Taiwan Index Options, Implied Volatility and Nonlinear Panel Unit Root Test

本文延續Wu and Lee（2009）採用非線性追蹤資料單根檢定，並驗證台灣指數選擇權在不同價性是否具有平穩狀態。我們發現過半數買、賣權隱含波動呈現非線性平穩序列，特別是賣權序列。此意謂隱含波動具有均數復歸特性，其以非線性方式做調整。此外，隨著到期期限接近，短期選擇權會傾向過度反應指數動態。本文在短期選擇權隱含波動動態結果上，指出一個顯著的非線性穩定現象。

關鍵字

隱含波動；非線性追蹤資料單根檢定；均數復歸

並列摘要

This study applies nonlinear panel unit root tests proposed by Wu and Lee (2009) to examine stationarities of implied volatility for Taiwan index options with moneyness. We find that more than half of implied volatility for calls and puts are nonlinear stationary, especially for puts. Results indicate mean-reverting process for implied volatility, suggesting that adjustment process towards implied volatility is mean-reverting and in a nonlinear way. In addition, short-maturity options tend to overreact to the dynamics of underlying index as maturity decreases. Our findings point out significant nonlinearity in the dynamics of implied volatility for short-maturity options.

並列關鍵字

Implied Volatility ； Nonlinear Panel Unit Root Test ； Mean-Reverting

參考文獻

Bali, T. G.,Demirtas, K. O.,Levy, H.(2008).Nonlinear Mean Reversion in Stock Prices.Journal of Banking & Finance.32(5),767-782.

Google Scholar

Balvers, R.,Wu, Y.,Gilliland, E.(2000).Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies.Journal of Finance.55,745-772.