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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝(Yaw-Huei Wang) | |
| dc.contributor.author | Wei-Chih Lai | en |
| dc.contributor.author | 賴威志 | zh_TW |
| dc.date.accessioned | 2021-06-15T06:43:56Z | - |
| dc.date.available | 2011-07-25 | |
| dc.date.copyright | 2011-07-25 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-04 | |
| dc.identifier.citation | Acharya, V., Pedersen, L., 2005. Asset pricing with liquidity risk. Journal of Financial Economics 77, 375-410
Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31-56 Bakshi, G., Kapadia, N., 2003. Delta-hedged gains and the negative market volatility risk premium. Review of Financial Studies 16, 527-566 Black, F., 1975. Fact and fantasy in use of options. Financial Analyst Journal 31 (4), 36–72. Brockman, P., and Chung, D.Y., 2002. Commonality in liquidity: evidence from an order-driven market structure. Journal of Financial Research 25, 521-539 Brockman, P., Chung, D.Y., and Pérignon, C., 2009. Commonality in liquidity: a global perspective. Journal of Financial and Quantitative Analysis 4, 851-892 Brunnermeier, M., Pedersen, L., 2009. Market liquidity and funding liquidity. Review of Financial Studies 22, 2201-2238 Cao, M., Wei , J.,2010. Option market liquidity: Commonality and other characteristics. Journal of Financial Markets 13, 20–48 Carr, P., Wu, L., 2009. Variance risk premiums. Review of Financial Studies 22, 1311-1341 Cho, Y., Engle, R., 1999. Modeling the impacts of market activity on bid–ask spreads in the option market. NBER working paper. Chordia, T., Roll, R., Subrahmanyam, A., 2001. Market liquidity and trading activity. Journal of Finance 56, 501–530. Coval, J. D., Shumway, T., 2001. Expected option returns. Journal of Finance 56, 983-1009. Çetin, U., Jarrow, R., Protter, P., 2004. Liquidity risk and arbitrage pricing theory. Finance and Stochastic 8, 311–341. Çetin, U., Jarrow, R., Protter, P., Warachka, M., 2006. Pricing options in an extended Black Scholes economy with illiquidity: theory and empirical evidence. Review of Financial Studies 19 (2), 493–529 Easley, D., O’Hara, M., 1992. Time and the process of security price adjustment. Journal of Finance 47 (2), 577–605 Easley, D., O’Hara, M., Srinivas, P., 1998. Option volume and stock prices: evidence on where informed traders trade. Journal of Finance 53 (2), 431–465 Fabre, J., Frino, A., 2004. Commonality in liquidity: Evidence from the Australian stock exchange. Accounting and Finance 44, 357-368 Hameed, A., Kang, W., Viswanathan, S., 2010. Stock market declines and liquidity. Journal of Finance 65, 257-293 Hasbroud, J., and Seppi, D.J.,2001. Common factors in price, order flow, and liquidity. Journal of Financial Economics 59, 383-411 Huberman, G. and Halka, D., 2001. Systematic liquidity. Journal of Financial Research 24, 161-178 Jarrow, R., Protter, P., 2007. Liquidity risk and option pricing theory. In: Birge, J., Linetsky, V. (Eds.), Handbook of Financial Engineering, Elsevier Publishers. Kalodera, I., Schlag, C., 2004. An empirical analysis of the relation between option market liquidity and stock market activity. Working paper, Goethe University, Germany Kim, O., Verrechia, R., 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17 (1–2), 41–67 Manaster, S. and Rendleman, R., (1982). Option Prices as Predictors of Equilibrium Stock Prices. Journal of Finance, 37, 1043–1057 Mayhew, S., Sarin, A., Shastri, K., 1999. What drives option liquidity? Working paper, University of Pittsburgh Næs, R., Skjeltorp, J. A., Ødegaard, B. A., 2010. Stock Market and the Business Cycle. Journal of Finance 66, 139-176 Pan, J., 2002. The jump-risk premia implicit in options: Evidence from an integrated time-series study. Journal of Financial Economics 63, 3-50 Pan, J., Poteshman, A., 2006. The information in option volume for future stock prices. Review of Financial Studies 19 (3), 871–908 Pástor, L., Stambaugh, R., 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111 (3), 642–685 Stephan, J. and Whaley, R., 1990. Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets. Journal of Finance, 45, 191–220 Sadka, R., 2006. Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk. Journal of Financial Economics 80 (2), 309–349 Kang, J., Lee, S., and Lee, C, 2004. The Lead-Lag Relations of Returns and Volatilities among Spot, Futures, and Options Markets: A Case of the KOSPI200 Index Markets. Journal of Emerging Market Finance December 2006 vol. 5 no. 3, 235-261 Korajczyk, R., Sadka, R., 2008. Pricing the commonality across alternative measures of liquidity. Journal of Financial Economics 87 (1), 45–72 Taylor, S.J., 2005. Asset Price Dynamics, Volatility, and Prediction. Princeton, New Jersey, USA: Princeton University Press The CBOE Volatility Index – VIX, 2009. Retrieved 5, February, 2011. From http://www.cboe.com/micro/vix/vixwhite.pdf Whaley, R.E., 2000. Investor fear gauge. The Journal of Portfolio Management 26, 12-17 Zheng, X., Zhang, Z., 2006. Commonality in liquidity in emerging markets: evidence from the Chinese stock market. Working paper, University of Durham. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47985 | - |
| dc.description.abstract | 本文旨在檢驗標準普爾500成分股、標準普爾500指數選擇權、波動率指數選擇權彼此間的共變現象。檢驗時間從2006年3月1日至2010年4月30日為止。有充分的證據顯示，在我們的檢驗時間當中，標準普爾500成分股以及標準普爾500指數選擇權之間，若以買賣價差以及交易量相關的指標來衡量，確實有顯著的共變現象，而且此等共變現象在控制了一些流動性的決定因子之後──例如標的物報酬率以及標的物波動率等，其結果仍屬顯著。至於標準普爾500成分股與波動率選擇權之間，若以買賣價差以及交易量相關的指標來衡量，並沒有顯著的共變現象。我們也將選擇權當中買權與賣權分開，再次進行共變性的分析。我們發現標準普爾500指數買權與其標的物之共變現象較標準普爾500指數賣權為明顯；波動率指數選擇權，無論買權或是賣權，其與標準普爾500成分股之共變現象皆不顯著。 | zh_TW |
| dc.description.abstract | This article examines the liquidity commonality for S&P 500 index component stocks, S&P 500 index option, and VIX option markets, using data from 1, March, 2006 to 30, April, 2010, obtained from CRSP database. We find convincing evidence of commonality between S&P 500 index component stocks and S&P 500 index options for various liquidity measures based on the bid-ask spread and volumes impact. The commonality remains strong even after controlling liquidity determinants, such as return of underlying, and volatility. For commonality between S&P 500 index component stocks and VIX options, we find it not significant for both bid-ask spread and volumes impact measures. We also analyze the liquidity commonality with calls and puts separated, and we find S&P 500 index calls exhibit higher commonality with the spot than puts; VIX calls and puts generally report insignificant liquidity commonality. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T06:43:56Z (GMT). No. of bitstreams: 1 ntu-100-R98723031-1.pdf: 273466 bytes, checksum: 89409d34b72fe66a52b97deb16972e46 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 口試委員審定書 i
Abstract ii 中文摘要 iii 1 Introduction 1 2 Literature Review 6 3 Data and Liquidity Measures 11 3.1 S&P 500 Index Component Stocks Data 11 3.2 S&P 500 Index Options Data 12 3.3 VIX Options Data 13 3.4 Liquidity Measures 14 3.5 Summary Statistics 18 4 Methodology 31 5 Empirical Results 34 6 Conclusion 47 Reference 49 | |
| dc.language.iso | en | |
| dc.subject | 波動率指數選擇權市場流動性 | zh_TW |
| dc.subject | 流動性 | zh_TW |
| dc.subject | 流動性共變 | zh_TW |
| dc.subject | 選擇權市場流動性 | zh_TW |
| dc.subject | Liquidity commonality | en |
| dc.subject | VIX option market liquidity | en |
| dc.subject | Option market liquidity | en |
| dc.subject | Liquidity | en |
| dc.title | S&P500成分股、S&P指數選擇權以及VIX選擇權的流動性共變實證研究 | zh_TW |
| dc.title | An Empirical Analysis on the Co-Movement of the Liquidity of S&P 500 Component Stocks, S&P 500 Index Options and VIX Options | 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 | 流動性,流動性共變,選擇權市場流動性,波動率指數選擇權市場流動性, | zh_TW |
| dc.subject.keyword | Liquidity,Liquidity commonality,Option market liquidity,VIX option market liquidity, | en |
| dc.relation.page | 53 | |
| 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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