隱含波動度之資訊內涵與未來股票報酬－以台灣市場為例

The Information Contents of Implied Volatility and Future Stocks Return-Evidence on Taiwan Market

吳羿萱(Yi-Hsuan Wu)

指導教授 ： 張榮顯

國立暨南國際大學/管理學院/財務金融學系/碩士(2021年)

https://doi.org/10.6837/ncnu202100039

摘要

本研究根據過去文獻使用選擇權隱含波動度價差所建構的波動度偏態指標與買賣權評價誤差指標，以台灣股票選擇權市場作為研究樣本，將波動度指標視為台灣股票市場的領先指標，反應市場可能存在的資訊，以及投資人對股票市場的預期，並探討台灣股票選擇權隱含波動度與股票報酬率的關係。研究結果顯示兩種波動度指標的迴歸分析結果均顯著，並且波動度指標與報酬率的關係也符合本研究的預期。另外研究發現使用波動度指標來預測報酬的時候，波動度偏態指標可預測性能持續一週，而買賣權評價誤差指標的可預測性只能持預兩天。最後再將樣本做穩健性測試，發現台灣放寬漲跌幅限制的政策與景氣循環的情形皆不會影響選擇權波動度指標對報酬率的影響。

關鍵字

隱含波動度 ； 個股選擇權 ； 波動度指標 ； 隱含波動度價差

並列摘要

In order to investigate the relationship between stock return and the implied volatility of Taiwan stock options, this paper uses the methods in past studies to construct the volatility skewness and deviation from put-call parity by the implied volatility spread. The results show that the coefficient of two indicators is significant, and the relationship between stock return and implied volatility is also as expected. In addition, the predictability of volatility skewness can persist for 2 weeks ,while the predictability of deviation from put-call parity can only persist for 3 days. Then, we do the robustness analysis to confirm that price limit of stock and business cycle cannot affect the relationship between stock return and the implied volatility of Taiwan stock options.

並列關鍵字

Implied Volatility ； Stock Option ； Volatility Index ； Implied Volatility Spread

參考文獻

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Brennan, M. E., 1986, A Theory of Price Limits in Futures Markets, Journal of Financial Economics, 16, 213-233.

Bates, D. S., 1991, The Crash of ʼ87: Was It Expected? The Evidence from Options Markets, The Journal of Finance, 46(3), 1009-1044.