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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達 | |
| dc.contributor.author | Min-Syuan Tsai | en |
| dc.contributor.author | 蔡旻軒 | zh_TW |
| dc.date.accessioned | 2021-06-16T23:11:12Z | - |
| dc.date.available | 2025-03-13 | |
| dc.date.copyright | 2020-03-13 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-02-24 | |
| dc.identifier.citation | Bakshi G., Kapadia N., and Madan D. (2003). Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options. The Review of Financial Studies, 16(1), 101-143.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/64972 | - |
| dc.description.abstract | 本研究運用選擇權隱含之 Beta 值，探討市場危機是否具可預測性。本研究 搜集了 1996 年至 2016 年 S&P 500 股價指數與其成分股週資料，以 S&P 500 股 價指數月報酬率之風險值定義市場危機，並由選擇權隱含之 Beta 值定義三項代 理變數，使用決策樹模型對市場危機進行預測。實證結果發現，在相對寬鬆之 風險值下，決策樹模型較能夠正確預測市場危機以及 S&P 500 股價指數下跌之 趨勢。 | zh_TW |
| dc.description.abstract | This study investigates whether market crashes can be predicted using option- implied betas. Three proxy variables of option-implied betas as features are used to predict market crisis event which is defined using Value at Risk(VaR). The thesis empirical results based upon 1996-2016 S&P 500 data show that market crisis event and S&P 500 index movement could be predicted more accurately when using VaR with a lower confidence level. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T23:11:12Z (GMT). No. of bitstreams: 1 ntu-109-R06723056-1.pdf: 1770488 bytes, checksum: 1081f8b1b8f69b760956b39a88b693cc (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 口試委員會審定書 .......................... #
摘要 .......................... ii Abstract .......................... iii 第一章 緒論 .......................... 7 1.1 研究動機與目的 .......................... 7 1.2 研究流程 .......................... 7 第二章 文獻探討 .......................... 9 第三章 研究樣本與研究方法 .......................... 11 3.1 變數介紹 .......................... 11 3.1.1 特徵 .......................... 11 3.1.2 目標變數 .......................... 13 3.2 資料來源與樣本處理 .......................... 13 3.3 敘述性統計 .......................... 14 3.4 研究方法 .......................... 15 第四章 實證結果與分析 .......................... 18 第五章 結論. .......................... 22 參考文獻 .......................... 23 | |
| dc.language.iso | zh-TW | |
| dc.title | 以選擇權隱含之 Beta 值預測市場危機 | zh_TW |
| dc.title | Forecasting Market Crashes Using Option-implied Betas | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 莊文議 | |
| dc.contributor.oralexamcommittee | 盧佳琪 | |
| dc.subject.keyword | 市場危機,決策樹,選擇權隱含貝它值, | zh_TW |
| dc.subject.keyword | Stock Market Crashes,Decision Tree,Option-implied Beta, | en |
| dc.relation.page | 24 | |
| dc.identifier.doi | 10.6342/NTU202000574 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-02-24 | |
| 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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| ntu-109-1.pdf 目前未授權公開取用 | 1.73 MB | Adobe PDF |
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