選擇權評價和選擇權交易量

本文研究主要包含二個不同議題。第一個議題是，我們擴展Log-HAR波動度模型在選擇權定價上，這是比其他的已實現波動率選擇權定價模型更簡單且更方便。此外，我們用S＆P 500指數選擇權市場資料去比較HAR模型和NGARCH選擇權定價模型，其中NGARCH已被證明為最好的模型在GARCH模型裡面。我們的實證分析是在最近的金融危機的選擇權交易，從2007年7月3日2008年12月31日。我們發現，HAR型模型成功地預測了樣本外選擇權價格，可能原因是因為已實現波動率比較接近波動率指數（VIX）在金融市場的波動。HARG和Log-HAR選擇權定價模型存在mixed結果，因為在動盪時期，Log-HAR選擇權定價模型比HARG選擇權定價模型好，而在相對不穩定的時期HARG選擇權定價模型Log-HAR選擇權定價模型好。第二個議題是相關informed投資者可以預測未來指數報酬率在台灣等新興市場。不同於以往的實證研究結果，我們發現，在更近的時期，國內機構投資者表現出顯著的預測能力在Daily TAIEX報酬率，除了在2008年的金融危機之外。相反的，外國機構投資者只有微弱的可預測性在金融危機之前。我們進一步探討指數報酬率和不同的交易者類型之間的lead-lag關係。我們的研究結果顯示，2008年金融危機之前，只有國內機構投資者對intraday TAIEX 報酬率具有預測能力。在2008年的金融危機，intraday TAIEX報酬率顯著領先國外和國內機構投資者的選擇權交易量，這表明雖然機構投資者密切關注市場的波動做出反應，卻無法事先預測市場的波動。

關鍵字

已實現波動率； Log-HAR ； HARG ； NGARCH ； S&P500指數選擇權；國外投資人；國內投資人； Intraday lead-lag分析

並列摘要

This dissertation consists of two separate issues. The first issue is we extend Log-HAR option pricing model, which is more convenient compared to other option pricing models associated with realized volatility in the way of simpler estimation procedure. In addition, we test the empirical implications of HAR-type models in the S&P 500 index options market with the comparison of the NGARCH option pricing model that has been documented as the best model in pricing options among GARCH-type models. Our empirical analysis is based on options traded from July 3, 2007 to December 31, 2008 covering the recent financial crisis, where has never been discussed in existing literature. Overall, we find that the HAR-type models successfully predict out-of-sample option prices probably because they are based on realized volatilities, which are closer to expected volatility (VIX) in financial markets. However, it seems to exist the mixed result between the Log-HAR and the HARG models in pricing options since the Log-HAR is better than the HARG in times of turmoil, while it is worse during the rather unstable period. The second issue is related to informed investors can predict future index returns in emerging markets like Taiwan. Unlike previous empirical results, we find that in more recent periods, the put-call ratio of domestic institutional investors show significant predictive power for daily TAIEX returns, except during the 2008 financial crisis. In contrast, the put-call ratio of foreign institutional investors only has weak predictability for the TAIEX returns prior to the severe global market downturn in late 2008. We further explore the intraday lead-lag relationship among index returns and put-call ratios of different trader types. Our results show that only the trading of domestic institutional investors possesses predictive capability for intraday TAIEX returns prior to the 2008 financial crisis. During the 2008 financial crisis, intraday TAIEX returns significantly lead option trades of foreign and domestic institutional investors, suggesting that although institutional investors closely watch and react to market fluctuations, they are unable to predict market movement beforehand.

並列關鍵字

Realized volatility ； Log-HAR ； HARG ； NGARCH ； S&P500 index option ； Foreign investors ； Domestic investors ； Intraday lead-lag analysis

參考文獻

Andersen, T.G., T. Bollerslev, F. X. Diebold, and H. Ebens (2001). The distribution of realized return volatility. Journal of Financial Economics, 61, 43–76.

Andersen, T.G., T. Bollerslev, F. X. Diebold, and P. Labys (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96, 42–55.

Andersen, T.G., T. Bollerslev, F. X. Diebold, and P. Labys (2003). Modeling and forecasting realized volatility. Econometrica, 71, 579–625.

Andersen, T.G., T. Bollerslev, and F. X. Diebold (2007). Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility. The Review of Economics and Statistics, 89, 701–720.

Anthony, J.H., (1998). The interrelation of stock and options market trading-volume data. Journal of Finance 43, 949-964.

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選擇權評價和選擇權交易量

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