請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91791完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | zh_TW |
| dc.contributor.advisor | Yuh-Dauh Lyuu | en |
| dc.contributor.author | 陳韻帆 | zh_TW |
| dc.contributor.author | Yun-Fan Chen | en |
| dc.date.accessioned | 2024-02-22T16:44:40Z | - |
| dc.date.available | 2024-02-23 | - |
| dc.date.copyright | 2024-02-22 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2024-02-10 | - |
| dc.identifier.citation | 陳旭昇 (2022), 時間序列分析: 總體經濟與財務金融之應用, 三版, 台北市：雙葉菁廊。
R.C. Merton (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1):141-183. G. Schwarz (1978). Estimating the dimension of a model. Annals of Statistics, 6(2): 461-464. J. Hull (2014). Options, futures, and other derivative securities. Upper Saddle River, New Jersey: Prentice Hall, 9th edition. G. Bakshi, N. Kapadia, and D. Madan (2003). Stock return characteristics, skew laws, and the differential pricing of individual equity options. Review of Financial Studies, 16(1):101-143. E.K. Chowdhury, B.K. Dhar, and A. Stasi (2022). Volatility of the US stock market and business strategy during COVID-19. Business Strategy & Development, 5(4): 350-360. D.A. Dickey and W.A. Fuller (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statisticat Association, 74(366):427-431. S.A. Gehricke and J.E. Zhang (2020). The implied volatility smirk in the VXX options market. Applied Economics, 52(8):769-788. S. Grima, L. Özdemir, E. Özen, and I. Romānova (2021). The interactions between COVID-19 cases in the USA, the VIX index and major stock markets. International Journal of Financial Studies, 9(2):1-19. W. Guo, S.A. Gehricke, X. Ruan, and J.E. Zhang (2021). The implied volatility smirk in SPY options. Applied Economics, 53(23):2671-2692. I. Jamil, M. Kogid, T.S. Lim, and J. Lily (2023). Pre- and post-COVID-19: The impact of US, UK, and European stock markets on ASEAN-5 stock markets. International Journal of Financial Studies, 11(2):1-21. J. Li, S.A. Gehricke, and J.E. Zhang (2019). How do US options traders "smirk" on China? Evidence from FXI options. Journal of Futures Markets, 39(11):1450-1470. S. Seabold and J. Perktold (2010). statsmodels: econometric and statistical modeling with Python. In 9th Python in Science Conference. C.J.A. Stuart, S.A. Gehricke, J.E. Zhang, and X. Ruan (2021). Implied volatility smirk in the Australian dollar market. Accounting & Finance, 61(3):4573-4599. J.E. Zhang and Y. Xiang (2008). The implied volatility smirk. Quantitative Finance, 8(3): 263-284. Y. Zhang, S. Ding, and H. Shi (2022). The impact of COVID-19 on the interdependence between US and Chinese oil futures markets. Journal of Futtres Markets,42(11): 2041-2052. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91791 | - |
| dc.description.abstract | 本論文將COVID-19 大流行 前後的S&P 500 指數選擇權的IV曲面以Zhang 和 Xiang 的方法量化後轉而代表隱含風險中立分配的動差，我們將這些動差以不同選擇權到期時間長度做區分，可由此看出疫情前後市場對長短期市況預期的轉變。接著我們再將這些動差用Gehricke 和 Zhang 的方法轉換成時間序列，將動差的時間序列與VIX指數用VAR模型與共整合檢定一起查看比較，結果發現疫情期間隱含風險中立分配的三階和四階動差與VIX指數有較強的關聯性。以上的發現能夠幫我們更完善未來對S&P 500 指數報酬分配，應對金融大事件應有的設定。 | zh_TW |
| dc.description.abstract | This thesis quantifies the implied volatility surfaces of S&P 500 index options before and after the COVID-19 pandemic using the method proposed by Zhang and Xiang. Subsequently, these quantifications are represented as the moments of the implied risk-neutral distributions. We categorize these moments based on various time to maturities of options, which reveals the market''s changing expectations for short-term and long-term conditions before and after the pandemic. Furthermore, we convert these moments into a time series using the method of Gehricke and Zhang, and compare them with the VIX index using a VAR model and the cointegration test. The results show a strong correlation between the skewness and kurtosis of the implied risk-neutral distributions and the VIX index during the pandemic. These findings enhance our understanding of the S&P 500 index return distributions under significant financial distress. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-02-22T16:44:40Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2024-02-22T16:44:40Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員審定書 i
致謝 iii 摘要 v Abstract vii 目次 ix 圖次 xiii 表次 xv 第一章 緒論1 1.1 研究背景 1 1.2 研究目標 2 1.3 全文組織3 第二章 文獻回願與研究動機 5 2.1 文獻回顧 5 2.1.1 COVID-19 對金融市場的影響 5 2.1.2 隱含風險中立分配分析 6 2.2 研究動機 7 第三章 模型與方法 9 3.1 量化 IV 曲面 9 3.2 Chow test 14 3.3 單根檢定 15 3.4 VAR 模型17 3.4.1 VAR 模型檢定 17 3.4.2 Granger 因果關係檢定 18 3.4.3 衝擊反應函數 19 3.4.4 變異數分解22 3.5 Engle-Granger 檢定27 第四章 資料與實證結果31 4.1 時間分段方式 31 4.2 資料 32 4.3 量化 IV 曲面結果33 4.4 Chow test 结果39 4.5 單根檢定结果41 4.6 VAR 模型分析與 Engle-Granger 檢定結果42 4.6.1 VIX 與 γ_0 42 4.6.2 VIX 與 γ_1 49 4.6.3 VIX 具 γ_2 56 第五章 結論與未來展望65 5.1 結論65 5.2 未來展望 65 參考文獻 67 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | COVID-19 | zh_TW |
| dc.subject | 隱含風險中立分配 | zh_TW |
| dc.subject | VAR 模型 | zh_TW |
| dc.subject | 隱含波動度 | zh_TW |
| dc.subject | implied risk-neutral distributions | en |
| dc.subject | VAR model | en |
| dc.subject | implied volatility | en |
| dc.subject | COVID-19 | en |
| dc.title | COVID-19 前後S&P 500指數報酬之風險中立機率分配動差的比較分析 | zh_TW |
| dc.title | A Comparative Analysis of the Moments of the Risk-Neutral Distributions of S&P 500 Index Returns Before and After COVID-19 | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 112-1 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.coadvisor | 繆維中 | zh_TW |
| dc.contributor.coadvisor | Wei-Chung Miao | en |
| dc.contributor.oralexamcommittee | 王之彥;莊文議 | zh_TW |
| dc.contributor.oralexamcommittee | Jr-Yan Wang;Wen-I Chuang | en |
| dc.subject.keyword | COVID-19,隱含風險中立分配,VAR 模型,隱含波動度, | zh_TW |
| dc.subject.keyword | COVID-19,implied risk-neutral distributions,VAR model,implied volatility, | en |
| dc.relation.page | 69 | - |
| dc.identifier.doi | 10.6342/NTU202400401 | - |
| dc.rights.note | 未授權 | - |
| dc.date.accepted | 2024-02-10 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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|---|---|---|---|
| ntu-112-1.pdf 未授權公開取用 | 10.88 MB | Adobe PDF |
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