臺指選擇權隱含波動性與選擇權內生參數及外生參數之關聯性

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Title:	臺指選擇權隱含波動性與選擇權內生參數及外生參數之關聯性
Other Titles:	The Relationship between Implied Volatilities of Taiwan Index Options and Options Parameters
Authors:	林士權 Lin, Shin-chuan
Contributors:	財務管理研究所徐清俊;莊益源 Ching-jun Hsu;I-yuan Chuang
Keywords:	隱含波動性;成交量;到期日;期貨報酬率 time to maturity;options volume;implied volatility;return of the future
Date:	2005
Issue Date:	2019-03-21 09:21:06 (UTC+8)
Abstract:	隱含波動性常被學界及投資人作為選擇權定價中標的物價格波動性的估計值。然而，選擇權中所隱含的標的波動性是否與選擇權內生、外生參數存在著關聯性，這些參數是否能解釋選擇權隱含波動性的變動，此乃本研究之研究目的。本研究針對臺灣加權股價指數選擇權(TXO)之價平買權隱含波動性與價平賣權隱含波動性做出了合理的推估之後，並對到期日(time to maturity)、成交量(volume)及臺指期貨報酬率(futures return)有可能影響隱含波動性的大小之變數來加以探討，並試圖研究隱含波動性與這些變數之間的關連性以及是否會受這些因素顯著性的改變。實證結果如下：　1. 價平買權及價平賣權之隱含波動性，與到期日呈顯著的負向關係。即隨著到期日的接近，投資者預期未來的波動程度將增加；若離到期日愈遠，投資者對未來的風險抱持著較低的看法。　2. 價平買權及價平賣權之隱含波動性，與選擇權成交量呈顯著的負向關係。當市場交易較為活絡(成交量較高)時，有助於分散其風險使波動性有下降的趨勢，反之，成交量較低時，對於分散風險則沒有太大的幫助。　3. 價平買權之隱含波動性，與臺指期貨報酬率呈顯著的負向關係。即當期貨報酬偏低時，投資者預期未來價平買權的波動性較高；期貨報酬率偏高時，則預期未來價平買權的波動性較為平穩。在價平賣權隱含波動性方面，其隱含波動性與臺指期貨報酬率則無顯著的關連性。　　Implied volatilities are often used by academic researchers as well as investors as the estimates of the underlying assets volatilities in options pricing. Yet, how much association between implied volatilities and options parameters of the underlying asset become the focus of this study. In addition, if factors other than options parameters used can be explained the variation of implied volatility is another issue of this study. The purposes of this study are to investigate the relationship among implied volatilities of options prices and the volatilities of the underlying assets, moneyness, time to maturity, options volume and return of the underlying assets. The results indicate that: 　(1) For at-the-money options, implied volatilities are influenced by time to maturity, option volume and return of the underlying asset; 　(2) Time to maturity and implied volatility are negatively correlated; 　(3) Options volume, return of the underlying asset and implied volatility are negatively correlated.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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