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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 蘇永成(Yong-Chern Su) | |
dc.contributor.author | Sheng-Jung Wu | en |
dc.contributor.author | 吳昇融 | zh_TW |
dc.date.accessioned | 2021-06-15T05:58:43Z | - |
dc.date.available | 2013-01-17 | |
dc.date.copyright | 2011-01-17 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-08-17 | |
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47413 | - |
dc.description.abstract | The concept of market efficiency has brought a great amount of research and debate ever since Eugene F. Fama published the famous “Efficient Capital Markets” in 1969. There are different kinds of market anomalies and behavioral finance linked to psychology has been revealed. Nevertheless, these conflicts can be harmonized by the concept of “aggregation” which means all the investors taken together will push the market toward efficiency that no one can earn abnormal return by any trading strategy. In the real world, however, efficiency cannot happen instantaneously. The central purpose of this thesis is to investigate the linkage and efficiency between option and stock market during financial tsunami in 2008.
First of all, we selected largest financial institution in the U.S. from June 2008 to December 2008 as our study sample to examine the relation between return and order imbalances by applying the OLS method. The empirical result shows that the contemporaneous imbalances in stock market have a significant impact on returns in the option market, and the lagged-one imbalances also have significantly positive impact on the Call option but not significant on the Put option. After we condition on the contemporaneous imbalances, the impacts of lagged-one imbalances on the Call option are still positive. Similarly, we used the GARCH model to test the relation between order imbalance in the stock market and return as well as volatility in the option market, and it shows that there is also significant relation between contemporaneous imbalances and returns. Finally, we developed an imbalance-based trading strategy aimed at earning positive profit. Our strategy was to long Call when observing the first buyer-initiated order-imbalance and short back the underlying when the order imbalance turn into seller- initiated. Similarly, we long Put when observing the first seller-initiated order-imbalance and short back the underlying when the order imbalance turn into buyer- initiated. This trading strategy outperformed the original buy and hold rate of return. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T05:58:43Z (GMT). No. of bitstreams: 1 ntu-99-R97723046-1.pdf: 823128 bytes, checksum: b8a143662620030f597a340e0046327c (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | CHAPTER 1 INTRODUCTION 1
1.1 MOTIVES AND PURPOSES 1 1.2 FRAME WORK OF THE STUDY 12 CHAPTER 2 DATA AND METHODOLOGY 13 2.1 THE DATA 13 2.1.1 DATA SOURCES 13 2.1.2 DATA PROCESSING METHODS 13 2.1.3 DATA STATISTICS 15 2.2 METHODOLOGY 16 2.2.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES OLS MODEL 16 2.2.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES OLS MODEL 17 2.2.3 DYNAMIC RETURN-ORDER IMBALANCE GARCH (1, 1) MODEL 17 2.2.4 DYNAMIC VOLATILITY-ORDER IMBALANCE GARCH (1, 1) MODEL 18 CHAPTER 3 EMPIRICAL RESULTS 20 3.1 UNCONDITIONAL LAGGED RETURN-ORDER IMBALANCES RELATION 20 3.2 CONDITIONAL CONTEMPORANEOUS RETURN-ORDER IMBALANCES RELATION 22 3.3 DYNAMIC RETURN-ORDER IMBALANCE GARCH (1, 1) RELATION 24 3.4 DYNAMIC VOLATILITY-ORDER IMBALANCE GARCH (1, 1) RELATION 25 3.5 TRADING STRATEGY 27 CHAPTER 4 CONCLUSION 30 REFERENCES 33 APPENDIX 41 | |
dc.language.iso | en | |
dc.title | 金融危機下投資銀行與商業銀行選擇權與股票市場間效率性 | zh_TW |
dc.title | Investment Bank and Commercial Bank Market Efficiency between Option and Stock Markets in Financial Crisis | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 王耀輝(Yaw-Huei Wang) | |
dc.contributor.oralexamcommittee | 胡星陽(Shing-Yang Hu),黃漢青(Han-Ching Huang) | |
dc.subject.keyword | 市場效率性,選擇權,股票, | zh_TW |
dc.subject.keyword | Market efficiency,option,stock, | en |
dc.relation.page | 73 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2010-08-17 | |
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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