請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47965完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝(Yaw-Huei Wang) | |
| dc.contributor.author | Kai-Yu Chang | en |
| dc.contributor.author | 張凱喻 | zh_TW |
| dc.date.accessioned | 2021-06-15T06:43:37Z | - |
| dc.date.available | 2013-07-18 | |
| dc.date.copyright | 2011-07-18 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-05 | |
| dc.identifier.citation | References:
Ackert, L.F., and Y.S. Tian (1998). “The introduction of Toronto Index Participation Units and arbitrage opportunities in the Toronto 35 index option market.” Journal of Derivatives 5, 44–53. Ackert, L.F., and Y.S. Tian (2001). “Efficiency in Index Options Markets and Trading in Stock Baskets.” Journal of Banking and Finance 25(9), 1607–1634. Ahoniemi, K. (2006). “Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index.” HECER Discussion Paper, 129. Ahoniemi, K. (2007). “Multiplicative Models for Implied Volatility.” HECER Discussion Paper, 172. Bharadwaj, A., and J.B. Wiggings (2001). “Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market.” Journal of Derivatives 8(4), 62–71. Bhattacharya, M. (1987). “Price Changes of Related Securities: The Case of Call Options Markets.” Journal of Financial and Quantitative Analysis 22, 1-15. Chan, K., Y.P. Chung, and H. Johnson (1993). “Why Option Prices Lag Stock Prices: A Trading-based Explanation.” Journal of Finance 48(5), 1957-1967. Chance, D.M. (1987). “Parity Tests of Index Options.” Advances in Futures and Options Research 2, 47-64. Chen, E. and A. Clements (2007). “S&P 500 implied volatility and monetary policy Announcements.” Finance Research Letters 4, 227-232. Chen, H.C., S.L. Chung, and K.Y. Ho (2011). “The diversification effects of volatility- related assets.” Journal of Banking & Finance 35, 1179–1189. Chulia-Soler, H., M.P.E. Martens and D.J.C. van Dijk (2007). “The effects of federal funds target rate changes on S&P 100 stock returns, volatilities, and correlations.” Erasmus University. Davidson, W.D., J.K. Kim, E. Ors, and A. Szakmary (2001). “Using implied volatility on options to measure the relation between asset returns and variability.” Journal of Banking & Finance 25, 1245–1269. Donders, M. , and T. Vorst (1996). “The impact of firm specific news on implied volatilities.” Journal of Banking and Finance 20, 1447-1461. Ederington, L., and J.H. Lee (1996). “The creation and resolution of market uncertainty: The impact of information releases on implied volatility.” Journal of Financial and Quantitative Analysis 31, 513-539. Evnine, J., and A. Rudd (1985). “Index Options: The early evidence.” Journal of Finance 40, 743-756. Finucane, T. (1991). “Put-Call Parity and Expected Returns.” Journal of Financial and Quantitative Analysis 26(4), 445-457. Fleming, J., B.Ostdiek, and R.E.Whaley (1995). “Predicting stock market volatility: a new measure.” Journal of Futures Markets 15, 265–302. Gould, J. and D. Galai (1974). “Transaction costs and the relationship between put and call prices.” Journal of Financial Economics 1, 105–129. Granger, C. W. J. and M.H. Pesaran (2000). “Economic and statistical measures of forecast accuracy.” Journal of Forecasting 19, 537– 560. Hibbert, A.M., R.T. Daigler, and B. Dupoyet (2008). “A behavioral explanation for the negative asymmetric return-volatility relation.” Journal of Banking & Finance 32, 2254-2266. Kamara, A. and T.W. Miller (1995). “Daily and intradaily tests of European put-call parity.” Journal of Financial and Quantitative Analysis 30(4): 519-539. Kearney, A. and R. Lombra (2004). “Stock market volatility, the news and monetary policy.” Journal of Economics and Finance 28, 252-259. Klemkosky, R.C., and B.G., Resnick (1980). “An ex-ante analysis of put-call parity.” Journal of Financial Economics 8, 363-378. Konstantinidi, E. and G. Skiadopoulos. (2009). “Are VIX futures prices predictable? An empirical investigation.” International Journal of Forecasting : forthcoming. Konstantinidi, E. and, G. Skiadopoulos. (2008). “Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices.” Journal of Banking & Finance 32(11), 2401-2411. Lamont, O.A., and R.H. Thaler (2003). “Can the market add and subtract? Mispricing in tech stock carve-outs.” Journal of Political Economy 111, 227–268. Manaster, S. and R.J. Rendleman (1982). “Option prices as predictors of equilibrium stock prices.” Journal of Finance 37, 