Title page for 92428028


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Student Number 92428028
Author Hsin-Tsz Kuo(郭欣慈)
Author's Email Address No Public.
Statistics This thesis had been viewed 1781 times. Download 10 times.
Department Finance
Year 2004
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title Empirical Research on Taiwan Volatitlity Index
Date of Defense 2005-07-07
Page Count 46
Keyword
  • TVX
  • VIX
  • volatility
  • Abstract CBOE was contributed the VIX in 1993. That index is used to measure the expectation of the stock market for volatility from the investors who invest in options. Taiwan Future Exchange contributed TXO on Dec 24th, 2001. In Taiwan market, there is no contribution on VIX, as a result, the research on the Taiwan Volatility Index(TVX) has restricted. In this paper, we try to find out the TVX and suggest the process of the contribution. We endeavor the index to fit the market and that could be used in the investment. On the other hand, we discuss the relationship between TVX and Taiwan Stock Exchanges Index. We try to find the reasons that influence the volatility of TVX. In the final part, we consider about the accuracy for the estimation by statistics.
    Table of Content 第一章 緒論
    第一節 研究動機與目的..........................................................................................1
    第二節 研究限制......................................................................................................2
    第三節 研究架構......................................................................................................2
    第二章 文獻回顧
    第一節 波動率指數之介紹......................................................................................3
    第二節 波動率之相關文獻......................................................................................3
    第三章 研究方法
    第一節 CBOE編製舊VIX指數(VXO)之理論基礎..................................................6
    第二節 CBOE編製新VIX指數之理論基礎................................................................7
    第三節 模擬加權指數波動率指標(TVX)............................................................9
    第四章 實證結果分析
    第一節 模擬每小時加權指數波動率的結果........................................................12
    第二節 加權指數波動率的回歸分析....................................................................15
    第三節 加權指數波動率的結果分析....................................................................18
    第四節 理論上的加權指數波動率實驗結果分析................................................24
    第五章 結論與建議
    第一節 結論............................................................................................................31
    第二節 建議............................................................................................................32
    參考文獻......................................................................................................................33
    附錄一:2003~2004年度TVX......................................................................................36
    附錄二:台指選擇權(TXO)的合約規格................................................................45
    Reference (中文部分)
    吳承康 ,2002,“芝加哥選擇權交易所波動度指數(VIX)簡介”,臺灣期貨市場Taifex Review,3,17-23。
    林文政、臧大年,1996,“台灣股指期貨訂價與套利實務問題探討”,證券市場展季刊,8,3,1-31。
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    (英文部分)
    Blair, B. J., S. H. Poon, and S. J. Taylor, 2001,“Forecasting S&P100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns.” Journal of Econometrics, 105, 5-26.
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    Fleming, J., B. Ostdiek and R. E. Whaley, 1995, “Predicting Stock Market Volatility: A New Measure.” The Journal of Futures Markets, 15, 3, 265-302.
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    Gwilym, O. A. and M. Buckle, 1999, “Volatility forecasting in the framework of the option expiry circle”, European Journal of Finance, 5, 73-94.
    Harvey, C. R., and R. E. Whaley,1991, “S&P100 Index Option Volatility”, The Journal of Finance , 46,4,1551-1561.
    Hull , J. C., 2003,Options, Futures, and Other Derivatives, 5th ed., Practice Hall.
    Jorion, P. ,1995, “Predicting Volatility in Foreign Exchange Market”, Journal of Finance ,50, 507-528.
    Karolyi, A., 1996, “Stock Market Volatility around Expiration Days in Japan”, Journal of Derivatives, 4, 23-43.
    Klemkosky, R. C., 1978, “The Impact of Option Expirations on Stock Prices”, Journal of Financial and Quantitative Analysis, 13, 507-518.
    Kolb , R. W., 1997 ,Futures, Options & SWAPS, 2nd ed., Blackwell.
    Noh, J. and A. Kane, 1994, “Forecasting Volatility and Option Prices of the S&P 500 Index”, Journal of Derivatives, 2, 17-30.
    Whaley, R. E., 1993, “Derivatives on Market Volatility: Hedging Tools Long Overdue”, Journal of Derivatives, 1, 71-84.
    Whaley, R. E.,2000, “ The investor fear gauge”. ,Journal of Portfolio Management,26, 12–26.
    Advisor
  • Keng-Yu Ho(何耕宇)
  • San-Lin Chung(張森林)
  • Files
  • 92428028.pdf
  • disapprove authorization
    Date of Submission 2005-07-20

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