過度反應對股價之影響-以股票選擇權之隱含波動率為例

The Value Effect of Overreaction?-A Study Using Implied Volatility from STO

黃逸奇(Yi-Chi Huang)

指導教授 ： 黃志祥

國立虎尾科技大學/管理學院/經營管理研究所在職專班/碩士(2013年)

摘要

本文主旨在檢視我國股票市場是否存在價格反轉之過度反應現象。過去之實證研究皆強調價值效應(Value Effect)，解釋上認為投資者過度反應成長類型之股票（此處定義為本益比高或價格高之股票），而在長期時段下價值類型股票(value stocks)之表現優於成長類型股票(growth stocks)。
Stein(1989)以一階自我相關均數複迴模型之隱含波動率(implied volatility)，來解釋投資人過度反應之現象。對於以隱含波動率來探討是基於股價之波動具有複迴平均值的反彈效應(mean reversion)，長期時段之波動幅度(long-term implied volatility)應低於短期時段之波動幅度(short-term implied volatility)，長期時段波動幅度與短期時段波動幅度之相關係數(correlation)接近1，以此呈現過度反應之證據。
本文使用Stein(1989)之方法，並以國內股票選擇權(STO)價格的隱含波動率(Implied Volatility from STO)來檢驗過度反應(Overreaction)之程度，是否在成長類型股票與價值類型股票有所不同。
實證之結果為長期股票選擇權組合比短期股票選擇權組合有過度反應現象，而成長類型股票選擇權組合實證?值與理論?值之差距(0.3669)小於價值類型股票選擇權組合實證?值與理論?值之差距(0.4053)，則可提出成長類型股票選擇權組合比價值類型股票選擇權組合有過度反應現象不存在。

關鍵字

價值效應 ； 價值類型股票 ； 成長類型股票 ； 隱含波動率 ； 過度反應

並列摘要

This study aimed to examine if there was any over-reacting price reversal in the stock market in Taiwan. Most of the previous studies had focused on value effects. According to their interpretations, investors overreacted to growth stocks (defined as stocks of high PERs or high prices), and the performance of value stocks was better than that of growth stocks in the long run.
Stein (1989) used the implied volatility of the first-order self-correlation multiple regression to explain investors' over-reaction. The implied volatility was based on the multiple regression mean reversion of stock price volatility. Long-term implied volatility should be lower than short-term implied volatility should, and their correlation should be close to 1. These were used as proofs of over-reaction.
This study applied the method adopted by Stein (1989) and used the implied volatility from STO prices to examine the degrees of over-reaction and find out if they were different between growth stocks and value stocks.
The actual results showed that the degree of over-reaction was higher with long-term STO combinations than with short-term STO combinations. The difference between actual ? value and theoretical value of STO combinations for growth stocks (0.3667) was lower than that for value stocks (0.4053). Therefore, this study proposed that the phenomena of stronger over-reaction to STO combinations with growth stocks than with value stocks did not exist.

並列關鍵字

value effect, value stock ； growth stock ； implied volatility ； over-reaction

參考文獻

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