Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/98166| Title: | 在新資料期間檢驗SVIX指標對市場報酬的預測力 Examining the Predictive Power of SVIX for Market Returns Over a New Sample Period |
| Authors: | 林禹丞 Yu-Cheng Lin |
| Advisor: | 曾郁仁 Larry Y. Tzeng |
| Keyword: | 市場期望報酬,風險溢酬,標普500指數選擇權,預測報酬, Market expected return,Risk premium,S&P 500 index option,Predicting return, |
| Publication Year : | 2025 |
| Degree: | 碩士 |
| Abstract: | 本研究依循Martin (2017) 提出之方法，在1996年至2023年的資料期間內，建立波動度指標SVIX以及與之緊密連結的股權溢酬之下界，並檢驗這些下界對未來股票市場超額報酬的預測力。研究結果顯示，該方法建立出之股權溢酬下界在樣本期間後期擁有較佳的預測力。 This paper follows the methodology proposed by Martin (2017) to construct SVIX-linked lower bounds on the equity premium, using data from 1996 to 2023. The results show that these bounds are relatively effective in predicting future stock market excess returns during the later years of the sample period. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/98166 |
| DOI: | 10.6342/NTU202501451 |
| Fulltext Rights: | 同意授權(限校園內公開) |
| metadata.dc.date.embargo-lift: | 2025-07-31 |
| Appears in Collections: | 財務金融學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-113-2.pdf Access limited in NTU ip range | 956.9 kB | Adobe PDF |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.