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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
dc.contributor.author | I Fan Chiang | en |
dc.contributor.author | 姜奕帆 | zh_TW |
dc.date.accessioned | 2021-06-17T09:06:58Z | - |
dc.date.available | 2025-02-04 | |
dc.date.copyright | 2020-02-04 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-12-18 | |
dc.identifier.citation | Amin, K., Coval, J. D., & Seyhun, H. N. (2004). Index option prices and stock market momentum. The Journal of Business, 77(4), 835–874.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/74752 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T09:06:58Z (GMT). No. of bitstreams: 1 ntu-108-R06723051-1.pdf: 714618 bytes, checksum: 1a510a5b9c813ddacdec223b2a3ec5e1 (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | 誌謝I
摘要II Abstract III 1 Introduction 1 2 Hypothesis Development 5 3 Data and Empirical Methodology 6 3.1 Deviation From PutCall Parity 6 3.2 Data 10 3.3 Empirical Methodology 12 4 Empirical Results 14 4.1 Relationships Between CPIV and Option Characteristic 15 4.2 Relationships Between Index Returns and CPIV 16 5 Further Discussion 18 5.1 Sentiment Indicator 18 5.2 Option Liquidity 20 5.3 Economic States 21 6 Conclusion 22 | |
dc.language.iso | en | |
dc.title | 選擇權日內資訊與大盤報酬關係 | zh_TW |
dc.title | The Relation between Intraday Implied Volatility Spreads and Index Returns | en |
dc.type | Thesis | |
dc.date.schoolyear | 108-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王之彥(Jr-Yan Wang),石百達(PAI-TA SHIH) | |
dc.subject.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, | zh_TW |
dc.subject.keyword | S&P 500,Index Returns,Implied Volatility Spreads,Intraday Data,Market Sentiment, | en |
dc.relation.page | 36 | |
dc.identifier.doi | 10.6342/NTU201904390 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2019-12-18 | |
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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