المؤلفون: 高婧寧, Kao, Ching-Ning

المساهمون: 淡江大學財務金融學系碩士班, 邱建良, Chiu, Chien-Liang

مصطلحات موضوعية: 波動度奸笑曲線, 機構投資人, 資訊內涵, 流動性效果, 槓桿效果, Volatility Skew, Institutional Investors, information content, liquidity effect, and Leverage Effect

العلاقة: 中文部分 1. 蔡義蕙，2003，臺指現貨、期貨、選擇權及摩根臺指互動關係之研究。朝陽科技大學。 2. 許繼文，2004，選擇權、現貨及期貨市場之日內價格發現關係實證研究。 國立高雄第一科技大學。 3. 蔡瓊梅，2005，利用隱含波動率價差來探討S&P500指數選擇權與其現貨之間的價格領先落後關係。國立成功大學。 4. 謝文良、李進生、袁淑芳和林惠雪，2007，台灣股價指數現貨、期貨與選擇權市場之價格發現研究—Put-Call-Parity 之應用，中華管理評論國際學報。第十卷,第二期, 1-24頁。 5. 陳巧瑜， 2008，隱含資產價格與波動率對現貨市場價格變動之資訊內涵。 國立台灣大學。 6. 楊東曉、楊昇勇和蔡奕賢， 2011，買賣權期貨平價誤差與隱含波動度差之應用。 期貨與選擇權學刊， 75-112。 英文部分 1. Manaster, S., and Rendleman, J. R., 1982, Option Prices as Predictors of Equilibrium Stock Prices, The Journal of Finance 37(4), 1043-1057. 2. Anthony, J. H., 1988, The Interrelation of Stock and Options Market Trading-Volume Data, The Journal of Finance XLIII(4), 949-964. 3. Chan, K., 1992, A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market, The Review of Financial Studies, 123-152. 4. Christopher, G. L., and William, D. L., 1993, Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities, The Review of Financial Studies 6(2), 293-326. 5. Jonga, F. D., and Donders, M. W. M., 1998, Intraday Lead-lag Relationships Between the Futures, Options and Stock Market, European Finance Review 1(3), 337-359. 6. Christensen, B. J., and Prabhala, N. R., 1998, The Relation between Implied and Realized Volatility, Financial Economics, 125-150. 7. Chakravarty, S., H. G., and Mayhew, S., 2004, Informed Trading in Stock and Option Markets, The Journal of Finance LIX(3), 1235-1258. 8. Bollen, P. B. N., and Whaley, R., 2004, Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?, The Journal of Finance LIX(2), 711-754. 9. Cao, C., Chen Z., and Griffin, M. J., 2005, Informational Content of Option Volume Prior to Takeovers, The Journal of Business 78(3), 1073-1109. 10. Pan, J., and Poteshman, M. A., 2006, The Information in Option Volume for Future Stock Prices, The Review of Financial Studies 19(3), 871-908. 11. Doran, J. S., 2007, Is there Information in the Volatility Skew?, Futures Markets, 921–959. 12. Mixon, S., 2007, The Implied Volatility Term Structure of Stock Index Options, Empirical Finance, 333–354. 13. Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2009, Just How Much Do Individual Investors Lose by Trading?, The Review of Financial Studies 22(2), 609-632. 14. Chang, C. C., Hsieh, P. F., and Lai H. N., 2009, Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange. The Journal of Banking & Finance 33, 757–764. 15. Kam, C., Chan, Y. C., and Peter, P. Lung, 2009, Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options, Pacific-Basin Finance Journal. 16. Turan, G., and Bali A. H., 2009, Volatility Spreads and Expected Stock Returns, Management Science, 1797-1812. 17. Xing, Y., Zhang, X., and Zhao, R., 2010, What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?, The Journal of Financial and Quantitative analysis 45(3), 641–662. 18. Szua, W. M., M. C.W.a., and Yang, W. R., 2011, The Determinants of Exchange Settlement Practices and the Implication of Volatility Smile: Evidence from the Taiwan Futures Exchange, International Review of Economics and Finance, 826–838. 19. Yan, S., 2011, Jump Risk, Stock Returns, and Slope of Implied Volatility Smile, The Journal of Financial Economics, 216–233.; U0002-2008201314532300; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93776Test

الإتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93776Test

المؤلفون: 林雅惠

مصطلحات موضوعية: 淨買壓, 隱含波動率, 套利限制假說, 學習假說, 槓桿效果, 資訊流動效果

العلاقة: 兼任教師送審著作 https://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22099TKU05214031%22.&searchmode=basicTest; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117904Test; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/index.htmlTest; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討目次.pdf; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討摘要.pdf

الإتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117904Test
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/index.htmlTest
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討目次.pdf
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討摘要.pdf

المؤلفون: 林雅惠, Lin, Ya-Hui

المساهمون: 淡江大學財務金融學系碩士班, 邱建良

مصطلحات موضوعية: 淨買壓, 隱含波動率, 套利限制假說, 學習假說, 槓桿效果, 資訊流動效果, net buying pressure, Implied volatility, Limits to Arbitrage Hypothesis, Learning Hypothesis, Leverage Effect, Information Flow Effect

العلاقة: 參考文獻 中文部分 1. 李淳祥 (2006)，台指選擇權市場淨買壓假說之驗證。國立政治大學財務管理研究所碩士論文。 2. 林宥辰 (2007)，台指選擇權到期日效應與隱含波動度微笑曲線之探討。國立中央大學企業管理研究所碩士論文。 3. 姜書甄 (2005)，淨買壓解釋隱含波動度微笑現象。淡江大學財務金融研究所碩士論文。 4. 湯毅鋒 (2007)，投資環境對淨買壓影響之探討。國立中央大學企業管理研究所碩士論文。 5. 謝承霈 (2009)，選擇權淨買壓與隱含波動度。國立屏東科技大學財務金融研究所碩士論文。 6. 蘇世閎 (2005)，指數選擇權市場淨買壓對隱含波動率變動的影響：台指選擇權市場是避險者為主的市場嗎？。國立交通大學管理科學研究所碩士論文。 英文部分 1. Bakshi, G., Cao, C., and Chen, Z., 1997, Empirical performance of alternative option pricing models, Journal of Finance, 52, 2003-2049. 2. Black, F. and Scholes M., 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-659. 3. Black, F., 1976, Studied of stock price volatility changes, in Proceedings of the 1976 Meetings of the Business and Economics Section, 177-181. 4. Bollen, N. P., and Whaley R. E., 2004, Does net buying pressure affect the shape of implied volatility functions? Journal of Finance, 59, 711-753. 5. Brailsford, T. J., and Faff, R. W., 1996, An evaluation of volatility forecasting techniques, Journal of Banking and Finance, 20, 419-438. 6. Chan, K. C., Chen, C. R., and Lung P. P., 2006, Testing the net buying pressure hypothesis during the Asian financial crisis-evidence from Hang Seng index options, Journal of Financial Research, 29, 43-62. 7. Chan, K. C., Chen, C. R., and Lung P. P., 2010, Business cycles and net buying pressure in the S&P500 futures options, European Financial Management, 16, 624-257. 8. Chan, K. C., Cheng, L. T. W., and Lung, P. P., 2004, Net buying pressure, volatility smile, and abnormal profit of Hang Seng index options, Journal of Futures Markets, 24, 1165-1194. 9. Chiras, D., and Manaster, S., 1978, The information content of option prices and a test of market efficiency, Journal of Financial Economics, 6, 213-234. 10. Cho, D. P., and Frees, E. W., 1988, Estimating the volatility of discrete stock price, Journal of Finance, 43, 541-466. 11. Christie, A. A., 1982, The stochastic behavior of common stock variances: value, leverage and interest rate effects, Journal of Financial Economics, 10, 407-432. 12. Clark, P. K., 1973, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135-155. 13. Duffee, G. R., 1995, Stock returns and volatility: a firm level analysis, Journal of Financial Economics, 37, 399-420. 14. Epps, T. W., and Epps M. L., 1976, The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distribution hypothesis, Econometrica, 44, 302-321. 15. Fleming, J., Ostdiek, B., and Whaley, R. E., 1995, Predicting stock market volatility: a new measure, Journal of Futures Markets, 15, 265-302. 16. Giot, P., 2002a, Implied volatility indices as leading indicators of stock index returns?, Working Paper, CORE, University of Leuvain. 17. Giot, P., 2002b, The information content of implied volatility indexes for forecasting volatility and market risk, Working Paper, CORE, University of Leuvain. 18. Kang, J., and Park, H. J., 2008, The information content of net buying pressure: evidence from the KOSPI200 index option market, Journal of Financial Markets, 11, 36-56. 19. Nelson, D., 1991, Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-379. 20. Newey, W. K., and West, K. D., 1987, A sample, positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708. 21. Poterba, J. M., and Summers, L. H., 1986, The persistence of volatility and stock market fluctuations, American Economic Reviews, 76, 1141-1151. 22. Rubinstein, M., 1985, Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August23, 1976 through August 31,1987, Journal of Finance, 40, 455-480. 23. Schwert, G. W., 1990, Stock market volatility, Financial Analysts Journal, 46, 23-34. 24. Shiu, Y. M., Pan, G. G., Lin, S. H., and Wu, T. C., 2010, Impact of net buying pressure on changes in implied volatility: before and after the onset of the subprime crisis, Journal of Derivatives, 17, 54-66. 25. Tauchen, G. E., and Pitts, M., 1983, The price variability-volume relationship on speculative markets, Econometrica, 51, 485-505. 26. Whaley, R. E., 2000, The investor fear gauge, Journal of Portfolio Management, 26, 12-17.; U0002-2506201100234700; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73960Test; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/73960/-1/index.htmlTest

الإتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73960Test
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/73960/-1/index.htmlTest

المؤلفون: 袁淑芳, Yuan, Shu-fang

المساهمون: 淡江大學財務金融學系博士班, 李進生, Lee, Chin-shen, 邱忠榮, Chiou, Jong-rong

مصطلحات موضوعية: VXO, 波動率指標, 槓桿效果, 展望理論, 擇時指標, Implied volatility, Leverage Effect, Prospect Theory, Timing Index

وصف الملف: 143 bytes; application/octet-stream

العلاقة: Aboura, S., and C. Villa, 2003. International Market Volatility Indexed-A Study on VX1, VDAX, and VXO, Working Paper. Aitken, B., 1998. Have Institutional Investors Destabilized Emerging Markets?. Contemporary Economic Policy, 16, 173-84. Andersen, T., T. Bollerslev, F. Diebold, and H. Ebens, 2001. The Distribution of Realized Stock Return Volatility. Journal of Financial Economics, 61, 43-76. Becker, S., 1981. Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability. Journal of Banking and Finance, 5, 363-82. Black, F., 1976. Studies of Stock Price Volatility Changes. American Statistical Association 1976 Proceedings of the Business and Economic Statistics Section, 177-181. Blair, B., S. Poon, and S. Taylor, 2001. Forecasting S&P 100 Volatility: The Incremental Information Content of Implied atilities and High-Frequency Index Returns. Journal of Econometrics, 105, 5-26. Bollen, N., and R. Whaley, 2004. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?, Journal of Finance, 59, 711-753. Braun, P., D. Nelson and A. Sunier, 1995. Good News, Bad news, Volatility, and Betas. Journal of Finance, 50, 1575-1603. Chang, E., J. Cheng and A. Khorana, 2000. An Examination of Herd Behavior in Equity Markets: An International Perspective. Journal of Banking and Finance, 24, 1651-1679. Choi, S., and M. Wohar, 1992. Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets. Financial Review, 27, 503-530. Chrias, D., and S. Manaster, 1978. The Information Content of Option Prices and a Test of Market Efficiency. Journal of Financial Economics, 6, 213-234. Christensen, B. and N. Prabhala, 1998. The Relation between Implied and Realized Volatility. Journal of Financial Economics, 50, 125-150. Christie, A., 1982. The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects. Journal of Financial Economics, 10, 407-432. Christie, W. and R. Huang, 1995. Following the Pied Piper: Do Individual Returns Herd Around the Market?. Financial Analysts Journal, 51, 31-37. Collver, C., 2003. Technically, Some Measures of Implied Volatility Do Provide Market Timing Signals,. Working Paper. Connors, L., 1998. Connors on Advanced Trading Strategies, 1st ed., M. Gordon. Connors, L., 1999. A Volatile Idea. Futures, Jul., 36-37. Connors, L., 1999. Extreme Volatility Trading. Futures, Aug., 38-39. Connors, L., 2002. Timing Your S&P Trades with VXO. Futures, Jun., 46-47. Connors, L., and G. Che, 2001. Trading Connors VXO Reversals, 1st ed., M. Gordon. Cox, J., and M. Rubinstein, 1985. Options Markets, 1st ed., New Jersey: Prentice Hall. Cox, J., and S. Ross, 1976. The Valuation of Options for Alternative Stochastic Processes. Journal of Financial Economics, 3, 145-166. Day, T., and C. Lewis, 1988. The Behavior of the Volatility Implicit in the Prices of Stock Index Options. Journal of Financial Economics, 22, 103-122. Day, T., and C. Lewis, 1992. Stock Market Volatility and the Information Content of Stock Index Options. Journal of Econometrics, 52, 267-287. Engle, R. and G. Lee, 1993. A Permanent and Transitory Component Model of Stock Return