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Title: | 選擇權日內資訊與大盤報酬關係 The Relation between Intraday Implied Volatility Spreads and Index Returns |
Authors: | I Fan Chiang 姜奕帆 |
Advisor: | 莊文議(Wen-I Chuang) |
Keyword: | 標準普爾500指數,大盤報酬,隱含波動率偏離,日內資料,市場情緒, S&P 500,Index Returns,Implied Volatility Spreads,Intraday Data,Market Sentiment, |
Publication Year : | 2019 |
Degree: | 碩士 |
Abstract: | 過去許多文獻在探討選擇權隱含波動率偏離與未來標的報酬的關係時採用的是日資料,本研究採用了日內資料以觀察在同一個交易日中,是否有其他的時間區段對於大盤報酬有正向關係。研究發現,在開盤與盤中時的選擇權隱含波動度偏離對於當日的報酬有解釋能力,且其解釋能力在 (i) 極端市場情緒的區間 (ii) 選擇權流動性高的區間 (iii) 經濟衰退 時更為顯著。另外, 本研究也利用不同區段的選擇權隱含波動度偏離對日內的大盤報酬進行預測,發現開盤區段的波動度偏離相對其他時間含有更多交易資訊,且其預測能力隨著交易時間而遞減。 Numerous studies have investigated the relationship between call-put implied volatility spreads (CPIV) and expected equity returns on daily frequency. While we provide a novel method for calculating the intraday CPIV with moneyness and maturity adjusted weights. We observe that the CPIV of open market intervals and mid intervals have both positive links to S&P 500 contemporaneous index returns. This relationship is much more significant for the periods during which (i) market/consumer sentiment measures reach extreme values (ii) option liquidity is relatively high (iii) economic states head to a downturn. In addition, we also examine the predictability of intraday CPIV on intraday half-hours cumulated returns, discovering that the information is significantly strongest in the open market interval of a single trading day and the predictability decreases as hours decay during the remainder of a day. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/74752 |
DOI: | 10.6342/NTU201904390 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
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ntu-108-1.pdf Restricted Access | 697.87 kB | Adobe PDF |
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