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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比 | zh_TW |
| dc.contributor.advisor | Shean-Bill Chiu | en |
| dc.contributor.author | 盧靜足 | zh_TW |
| dc.contributor.author | Ching-Tsu Lu | en |
| dc.date.accessioned | 2024-05-15T16:06:09Z | - |
| dc.date.available | 2024-05-16 | - |
| dc.date.copyright | 2024-05-15 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2024-05-11 | - |
| dc.identifier.citation | 一、中文文獻
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Tail comovements of implied volatility indices and global index futures returns predictability. Working Paper. Lee, H.C., Chang, S.L., 2013. Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns. North American Journal of Economics and Finance 26, 197–216. Lee, Y.H., Liao, T.H., Lee, H.C., 2022. Overnight returns of industry ETFs, investor sentiment, and futures market returns. Journal of Futures Markets, 42, 1114–1134. Lin, Q., 2018. Technical analysis and stock return predictability: An aligned approach. Journal of Financial Markets 38, 103–123. Lo, A., MacKinlay, C., 1990. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3, 175–205. Maheu, J.M., McCurdy, T.H., 2000. Identifying bull and bear markets in stock returns. Journal of Business and Economic Statistics 18, 100-112. Neely, C.J., Rapach, D.E., Tu, J., Zhou, G., 2014. Forecasting the equity risk premium: The role of technical indicators. 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E., 2000. The investor fear gauge. Journal of Portfolio Management 26（3）, 12–17. Yang, Z., Zhou, Y., Cheng, X., 2020. Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices. Journal of Futures Markets 40, 392–409. Zaremba, A., 2019. Cross-sectional seasonalities in international government bond returns. Journal of Banking and Finance 98, 80–94. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/92630 | - |
| dc.description.abstract | 本研究旨在探討波動指數共移對美國債券期貨市場報酬的影響。採用量化數據分析方法，透過實證研究波動指數共移對美國債券期貨市場報酬之影響，找出二者間之關聯性，提出有效的投資策略建議。
透過對2000年至2023年美聯儲（Fed）貨幣政策的深入分析，本文梳理了不同經濟階段對債券市場的影響，特別是在快速升息周期對固定收益市場造成的衝擊。本研究總結了波動指數共移對債券期貨市場報酬的影響，並基於研究結果提出了具體的投資建議。從波動指數共移之共同因子的多空交易策略，其結果說明當模型預測未來報酬會低的投組實際上的報酬較低，模型預測報酬會高的投組實際上的報酬較高。根據此模型的預測值進行投資，可以獲得正的報酬。故使用波動指數共移之共同因子建構出的多空交易策略有預測能力及經濟意涵。這些建議旨在幫助投資者在面對市場波動時，能夠制定更好投資策略，從而實現收益最大化。 | zh_TW |
| dc.description.abstract | This study aims to explore the impact of volatility index co-movement on the returns of the U.S. bond futures market. Utilizing quantitative data analysis, it empirically examines the influence of volatility index co-movement on U.S. bond futures market returns, identifies the correlation between the two, and proposes effective investment strategy recommendations.
Through an in-depth analysis of the Federal Reserve's monetary policy from 2000 to 2023, the paper delineates the impact of different economic phases on the bond market, especially the challenges posed during rapid interest rate hike cycles. The research concludes the impact of volatility index co-movement on bond futures market returns and provides specific investment recommendations based on the findings. These suggestions aim to assist investors in formulating better investment strategies to maximize returns amid market fluctuations. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-05-15T16:06:09Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2024-05-15T16:06:09Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 誌謝 ii
中文摘要 iii THESIS ABSTRACT iv 目次 v 圖次 vii 表次 viii 第一章 緒論 1 第一節 研究背景－貨幣政策論述 1 第二節 研究背景－債券倒掛探討 5 第三節 研究動機 8 第四節 研究架構 10 第二章 文獻探討 11 第一節 共移現象 11 第二節 資產報酬預測 14 第三節 多頭空頭判斷衡量 16 第四節 文獻評論 17 第三章 研究方法 18 第一節 資料來源 18 第二節 共移衡量與預測模型 20 第三節 預測績效衡量 23 第四節 多頭空頭判斷衡量 27 第四章 研究結果 29 第一節 基本統計量與共移強度 29 第二節 樣本外預測績效 32 第三節 確定等值報酬 40 第四節 多、空交易策略 47 第五節 回溯實證結果 53 第六節 參考文獻討論 64 第五章 結論與建議 66 第一節 研究結論 66 第二節 研究建議 70 參考文獻 72 | - |
| dc.language.iso | zh_TW | - |
| dc.title | 波動指數共移對美國債券期貨市場報酬之實證研究 | zh_TW |
| dc.title | An Empirical Study of Volatility Index Co-Movement on U.S. Treasury Bond Futures Market Returns | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 112-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 林修葳;廖咸興 | zh_TW |
| dc.contributor.oralexamcommittee | Xiu-Wei Lin;Xian-Xing Liao | en |
| dc.subject.keyword | 波動指數共移,美聯儲（Fed）,貨幣政策,美國債券期貨,量化數據分析, | zh_TW |
| dc.subject.keyword | Volatility Index Co-movement,Federal Reserve（Fed）,Monetary Policy,U.S. bond futures,Quantitative Data Analysis, | en |
| dc.relation.page | 75 | - |
| dc.identifier.doi | 10.6342/NTU202400952 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2024-05-11 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 碩士在職專班財務金融組 | - |
| 顯示於系所單位： | 財務金融組 | |
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