299. Arrow, K. J., 1965, “Aspects of the Theory of Risk Bearing”, Helsinki: Yrjo Jahnsson Lectures. Bliss, R. R., N. Panigirtzoglou, 2004. “Option-implied risk aversion estimates”, Journal of Finance, 59, 407–446. Bollerslev, T., M. Gibson, and H. Zhou. 2011, “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities”, Journal of Econometrics, 160 , 235–245 Bollerslev, T., H. Zhou, 2002, “Estimating stochastic volatility discussion using conditional moments of integrated volatility”, Journal of Econometrics, 109, 33-65. Bollerslev, T., H. Zhou, 2006, “Volatility puzzles: A simple framework for gauging return-volatility regressions”, Journal of Econometrics, 131, 123-150. Brandt, M., K. Wang, 2003, “Time-varying risk aversion and unexpected inflation”, Journal of Monetary Economics, 50, 1457-1498. Cohn, R. A., W. G. Lewellen, R. C. Lease, and G. G. Schlarbaum, 1975, “Individual Investor Risk Aversion and Investment Portfolio Composition”, Journal of Finance, 30, 605-620. DeLisle, R. J., J. S. Doran, and D. R. Peterson, 2011, “Asymmetric pricing of implied systematic volatility in the cross section of expected returns”, The Journal of Futures Markets, 31, 34–54 Friend, I., and M. E. Blume, 1975, “The Demand for Risky Assets”, American Economic Review, 65, 900-922. Gordon, S., P. St-Amour, 2004, “Asset returns and state-dependent risk Preferences”, Journal of Business and Economic Statistics, 22, 241–252. Jackwerth, J. C., 2000, “Recovering risk aversion from option prices and realized returns”, Review of Financial Studies, 13, 433–451. Kim, S., and B. Lee, 2008, “Stock Returns, Asymmetric Volatility, Risk Aversion, and Business Cycle: Some new Evidence”, Economic Inquiry, 46, 131 – 148. Merton, R. C., 1980, “On Estimating the Expected Return on the Market: An Exploratory Investigation”, Journal of Financial Economics, 8, 61–323. Nyberg, P., and A. Wilhelmsson, 2010, “Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns”, The Financial Review, 45, 1079–1100. Pratt, J. W., 1964, “Risk Aversion in the Small and in the Large”, Econometrica, 32, 122-136 Shiller R., 2005, Irrational Exuberance. Princeton University Press 2000, Broadway Books 2001, 2nd ed., 2005. Rosenberg, J. V., R. F. Engle, 2002, “Empirical pricing kernels”, Journal of Financial Economics, 64, 341–372. Siegel, F. W., and J. P. Hoban, Jr., 1982, “Relative Risk Aversion Revisited”, Review of Economics and Statistics, 64, 481-487. Whaley, R. E., 1993, “Derivatives on market volatility: Hedging tools long overdue”, Journal of Derivatives 1, 71-84. Whaley, R E., 2009, “Understanding the VIX ', Journal of Portfolio Management, 35 , 98-105. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66077 | - |
| dc.description.abstract | 本研究旨在研究投資人風險趨避程度的變化是否對VIX的改變量具有不對稱的影響，其次我們找了其他總體經濟變數來探討其與風險趨避程度的關係。我們以Bollerslev, Gilbson and Zhou在2011年所提出的方法做基礎，藉此得到每日投資人風險趨避程度的估計值。我們的研究發現，以日資料做觀察，投資人風險趨避程度的變動對VIX以及VIX的改變量都具有不對稱效果，但是當我們以月資料觀察時，不對稱效果顯著性下降，且在加入總體經濟變數後，不對稱效果不再存在，也顯示了風險趨避程度與經濟環境有所關聯。 | zh_TW |
| dc.description.abstract | In this paper, the main issue we want to discuss is that whether the investors’ risk aversion is asymmetric to the VIX levels and innovations. We will also examine relationship between time-varying risk aversion and some variables other than VIX. Our method is based on Bollerslev, Gilbson and Zhou (2011) who use the moment condition involving VIX and realized volatilities to approximate the investors’ risk aversion. We extend the method to a daily basis and obtain the daily risk aversion series. We find that risk aversion has an asymmetric relationship with VIX levels and innovations on a daily basis. The relation become less significant when changing the data into a monthly basis and the asymmetric relation disappears when including the macro-variables. The macro- variables also have explanatory power on risk aversion.
It suggest that risk aversion is economic state-dependent. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T00:21:04Z (GMT). No. of bitstreams: 1 ntu-101-R99723024-1.pdf: 1104831 bytes, checksum: 2ffd5f0d879b7176267051277e857494 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
謝辭 ii 摘要 iii Abstract iv 1. Introduction 1 2. literature review 4 3. Methodology and Implementation issues 7 3.1. Methodology 7 3.2. Implementation issues 10 4. Data 14 5. Regression analyses 20 5.1. Daily regression 21 5.2. Monthly regression 27 6. Conclusions 35 Appendix 36 References 37 | |
| dc.language.iso | en | |
| dc.title | 投資人風險趨避程度與VIX的不對稱關係 | zh_TW |
| dc.title | The Asymmetry Relationship between Time-varying Risk Aversion and VIX Index | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張森林,徐之強 | |
| dc.subject.keyword | 風險趨避,VIX,不對稱關係, | zh_TW |
| dc.subject.keyword | time-varying risk aversion,VIX,asymmetric relation, | en |
| dc.relation.page | 39 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-06-21 | |
| 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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