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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/64061完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 葉小蓁 | |
| dc.contributor.author | Wen-Chein Hou | en |
| dc.contributor.author | 侯文健 | zh_TW |
| dc.date.accessioned | 2021-06-16T17:28:25Z | - |
| dc.date.available | 2012-08-21 | |
| dc.date.copyright | 2012-08-21 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-08-15 | |
| dc.identifier.citation | Part I
[1] Black, F., and Scholes, M. (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, pp.637-659. [2] Campbell, Lo and MacKinlay (1997), The Econometrics of Financial Markets, Princeton ,1997. [3] Chan, Y.C., and Wei, K.C.J. (2001), “Price and Volume Effects Associated with derivative warrant issuance on the stock Exchange of Hong Kong”, Journal of Banking and Finance, Vol. 25, pp 1401-1416. [4] Chen, K. C. and Wu Lifan (2001), ”Introduction and Expiration Effects of Derivative Equity Warrants in Hong Kong,” International Review of Financial Analysis,10,pp.37-52. [5] Chow, Li, and Liu (2006, 2007), “Making Hong Kong’s Derivative Warrants Market”, SFC. [6] Conrad, J. (1989), “The Price Effect of Option Introduction,” Journal of Finance, 44(2), pp.487-498. [7] Detemple, J. and Jorion, P. (1990), “Option Listing and Stock Returns：An Empirical Analysis,” Journal of Banking and Finance, 14, pp.781-801. [8] Fama, E. (1965), “The Behavior of Stock Market Prices,” Journal of Business, 38, pp.34-105. [9] Haddad and Voortheis (1991), ”Initial Option Trading and SecuritY Risk and Return,” Journal of Business Finance and Accounting, 18(6), pp.903-913. [10] Jones, Kaul, Lipson (1994), “Transactions, Volume, and Volatility ,” The Review of Financial Studies, vol.7 no.4, pp.631-651. [11] Kubli, Heinz (2001), Feedback Effects from Dynamic Hedging on Selected Stocks: An Empirical Analysis in the Swiss Stock Market, Paul Haupt Berne, Switzerland, 2001. [12] Liu, Lon-Mu (2006), Time series Analysis and Forecasting, 2nd ed, 2006. [13] Ljung, G. M. and Box, G. E. P. (1978), “On a Measure of Lack of Fit in Time Series Models,” Biometrika, 65, pp.297-303. [14] Lu, Xing-Yi (1997), “The Effects of Warrant Listing on the Underlying Stocks—A Comparative Analysis of Taiwan and Hong Kong Experience,” M.S. thesis, NTU, Taipei, Taiwan,1997. [15] Perold, Andre F. & Sharpe, William F. (1988)”Dynamic Strategies on Asset Allocation,” Financial Analysts Journal, 44(1), pp.16-27. [16] Ross, S. (1976), “Options and Efficiency,” Quarterly Journal of Economics, 90, pp.75-89. [17] Sahlstrom, Petri (2001),” Impact of stock option listings on return and risk characteristics in Finland,” International Review of Financial Analysis, 10(1),pp.19-36. [18] Watt, W. H., Yadav, P. K. and Draper, P. (1992), “The Impact of Option Listing on Underlying Stock Returns: The UK Evidence,” Journal of Business Finance and Accounting, 19(4), pp.485-503. Part II [1] 朱佳茹（2004），「台股認購權證交易次數對標的股價波動度影響之探討」，碩士論文，國立政治大學。 [2] 李佳霖（1998），「海外發行台股認購權證到期效果之實證研究」，碩士論文，國立台灣大學。 [3] 張永欣（2001），「臺灣認購權證發行、上市與下市對標的股票影響之研究」，碩士論文，實踐大學。 [4] 楊雪蘭、古永嘉（2003），「每日累加避險量對標的股票波動性的影響─以台灣權證市場為例」，管理評論，第22卷第3期，頁1-23。 [5] 楊雪蘭、朱正民（2007），「台灣發行認購權證券商實務與理論避險值之差異及其成因」，管理與系統(TSSCI)，第14卷，第4期，2007年10月，頁491-517。 [6] 林茂文(2006)，「時間數列分析與預測：管理與財金之應用」，華泰文化，95年6月三版。 [7] 葉小蓁(2006)，「時間序列分析與應用」，台大法律學院經銷，95年3月三版。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/64061 | - |
