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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝 | |
| dc.contributor.author | Ying-Tzu Chiu | en |
| dc.contributor.author | 邱映慈 | zh_TW |
| dc.date.accessioned | 2021-06-15T06:43:53Z | - |
| dc.date.available | 2012-07-25 | |
| dc.date.copyright | 2011-07-25 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-04 | |
| dc.identifier.citation | Ahn, H-J., J. Kang, and D. Ryu (2008). Informed trading in the index option market: The case of KOSPI200 options. Journal of Futures Markets, 28, 1118-1146
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47982 | - |
| dc.description.abstract | 本文旨在探討VIX選擇權市場是否隱含能預測VIX指數的資訊。本文使用2008年一月至2010年三月的日間資料，萃取VIX選擇權的報價修正(quote revision)和淨交易量(net trade volume)的時間序列，並採用VAR模型來分析VIX指數報酬率、選擇權的報價修正以及選擇權的淨交易量之間的交互關係。實證研究結果發現，VIX選擇權的報酬率對於未來VIX報酬率有較好的預測能力，而選擇權淨交易量隱含的資訊則相對地較不明顯。另一方面，不論是VIX買權或賣權的淨交易量，即使在排除VIX報酬率、選擇權報酬率的影響後，對於買賣權各自的報價修正仍有預測能力。此外，本文也探討貨幣政策的發佈是否對於VIX選擇權市場的隱含資訊造成影響。實證結果顯示，VIX選擇權市場對於VIX指數的預測能力受貨幣政策發佈的影響不顯著，其中在發佈的日期只有買權的報酬率對於未來的VIX指數和賣權的報酬率有顯著的影響。 | zh_TW |
| dc.description.abstract | In this study we focus on the VIX option market to inspect whether this market is a venue where informed investors are present. We use intraday data from January 2008 to March 2010 to analyze the quote revisions and net trade volume of VIX options and examine their predictive ability for VIX index. Specifically, the interrelationships among VIX index returns, option quote returns and option net trade volume are analyzed using a VAR model. Our results reveal that lagged option returns have some predictive ability for VIX returns, while option net trade volume conveys little information about future VIX returns. On the other hand, both the net trade volume of call and put possess some information on their own quote revisions, even after controlling the influence of quote returns of VIX index, call and put. The impact of monetary announcements is also analyzed in this study and the results show that the ability of option markets to predict VIX index returns is affected slightly, where only lagged call returns relate to subsequent VIX index and put returns on announcement days. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T06:43:53Z (GMT). No. of bitstreams: 1 ntu-100-R98723029-1.pdf: 1000438 bytes, checksum: 7b118f77535993e9cd5c1ef943e6ff1c (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 中文摘要 i
Abstract ii Table of Contents iii List of Tables v List of Figures vi 1.Introduction 1 2.Literature Review 4 2.1 Relationship between stock markets and stock option markets 4 2.2 Relationship between index and index option markets 5 2.3 The informational role of option markets under extreme events 6 2.4 Literature on the cause of changes in trades and quote revisions 6 2.4.1 Information impact 6 2.4.2 Liquidity impact 8 3.Data and Preliminary Analysis 10 3.1 Sample 10 3.2 Trade classification 11 3.3 Summary statistics 12 4.Empirical Methodology and Hypothesis 16 4.1 The VAR model for VIX option market 16 4.2 The model for impact of monetary announcement 19 4.3 Hypotheses 20 4.3.1 Impact of option net trade volume on returns 20 4.3.2 Relationship among returns 20 4.3.3 Impacts of returns on option net trade volume 21 4.3.4 Relationship among option net trade volume 21 5.Empirical Results 23 5.1 Regression analysis based on net trade volume 23 5.1.1 Effects of option net trade volume on quote returns 23 5.1.2 Relationship among returns 25 5.1.3 Effects of quote returns on option net trade volume 25 5.1.4 Relationship among option net trade volume 25 5.2 Regression analysis based on monetary policy announcements 26 5.3 Robustness tests 29 5.3.1 Regression results after controlling for volume intraday patterns 29 5.3.2 Regression analysis based on positive and negative news volume of option 30 5.3.3 Regression analysis based on number of transactions 31 5.3.4 Regression analysis based on dollar volume 32 6.Conclusion 33 References 35 Appendix 38 | |
| dc.language.iso | en | |
| dc.subject | 淨交易量 | zh_TW |
| dc.subject | VIX指數 | zh_TW |
| dc.subject | VIX選擇權 | zh_TW |
| dc.subject | 報價修正 | zh_TW |
| dc.subject | VIX index | en |
| dc.subject | net trade volume | en |
| dc.subject | quote revision | en |
| dc.subject | VIX option | en |
| dc.title | VIX指數選擇權市場的隱含資訊對VIX指數的預測能力 | zh_TW |
| dc.title | The informational role of VIX option markets in the prediction of VIX index | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張森林,石百達 | |
| dc.subject.keyword | VIX指數,VIX選擇權,報價修正,淨交易量, | zh_TW |
| dc.subject.keyword | VIX index,VIX option,quote revision,net trade volume, | en |
| dc.relation.page | 41 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2011-07-04 | |
| 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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