選擇權的隱含波動度偏態之資訊內涵－以台灣指數選擇權市場為例

The Information Contents of Volatility Skew Embedded in Option-Evidence on Taiwan Index Option Market

袁淑芳(Shu-Fang Yuan) ； 李進生(Chin-Shen Lee) ； 黃建華(Chien-Hua Huang)

《管理與系統》 23卷2期 (2016/04) Pp. 223-246

摘要

近期研究佐證隱含波動度之函數特性應與投資人避險交易行為有關，因此本文推論隱含波動度偏態值可能包含波動度風險貼水及市場價格發生非常跳躍的訊息。本研究以台灣指數選擇權市場為例，探討隱含波動度偏態值的函數特性及其資訊內涵。實證結果顯示，台灣市場之隱含波動度偏態值的變化部份符合價格跳躍風險假說，而其偏態徝的變化尚包含二種資訊內涵：(1)對波動度風險貼水具有顯著的訊息能力。(2)包含預測未來價格發生跳躍的訊息。此外，實證結果亦顯示，2008年金融風暴後，以上列示隱含波動度的訊息能力愈見明顯。

關鍵字

避險交易 ； 隱含波動度偏態值 ； 價格跳躍風險假說 ； 波動度風險貼水 ； 2008年金融風暴

並列摘要

Recent study suggests that investors’ hedge behavior could be an explanation for the empirical properties associated with option implied volatility, a particular concern is the pattern of implied volatility skew may be seen as the market participant's assessment of the volatility risk. Thus, it further infers that the volatility skews contain information about volatility risk premium and a possibility of price jump in the near future. This study sets to investigate the information contained in the implied volatility skew of Taiwan index option market. Results show that the properties of implied volatility skew are partly consistent with the hypothesis of price jump premium. Most of all, there are two information contents contained in the shape of the volatility skews, including (1) it strongly relates with the expected value of volatility risk premium, and (2) the probability of a price jump can be assessed using the information contained in volatility skews. Particularly, the information ability will be more significant in statistic after 2008’s financial crisis.

並列關鍵字

Investors' Hedge Behavior ； Implied Volatility Skew ； Hypothesis of Price Jump Premium ； Volatility Risk Premium ； 2008's Financial Crisis

參考文獻

袁淑芳、李進生(2007)。臺灣市場隱含波動率指標的探究：Taifex's VXO 與展望理論。管理學報。4(2)，211-228。

Aït-Sahalia, Y.,Lo, A. W.(2000).Nonparametric Risk Management and Implied Risk Aversion.Journal of Econometrics.94(1-2),9-51.

Anderson, T. G.,Benzoni, L.,Lund, J.(2002).An Empirical Investigation of Continuous-Time Equity Return Models.Journal of Finance.57(3),1239-1284.

Bakshi, G.,Kapadia, N.(2003).Delta-Hedged Gain and the Negative Market Volatility Risk Premium.Review of Financial Study.16(2),527-566.

Bakshi, G.,Cao, C. Q.,Chen, Z.(1997).Empirical Performance of Alternate Option Pricing Models.Journal of Finance.52(5),2003-2049.