本文首先發現價格衝擊對於外匯波動度的影響存在不對稱與反轉的現象。當價格變動幅度很大時,負向衝擊比起正向衝擊對波動度的影響要較大;但是當價格變動幅度小時,影響程度會出現反轉(Reversal),即正向衝擊比負向衝擊對波動度的影響較大,其次,本文定義“訊息衝擊”(以別於以往的“價格”衝擊)為由於選擇權交易活動的變動(如交易量)所造成的衝擊。使用四種外匯(英鎊、歐元、日圓及瑞士法郎)為實證對象,實證結果發現此訊息衝擊亦造成波動度不對稱效果及反轉的現象,與前述的價格衝擊效果是分別獨立存在的。此結果支持了Back(1993)的理論模型選擇權市場並非多餘的,其交易活動提供了更廣泛且有別於標的現貨市場的訊息來源。
The sign- and volatility-switching GARCH (VS-GARCH) model, originally developed by Fornari and Mele (1997), not only allows an asymmetric reaction of the conditional volatility to the arrival of news, hut it also captures the ”reversal” of the asymmetric reaction to news. As the news shock (price shock) is large, volatility is more responsive to negative than positive price changes (leverage effect). However, as the news shock is small, volatility is more responsive to positive than negative price changes. This article first finds empirical evidence supporting the VS-GARCH model in four foreign currencies: British Pound, ECU, Japanese Yen and Swiss Franc. Further, we define ”information” shocks, which is one due to the movement of option trading activities. Empirical result indicates that information shocks also separately induced asymmetric response of conditional volatility and reversals. Our finding supports the theoretical model by Back (1993), in which options are not redundant.
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