以選擇權與股票交易量比例作為交易策略

Chia-Wei Hsu; 許家瑋

請用此 Handle URI 來引用此文件： http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50789

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DC 欄位	值	語言
dc.contributor.advisor	石百達(Pai-Ta Shih)
dc.contributor.author	Chia-Wei Hsu	en
dc.contributor.author	許家瑋	zh_TW
dc.date.accessioned	2021-06-15T12:58:30Z	-
dc.date.available	2021-07-26
dc.date.copyright	2016-07-26
dc.date.issued	2016
dc.date.submitted	2016-07-13
dc.identifier.citation	1. Anthony, J.H., 1988. The interrelation of stock and options market trading-volume data. Journal of Finance 43, 949–964. 2. Cremers, M., Weinbaum, D., 2010. Deviations from put–call parity and stock return predictability. Journal of Financial and Quantitative Analysis 45, 335–367. 3. Easley, D., O’Hara, M., Srinivas, P.S., 1998. Option volume and stock prices: evidence on where informed traders trade. Journal of Finance 53, 431–465. 4. Johnson, T.L., So, E.C., 2012. The option to stock volume ratio and future returns. Journal of Finance Economics 106, 262-286. 5. Manaster, S., Rendleman, R.J., 1982. Option prices as predictors of equilibrium stock prices. Journal of Finance 37, 1043–1057. 6. Pan, J., Poteshman, A.M., 2006. The information in option volume for future stock prices. Review of Financial Studies 19, 871–908. 7. Roll, R., Schwartz, E., Subrahmanyam, A., 2010. O/S: the relative trading activity in options and stock. Journal of Financial Economics 96, 1–17. 8. Stephan, J.A., Whaley, R.E., 1990. Intraday price change and trading volume relations in the stock and stock option markets. Journal of Finance 45, 191–220. 9. Zhang, X., Zhao, R., Xing, Y., 2010. What does the individual option volatility smirk tell us about future equity returns? Journal of Financial and Quantitative Analysis 45, 641–662.
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50789	-
dc.description.abstract	根據Johnson and So (2012)所使用之OS概念，延伸構築OS指數、Delta OS指數、PS指數、Delta PS指數、CS指數與Delta CS指數，再增加標普500半年均線，共形成12種交易指標，以標普500為交易標的，在所有交易指標中以Delta OS指數與標普500半年均線最為出色，作多方面報酬率皆顯著大於0，勝率皆保持在60%以上。多空轉變的第一個交易訊號是非常強烈的訊號，多空轉變的報酬皆為大於0，單週報酬皆高達以上，多空轉變的第一個交易訊號可當作多頭或空頭起點，供投資人參考。	zh_TW
dc.description.abstract	Using the OS concept of Johnson and So(2012),constructing OS Index, Delta OS Index, PS Index, Delta PS Index, CS Index and Delta CS Index as trading index. With the half year moving average of SP500, there are 12 kinds of trading strategies. Delta OS Index and half year moving average of SP500 is the most outstanding trading strategy. On the buy side, the return is significant large than zero. The wining rate is over 60%. Overall, it is a good trading strategy. The first trading signal of the change between long and short transition is a strong one. It can be the signal when SP500 is going up or going down. It is a very useful information for investors.	en
dc.description.provenance	Made available in DSpace on 2021-06-15T12:58:30Z (GMT). No. of bitstreams: 1 ntu-105-R02723058-1.pdf: 2715725 bytes, checksum: e8a5e8f19d4c03804e0d7fde5127f408 (MD5) Previous issue date: 2016	en
dc.description.tableofcontents	口試委員會審定書……………………………………………………………………Ⅰ 中文摘要………………………………………………………………………………Ⅱ 英文摘要………………………………………………………………………………Ⅲ 目錄……………………………………………………………………………………Ⅳ 表次……………………………………………………………………………………Ⅴ 圖次……………………………………………………………………………………Ⅶ 第一章緒論…………………………………………………………………………1 第一節研究背景………………………………………………………………1 第二節研究動機與目的………………………………………………………1 第二章文獻回顧……………………………………………………………………3 第三章交易策略設計………………………………………………………………4 第一節 OS概念…………………………………………………………………4 第二節交易策略指標 …………………………………………………………5 第四章實證結果與分析……………………………………………………………8 第一節交易策略回測資料說明………………………………………………8 第二節實證結果與分析………………………………………………………10 第五章結論與建議…………………………………………………………………35 參考文獻………………………………………………………………………………36
dc.language.iso	zh-TW
dc.subject	多空轉變	zh_TW
dc.subject	OS指數	zh_TW
dc.subject	交易指標	zh_TW
dc.subject	交易策略	zh_TW
dc.subject	交易訊號	zh_TW
dc.subject	多空轉變	zh_TW
dc.subject	OS指數	zh_TW
dc.subject	交易指標	zh_TW
dc.subject	交易策略	zh_TW
dc.subject	交易訊號	zh_TW
dc.subject	trading signal	en
dc.subject	long and short transition	en
dc.subject	OS Index	en
dc.subject	trading index	en
dc.subject	trading strategy	en
dc.title	以選擇權與股票交易量比例作為交易策略	zh_TW
dc.title	Using Option and Stock Volume Ratio as Trading Strategies	en
dc.type	Thesis
dc.date.schoolyear	104-2
dc.description.degree	碩士
dc.contributor.oralexamcommittee	盧佳琪(Chia-Chi Lu),洪偉峰(Wei-Feng Hung)
dc.subject.keyword	OS指數,交易指標,交易策略,交易訊號,多空轉變,	zh_TW
dc.subject.keyword	OS Index,trading index,trading strategy,trading signal,long and short transition,	en
dc.relation.page	36
dc.identifier.doi	10.6342/NTU201600788
dc.rights.note	有償授權
dc.date.accepted	2016-07-14
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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