選擇權隱含波動率指標及股票報酬

Option Implied Volatility Index and Stock Returns

李欣芸(Shin-Yun Lee)

指導教授 ： 李漢星

國立交通大學/管理學院/財務金融研究所/碩士(2020年)

摘要

過去文獻已發現許多選擇權隱含波動率 衡量 變數，可有效預測標的股票未來之報酬。 因這些波動率衡量變數可能包含不同的訊息內涵，本論文透過三種不同方式整合隱含波動率變數成指標，發現以週為單位的簡單計分方式 所形成之交易策略最能顯著提升股票之投資報酬率。

關鍵字

選擇權隱含波動率 ； 交易策略 ； 股票報酬

並列摘要

Previous literature has found that some option implied volatility measures have significant predictive power for future stock returns. Since these implied volatility measures may contain different information content, we use three different methods to integrate volatility measures into index. We find that our simple combined strategy using weekly volatility measures performs best and it can significantly enhance profitability.

並列關鍵字

Option Implied Volatility ； Trading Strategy ； Stock Returns

參考文獻

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