非交易期間現貨及衍生性商品報酬率與風險抵換關係研究

Study on trade-off for risk-return of TAIEX, TX and TXO around Nontrading Periods

林毓軒(Yu-Hsuan Lin)

指導教授 ： 段昌文

淡江大學/商管學院/財務金融學系碩士班/碩士(2020年)

https://doi.org/10.6846/TKU.2020.00177

摘要

本文根據Jones and Shemesh (2018)的研究，將樣本分為交易時期與一日、兩日及三日以上之非交易日時期等四組資料，透過觀察台灣加權股價指數報酬率來觀察交易與非交易時期之報酬率的變化。進一步運用台指期貨為避險商品，並比較有否避險情況下，不同觀察時期的報酬率是否有所差異。由於許多現貨投資者常以選擇權商品的波動來衡量市場風險，因此本文採以台指選擇權的隱含波動率視為風險值，以觀察台股市場的報酬率是否與風險值具有理論上的抵換關係。
實證結果發現，台灣加權股價指數於非交易期間在風險值較低的時候報酬率也容易有異常波動，不具有正常的風險及報酬抵換關係。以台指期貨避險後，可發現風險值較低的時期報酬率較不會有異常的波動，而風險值較高的時期報酬率依然有機會獲得較高的報酬率。
因此本研究的結論表示，一般情況下台灣加權股價指數在非交易期間不具有風險與報酬的抵換關係，但若經台指期貨進行避險後，投資人可在非交易期間重新得到正常的風險及報酬抵換關係。

關鍵字

非交易期 ； 周末效應 ； 隱含波動率 ； 抵換關係 ； 避險

並列摘要

Based on the research of Jones and Shemesh (2018), the paper divides the sample into four groups of data: trading period and nontrading day period of one day, two days and more than three days, and observes the transaction and nontrading by observing the return rate of Taiwan’s weighted stock price index. Changes in the rate of return during the trading period. Further use Taiwan index futures as a safe-haven commodity, and compare whether there is a safe-haven situation, whether the returns in different observation periods are different. Since many spot investors often measure market risk by the volatility of option commodities, this article uses the implicit volatility of the Taiwan Index option as the risk value to observes the exchange relationship of the return rate and the risk value.
The empirical evidence shows that during the non-trading period, the weighted stock price index in Taiwan is also prone to abnormal fluctuations in the return rate when the risk value is low, and does not have the normal risk and reward exchange relationship. After avoiding risks with the Taiwan Index futures, it can be found that the return rate during periods of low risk value is less likely to have abnormal fluctuations, while the return rate during periods of higher risk value still has the opportunity to obtain a higher return rate.
Therefore, the conclusion of this study shows that under normal circumstances, the weighted stock price index in Taiwan does not have a trade-off relationship between risk and reward during nontrading periods, but if hedging through the index futures, investors can have the normal risk and reward exchange relationship during nontrading periods.

並列關鍵字

non-trading ； risk-return ； hedging ； implied volatility ； weekend effect

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