| dc.description.abstract | 本論文採用發行於2009.09.22 至 2010.12.31期間，連接於六檔上市標的股(鴻海、國巨、群光、正崴、洋華、大聯大)的權證資料，觀察這些大量發行而繫於同一標的的權證，它們的希臘字母(Gamma)在隨著標的每日起伏的波動下，交易員因應的動態避險行為，是否對標的股本身在股價或成交量上，有著可觀察的反饋效應。
實證結果顯示，不論是在價或量方面，被解釋變數在三日移動平均振幅的擬合建模中，相對於隔日振幅、或五日均值振幅，具有較強的解釋性，並顯示了充分的一致性，而在建模與預測兩段區間中，以兩種波動率(隱含波動率/歷史波動率)估出的敏感性係數(Gamma)，乃至理論避險量(Pseudo-Gamma Potential)，他們的結構透過MSE與MAE的一致性顯現了出來，這一點與先前所提：基本交易量與價被發生在三日移動平均相互輝映，顯示了反饋效應在動態避險的解釋下，於內部結構的確有存在的空間。 | zh_TW |
| dc.description.abstract | In this paper we examine the interaction between hedge and feedback effect with transfer function models. Six underlying shares are used to investigate the explanatory power by their derivatives issued during 2009.09.22 and 2010.12.31.
We hire two volatilities in contrast. The final shoot from the head of the trader would nearly root from the two, when he tries to trace with the up and down and eventually are forced to pull the trigger to the realized equilibrium state. Feedback effect could be discovered when we compare the models among the scenarios. Fundamental trades in the study are consistent in 3-day moving average no matter in the price or in the amount of trading in the markets. And hedge trade could be observed to shoot in one day or two. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T17:28:25Z (GMT). No. of bitstreams: 1 ntu-101-R94723061-1.pdf: 5086957 bytes, checksum: f55e0818718640ec926dfe96cd63f6aa (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書 #
Acknowledgements i 中文摘要 ii ABSTRACT iii CONTENTS iv LIST OF FIGURES vi LIST OF TABLES vii LIST OF APPENDIX xi Chapter 1 Introduction 1 Chapter 2 Literature Review 3 Chapter 3 Methodology 8 3.1 Hedge (Black-Scholes replicating portfolio and delta hedging) 8 3.1.1 Dynamic Hedge 8 3.1.2 Pseudo-Gamma Potential 10 3.2 Input Variables & Output variables 11 3.3 Transfer Function Model 12 3.3.1 Transfer Function Model 12 3.3.2 Modeling Steps 15 Chapter 4 Data and Results 18 4.1 Data 18 4.2 Results exemplification 21 4.2.1 Group A 21 4.2.2 Group B 35 Chapter 5 Discussion and Conclusion 64 | |
| dc.language.iso | en | |
| dc.subject | Gamma | zh_TW |
| dc.subject | 權證 | zh_TW |
| dc.subject | 轉換函數 | zh_TW |
| dc.subject | 避險 | zh_TW |
| dc.subject | Gamma | en |
| dc.subject | Hedge | en |
| dc.subject | Transfer function | en |
| dc.subject | Warrant | en |
| dc.title | 使用時間序列用於動態避險之反饋效應實證研究 | zh_TW |
| dc.title | Empirical Study of Feedback Effect from Dynamic Hedging by Transfer Function Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 胡星陽,邱顯比 | |
| dc.subject.keyword | Gamma,避險,轉換函數,權證, | zh_TW |
| dc.subject.keyword | Gamma,Hedge,Transfer function,Warrant, | en |
| dc.relation.page | 81 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-08-16 | |
| 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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