選擇權隱含 Riskiness 在台灣股市之實證研究

An empirical study of option implied Riskiness in Taiwan market

林政彥(Cheng-Yen Lin)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.03279

摘要

本研究使用 Bali, Cakici and Chabi-Yo (2011) 所提出的方法，利用不同到期日的選擇權分別建立符合 Aumann and Serrano (2008) 與 Foster and Hart (2009) 定義之新風險指標 “Riskiness”。並與波動率指標(VIX)同時應用在台灣加權股價指數、金融指數與電子指數，証實Riskiness 與 VIX 和當期市場報酬具反向之不對稱關係，且兩者皆與未來報酬成正向關係，但 Riskiness 之解釋能力較 VIX 佳，其中又以 60 日選擇權建立之 Riskiness 與未來報酬的關係最為顯著，同時也發現風險指標與報酬間存在線性之外的相關性。若能克服選擇權隱含 Riskiness 中受到期日影響的效果，Riskiness 應可取代 VIX 作為投資人判讀市場的指標。

關鍵字

選擇權 ； Riskiness ； VIX ； 預期風險 ； 期望報酬

並列摘要

We employ the option implied “Riskiness” proposed by Bali, Cakici and Chabi-Yo (2011) to perform an empirical study in Taiwan stock market. The Riskiness defined by Aumann and Serrano (2008) and Foster and Hart (2009) are constructed with options with different maturities. We find the evidence of contemporaneous relation between the underlying asset’s return and risk indices, which is asymmetric and negative. And the forward looking ability of both risk indices is confirmed, there is more than positive linearity between expected risk and return. Riskiness has been proved to have stronger explanatory ability than VIX. As long as the effect of maturity can be separated from option implied riskiness, Riskiness will be a better indicator of market condition than VIX.

並列關鍵字

Option ； Riskiness ； VIX ； expected risk ； expected return

參考文獻

[1] Aumann, R.J. and R. Serrano. 2008. “An Economic Index of Riskiness,” Journal

of Political Economy, Vol. 116:810-836.

[2] Bakshi, G. and D. Madan. 2000. “Spanning and Derivative-Security Valution,”

Journal of Financial Economics, Vol.55:205-238.

[3] Bali, T.G., N. Cakici and F. Chabi-Yo. 2011. “Riskiness Measures and Expected