Volatility. Working Paper. Engle, R. and V. Ng, 1993. Measuring and Testing the Impact of News on Volatility. Journal of Finance, 48, 1749-1778. Engle, R., and J. Rosenberg, 1998. Testing the Volatility Term Structure Using Option Hedging Criteria. Department of Economics University of California, San Diego, Working Paper. Figlewski, S. and X. Wang, 2002. Is the Leverage Effect a Leverage Effect?. Working Paper. Fleming, J., 1998. The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices. Journal of Empirical Finance, 5, 317-345. Fleming, J., B. Ostdiek, and R. Whaley, 1995. Predicting Stock Market Volatility: A New Measure. Journal of Futures Markets, 15, 265-286. French, K., G. Schwert, and R. Stambaugh, 1987. Expected Stock Returns and Volatility. Journal of Financial Economics, 19, 3-29. Gastineau, G., 1977. An Index of Listed Option Premiums. Financial Analysis Journal, 30, 70-75. Giot, P., 2002a. Implied Volatility Indices as Leading Indicators of Stock Index Returns. Working Paper. Giot, P., 2002b. The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk. Working Paper. Giot, P., 2003. The Asian Financial Crisis: the Start of a Regime Switch in Volatility. Working Paper. Giot, P., 2005. Relationships between Implied Volatility Indexes and Stock Index Returns. Journal of Portfolio Management, 31, 92-100. Glosten, L., R. Jagannathan and D. Runkle, 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48, 1779-1801. Gwilym, O., 2001. Forecasting Volatility for Options Pricing for the U.K. Stock Market. Journal of Financial Management and Analysis, 14, 55-62. Gwilym, O., 2001. Forecasting Volatility for Options Pricing for the U.K. Stock Market. Journal of Financial Management and Analysis, 14, 56-62. Harbaugh, R., 2003. Skill Signaling, Prospect Theory, and Regret Theory. Working Paper. Harvey, C., and R. Whaley, 1992. Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market. Journal of Financial Economics, 31, 43-73. Hsieh, W., C. Lee, and S. Yuan, 2006. The Constructuion of the Volatility Index for the Taiwan Stock Market: An Analysis of the Information Contents and Trading Strategies. Journal of Management and Systeems (In Chinese), 13, 471-497。 Jorion, P., 1995. Predicting Volatility in the Foreign Exchange Market. Journal of Finance,50, 507-528. Kahneman, D. and A. Tversky, 1979. Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47, 263-29. Kahneman, D. and M. Piepe, 1998. Aspects of Investor Psychology. Journal of Portfolio Management, 52-65. Latane, H., and R. Rendleman, 1976. Standard Deviations of Stock Price Ratios Implied in Optimal Prices. Journal of Finance, 31, 369-381. Lintner, J., 1965. The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13-37. Low, C., 2004. The Fear and Exuberance from Implied Volatility of S&P100 Index Options. Journal of Business, 77, 527-546. Maital, D., R. Filer and J. Simon, 1986. What Do People Bring to the Stock Market Besides Money? Individual Attitudes and Stock Market Behavior. Handbook of Behavioral Economics, Greenwich: JAI press. Markowitz, H., 1952. Portfolio Selection. Journal of Finance, 7, 71-91. Merton, R., 1973. Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4, 141-183. Merville, L. and J. Macbeth, 1979. An Empirical Examination of the Black-Scholes Call Option Pricing Model. Journal of Finance, 34, 1173-1186. Moraux, F., P. Navatte and C. Villa, 1999. The Predictive Power of the French Market Volatility Index: A Multi Horizons Study. European Finance Review, 2, 303-320. Nelson, D. 1989. Modeling Stock Market Volatility Changes. Procedings of the 1989 Meetings of the American Statistical Association, Business and Economics Section, 93-98. Nelson, D., 1991. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370. Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53, 1775-1798. Olsen, R., 1998. Behavioral Finance and Its Implications for Stock-Price Volatility. Financial Analysis Journal, 10-18. Pindyck, R., 1984. Risk, Inflation, and the Stock Market. American Economic Review, 74, 335-51. Poon S. and C. Granger, 2003. Forecasting Volatility in Financial Market: A Review. Journal of Economic Literature, 41, 478-539. Poterba, J., and L. Summers, 1986. The Persistence of volatility and Stock Market Fluctuations. American Economic Review, 76, 1142-1151. Poteshman, A., 2006. Unusual Option Market Activity and the Terrorist Attacks of 104 September 11. Journal of Business, 79, 1703-1726. Richards, A., 1996. Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Market Differ? IMF Staff Papers, 43, 461-501. Schmalensee, R. and R. Trippi, 1978. Common Stock Volatility Expectations Implied by Option Prices. Journal of Finance, 33, 129-147. Schwert, G., 1990. Stock Volatility and the Crash of ’87. Review of Financial Studies, 3, 77-101. Sharpe, W., 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, 425-442. Shefrin, H and M .Statman, 1985. The Disposition to Sell Winner Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance, 40, 777-790. Shiller, R., 1984. Stock Prices and Social Dynamics. Brookings Paper on Economic Activity, 2, 457-498. Shleifer, A., 2000. Inefficient Market. Oxford: Oxford U. Press. Summa, J., 2002. Forecasting Market Direction with Put/Call Ratios. http://www.investopedia.comTest/. Tan, K., 2002. Fixated on the VXO: Soaring Volatility Mean Fear – and Opportunity. Barron’s, MW13. Tauchen, G., H. Zhang and M. Liu, 1996. Volume, Volatility, and Leverage: A Dynamic Analysis. Journal of Econometrics, 74, 177-208. Thaler, R., 1980. Toward a Positive Theory of Consumer Choice. Journal of Economic Behavior and Organization, 1, 39-60. Thaler, R., 1985. Mental Accounting and Consumer Choice. Marketing Science, 4, 199-214. Traub, H., L. Ferreira, M. Mcardle, and M. Antognelli, 2000. Fear and Greed in Global Asset Allocation. The Journal of Investing, 27-31. Whaley, R., 1986. Valuation of American Futures Options: Theory and Empirical Tests. Journal of Finance, 10, 71-84. Whaley, R., 1993. Derivatives on Market Volatility: Hedging Tools Long Overdue. Journal of Derivatives, 71-84. Whaley, R., 2000. The Investor Fear Gauge. The Journal of Portfolio Management, 12-17. Whitelaw, R., 1994. Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns. Journal of Finance, 49, 515-541. Xu, X., and S. Taylor, 1995. Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market. Journal of Banking and Finance,19, 803-821. Yadav, P. and P. Pope, 1994. Stock Index Futures Mispricing: Profit Opportunities or Risk Premia?. Journal of Banking and Finance, 921-953. Yuan, S. and C. Lee, 2007. The Property of Market Volatility Index on Taiwan Market: Taifex’s VXO and Prospect Theory. Journal of Management (In Chinese), 24, 211-228.; U0002-2502200815144500; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31621Test; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/31621/1Test/

الإتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31621Test
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/31621/1Test/