財務金融研究

Essays in Finance

賴雅雯(Ya-Wen Lai)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/博士(2011年)

https://doi.org/10.6342/NTU.2011.10897

摘要

無資料

關鍵字

行為異質 ； 投資人情緒 ； 衍生性商品交易 ； 避險交易 ； 總體因子 ； 選擇權報酬率 ； 經濟活動指標

並列摘要

This dissertation is composed of two essays. I empirically examine rational expectation equilibrium in options/futures markets from behavioral and traditionally rational perspectives. The first essay, titled “Behavioral Heterogeneity, Investor Sentiment and Derivatives Trading: Evidence in Stock Index Futures,” examines whether the futures position is redundant in the sense that the futures position does not contain useful information for the underlying asset. I visit this topic in a behavioral perspective and examine the causal relationship between the underlying return and futures position. I find that hedge trading and index returns have predictive power for each other, and that time-varying investor sentiment is an indispensable ingredient to explain the predictive power of hedge trading for index returns. The second essay, titled “Macro factors in Index Option Returns,” is a test of ICAPM in index option market. Specifically, I investigate whether macro factors can explain the cross-section of index option returns in an asset pricing framework. Macro factors are particularly extracted from a large panel of 132 economic activity indicators using dynamic factor analysis. The results support that macro factors have a decisive influence on index option returns, irrespective of whether the risk premia are estimated from option or stock portfolios.

並列關鍵字

Behavioral heterogeneity ； Investor sentiment ； Derivatives trading ； Hedge trading ； Macro factors ； Option returns ； Economic activity indicators

參考文獻

Abhyankar, A., 1998. Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market. Journal of Futures Markets 18, 519-540.

Ajayi, R. A., Serletis, A., 2009. Testing for causality in the transmission of Eurodollar and US interest rates. Applied Financial Economics 19, 439-443.

Alfarano, S., Lux, T., Wagner, F., 2005. Estimation of agent-based models: the case of an asymmetric herding model. Computational Economics 26, 19-49.

Amilon, H., 2008. Estimation of an adaptive stock market model with heterogeneous agents. Journal of Empirical Finance 15, 342-362.

Anderson, T. G., 1996. Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance 51, 169-204.