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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16606完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 洪茂蔚 | |
| dc.contributor.author | Ya-Wen Lai | en |
| dc.contributor.author | 賴雅雯 | zh_TW |
| dc.date.accessioned | 2021-06-07T18:23:24Z | - |
| dc.date.copyright | 2011-12-11 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-09-29 | |
| dc.identifier.citation | Chapter 2
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16606 | - |
| dc.description.abstract | This dissertation is composed of two essays. I empirically examine rational expectation equilibrium in options/futures markets from behavioral and traditionally rational perspectives. The first essay, titled “Behavioral Heterogeneity, Investor Sentiment and Derivatives Trading: Evidence in Stock Index Futures,” examines whether the futures position is redundant in the sense that the futures position does not contain useful information for the underlying asset. I visit this topic in a behavioral perspective and examine the causal relationship between the underlying return and futures position. I find that hedge trading and index returns have predictive power for each other, and that time-varying investor sentiment is an indispensable ingredient to explain the predictive power of hedge trading for index returns. The second essay, titled “Macro factors in Index Option Returns,” is a test of ICAPM in index option market. Specifically, I investigate whether macro factors can explain the cross-section of index option returns in an asset pricing framework. Macro factors are particularly extracted from a large panel of 132 economic activity indicators using dynamic factor analysis. The results support that macro factors have a decisive influence on index option returns, irrespective of whether the risk premia are estimated from option or stock portfolios. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T18:23:24Z (GMT). No. of bitstreams: 1 ntu-100-D93724019-1.pdf: 657321 bytes, checksum: 60e49ddf14d0c56b04c4b635ec8f0a04 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 口試委員會審定書……………………………………………………………………i
誌謝…………………………………………………………………………………...ii 論文摘要……………………………………………………………………………..iii Dissertation Abstract…………………………………………………………………iv Chapter 1 Dissertation Introduction………………………………………………...1 Chapter 2 Behavioral Heterogeneity, Investor Sentiment and Derivatives Trading: Evidence in Stock Index Futures………………………………………...3 2.1 Introduction………………………………………………………………. …4 2.2 Investor Sentiment and Asset Price Dynamic……………………………. ….8 2.3 Econometric Model for Stock Returns: Behavioral HAM………………….10 2.4 Empirical Methodologies…………………………………………………...13 2.5 Data………………………………………………………………………….17 2.6 Empirical Results………………………………………………………… ...21 2.7 Robustness Checks………………………………………………………….25 2.8 Conclusion……………………………………………………………..........27 References………………………………………………………………………29 Chapter 3 Macro Factors in Index Option Returns……………………………….49 3.1 Introduction…………………………………………………………………50 3.2 Theoretical Motivation………………………………………………….…..52 3.3 Related Literature…………………………………………………………...56 3.4 Empirical Method…………………………………………………………..58 3.5 Data Construction…………………………………………………………..61 3.6 Empirical Results……………………………………………………………63 3.7 Conclusion…………………………………………………………………..71 Appendix………………………………………………………………………..73 References………………………………………………………………………74 | |
| dc.language.iso | en | |
| dc.subject | 行為異質 | zh_TW |
| dc.subject | 衍生性商品交易 | zh_TW |
| dc.subject | 避險交易 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | 總體因子 | zh_TW |
| dc.subject | 選擇權報酬率 | zh_TW |
| dc.subject | 經濟活動指標 | zh_TW |
| dc.subject | Economic activity indicators | en |
| dc.subject | Derivatives trading | en |
| dc.subject | Investor sentiment | en |
| dc.subject | Behavioral heterogeneity | en |
| dc.subject | Option returns | en |
| dc.subject | Macro factors | en |
| dc.subject | Hedge trading | en |
| dc.title | 財務金融研究 | zh_TW |
| dc.title | Essays in Finance | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-1 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 林丙輝,楊聲勇,董澍琦,李揚 | |
| dc.subject.keyword | 行為異質,投資人情緒,衍生性商品交易,避險交易,總體因子,選擇權報酬率,經濟活動指標, | zh_TW |
| dc.subject.keyword | Behavioral heterogeneity,Investor sentiment,Derivatives trading,Hedge trading,Macro factors,Option returns,Economic activity indicators, | en |
| dc.relation.page | 94 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2011-09-29 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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