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  • 學位論文

短天期台指選擇權報酬之探討

A Study on the Returns of the Shortest-term TAIEX Options

指導教授 : 潘璟靜

摘要


本研究探討短天期台指選擇權報酬率,選取到期期間至多8天之台指選擇權,樣本期間為2013年1月起至2014年12月止,使用日內交易資料,探討短天期選擇權持有至到期日之報酬率。實證結果發現,短天期台指選擇權平均日報酬率皆顯著為負,深度價內、價內及價平選擇權日報酬率隨到期日接近遞增,價外與深度價外選擇權則隨到期日的接近而遞減。週選擇權與月選擇權報酬率平均數存在顯著差異,週買權日報酬率大於月買權日報酬率,週賣權日報酬率則小於月賣權日報酬率,此乃肇因於台灣加權股價指數於月選擇權結算當週有下跌趨勢。

並列摘要


This study investigated the return rates of the TAIEX option contracts with 8 or fewer remaining days, called the shortest-term TAIEX options. Daily transaction data from January 2013 to December 2014 were used to explore the return rates of the buy-and-hold strategy for the shortest-term TAIEX options. The empirical results revealed that the average return rates were significantly negative. Moreover, the average return rates of the deep in-the-money, in-the-money, and at-the-money options increased as the expiration date approached. By contrast, the average return rates of the deep out-of-the-money and out-of-the-money options decreased as the expiration date approached. The average return rates of the weekly options and the monthly options differed significantly. Specifically, the return rates of the weekly call options were greater than those of the monthly call options. By contrast, the return rates of the weekly put options were lower than those of the monthly put options. This phenomenon resulted from the tendency of the TAIEX to plunge as the monthly options are going to expire.

參考文獻


1.廖信行,2013,短天期選擇權契約定價誤差之探討 -以台灣期貨交易所台指週選擇權為例,國立交通大學財務金融研究所碩士論文。
2.周承儀,2014,週選擇權上市對台灣選擇權市場流動性之衝擊探討,國立交通大學財務金融研究所碩士論文。
1.Alfred Lehar, Martin Scheicher, Christian Schittenkopf. 2002. GARCH vs. stochastic volatility: Option pricing and risk management. Journal of banking & finance, 26, 323-345.
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4.Black, F. and M. Scholes (1973), “The Pricing of Options and CorporateLiabilities,” Journal of Political Economy, Vol. 81, 637-654.

被引用紀錄


林召倩(2011)。護理人員專業價值觀和關懷照護行為及其相關因素之探討〔碩士論文,長榮大學〕。華藝線上圖書館。https://doi.org/10.6833/CJCU.2011.00223

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