- 學位論文
順勢或逆勢交易? 波動門檻指標在台指期貨與台指選擇權之實證研究
Trend or Contrarian Trading ? Empirical Study of the Volatility Threshold Indicator in Taiwan Stock Index Futures and Taiwan Stock Index Options
摘要
本研究試著透過選擇權隱含波動度與波動門檻模型建置一個預測未來波動度的指標，亦即波動門檻值，而本研究的研究目的總共分為兩部分。 第一部分，進行波動門檻指標有效性之研究，使用的資料為2002年1月至2010年10月近月份台指選擇權及其現貨指數日資料，分析結果發現，該指標的正確訊號產生機率為72.86%。使用卡方齊一性檢定檢驗正確訊號次數與錯誤訊號次數，結果顯示兩者呈現顯著差異。為了得知此波動度指標是否能作為建立賣出勒式部位的決策依據，本研究使用建立賣出勒式部位並持有到期的方式進行驗證。實證結果顯示，當波動門檻值小於波動門檻臨界值時所建立部位之結算總獲利點數為3635點，而波動門檻值大於波動門檻臨界值時所建立部位之結算總獲利點數則為-2578點。將兩種情況的損益平均數進行t檢定，統計結果顯示兩種情況的損益有顯著差異。此結果顯示，本研究所使用的波動度指標可用來作為建立賣出勒式部位的決策依據。 第二部分，以波動門檻值搭配均線指標和RSI指標(波動門檻綜合指標)以作為台指期貨進出場的買賣訊號依據。資料期間為2002年1月至2010年10月近月份台指選擇權及台指期貨指數日資料。本研究使用四種交易方式，亦即波動門檻綜合指標、均線指標交易、RSI指標交易與亂數指標，並分別計算交易之報酬風險比率，然後與大盤持有到期策略報酬風險比率做比較。分析結果發現，波動門檻綜合指標之報酬是所有搭配中最好的，而且也比大盤報酬高。最後本研究也透過Friedman檢定得知波動門檻綜合指標的報酬風險比率和其他方式的報酬風險比率有顯著差異。
並列摘要
By using the implied volatilities of TAIEX options and their underlying index, this study tries to build an indicator, namely the volatility threshold indicator. The purpose of this study is divided into two parts: In the first part, this study tries to investigate the effectiveness of volatility threshold indicator. This indicator is used for predicting the future volatitlity of TAIEX Index and serves as the decision-making basis for establishing the Short Strangle position. The data used are the daily data and span from January 2002 to October 2010. Our results show that the probability of correct signal generated by the volatility threshold indicator is 72.86%, and the chi-square homogeneity test reveals significant difference between the numbers of the correct and the wrong signal. In order to investigate whether the volatility threshold indicator could be used as the decision-making basis for Short Strangle strategy, we establish a Short Strangle position each month and hold the position till maturity. Our results show that there is 3,635 points profit when the position is built as the volatility threshold indicator is less than the critical value. On the contrary, there is 2,578 points loss when the position is built as the volatility threshold indicator is greater than the critical value. The t-test shows that the average profits of both cases are statistically different. Our findings suggest that the volatility threshold indicator could serve as the decision-making basis for Short Strangle strategy. In the second part, the volatility threshold coupled with moving average indicators and RSI indicators (namely, the volatility threshold comprehensive indicators) are used as the basis of buying and selling signals for TAIEX trading. The data period is from January 2002 to October 2010. The data include the daily trading data of TAIEX options and TAIEX futures index. In this study, four trading methods, namely, the trading method of volatility threshold comprehensive indicators, the moving average indicators trading method, RSI indicators trading method and the trading method of random number indicators are used to calculate return-risk ratio to compare with the return-risk ratio of the buy and hold strategy. The analysis results suggest that the returns of the trading method of volatility threshold comprehensive indicators are the best among all trading methods, and are better than the market returns. Finally, Friedman test finds that the return-risk ratio of the trading method of volatility threshold comprehensive indicators has significant differences from the return-risk ratio of other trading methods.