1043–1057. Nikkinen, J. and P. Sahlstrom (2004). “Impact of the federal open market committee’s meetings and scheduled macroeconomic news on stock market uncertainty.” International Review of Financial Analysis 13, 1-12. O’Connor, M.L. (1999). “The cross-sectional relationship between trading costs and lead/lag effects in stock & option markets.” Financial Review 34, 95–117. Ofek, E., and M. Richardson (2003). “DotCom mania: the rise and fall of internet stock prices.” Journal of Finance 58, 1113–1137. Ofek, E., M. Richardson, and R. Whitelaw (2004). “Limited arbitrage and short sales restrictions: Evidence from the options markets.” Journal of Financial Economics 74(2), 305-342. Pesaran, M.H., and A. Timmermann (1992). “A simple nonparametric test of predictive performance.” Journal of Business and Economic Statistics 10, 461-465. Stephan, J.A. , and R.E. Whaley (1990). “Intraday price change and trading volume relations in the stock and stock option markets.” Journal of Finance 45, 191–220. Szado, E. (2009). “VIX futures and options – A case study of portfolio diversification during the 2008 financial crisis.” Journal of Alternative Investments 12 (2), 68-85. Wagner, D., D.M. Ellis, and D.A. Dubofsky (1996). “The Factors Behind Put-Call Parity Violations of S&P 100 Index Options.” Financial Review 31(3), 535–552. Whaley, R. (1993). “Derivatives on market volatility: Hedging tools long overdue.” The Journal of Derivatives 1, 71-84. http://www.cboe.com/micro/VIX/vixintro.aspx | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47965 | - |
| dc.description.abstract | This study focuses on the relationship between implied VIX spread of VIX options and future change of VIX index. Implied VIX spreads are calculated from Put-Call Parity, besides, in this study, we offer three methods: the simple average, the weighted mean, and the nearest maturity and the closet at-the-money methods to get daily implied VIX spread. And we incorporate the implied VIX spread in ARIMA(1,1,1) and probit models with other economic variables to see whether it could improve the accuracy of forecast. According to our empirical result, the implied VIX spread is statistically significantly and it can strengthen prediction of VIX. Furthermore, we construct a naïve trading strategy based on the forecasting results, although gaining positive excess returns, we bear quite large risk. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T06:43:37Z (GMT). No. of bitstreams: 1 ntu-100-R98723023-1.pdf: 375805 bytes, checksum: 52da5cba835e3f0dca9b41ea73de96e7 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 中文摘要……………………………………………………………ii
Abstract……………………………………………………………iii Contents……………………………………………………………iv List of Tables and Figures…………………………………… v I. Introduction……………………………………………………1 II. Literature Review……………………………………………4 III. Methodology and Data………………………………………7 3.1 Put-Call Parity for Index Options………………… 7 3.2 Implied VIX Spreads…………………………………… 8 3.3 Data and Preliminary Analysis……………………… 9 IV. Modeling VIX…………………………………………………15 4.1 Linear Models……………………………………………15 4.2 Probit Models……………………………………………18 4.3 Forecast………………………………………………… 20 V. Empirical Results……………………………………………22 5.1 Simple Regression Analysis………………………… 22 5.2 ARIMA(1,1,1) and Probit Models with Additional Variables…………………………………………………25 5.3 Forecast Results……………………………………… 31 5.4 The Relationship between VIX and Implied SPX Spread…………………………………………………… 34 5.5 Trading Strategy Based on the Forecast Results……………………………………………………37 VI. Conclusion.………………………………………………… 41 References…………………………………………………………42 | |
| dc.language.iso | en | |
| dc.subject | VIX選擇權 | zh_TW |
| dc.subject | 波動率指數 | zh_TW |
| dc.subject | 隱含VIX價差 | zh_TW |
| dc.subject | VIX Options | en |
| dc.subject | Implied VIX Spreads | en |
| dc.subject | VIX Index | en |
| dc.title | VIX選擇權隱含價差與未來VIX指數變動之關係 | zh_TW |
| dc.title | The relation between the Implied VIX Spreads of VIX options and the future change of VIX index | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張森林(San-Lin Chung),石百達(Pai-Ta Shih) | |
| dc.subject.keyword | 波動率指數,隱含VIX價差,VIX選擇權, | zh_TW |
| dc.subject.keyword | VIX Index,Implied VIX Spreads,VIX Options, | en |
| dc.relation.page | 45 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2011-07-05 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-100-1.pdf 未授權公開取用 | 367 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。