The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Practically, the application of options implied second moment, implied volatility, is very popular, but the study of implied third moment, skewness, and fourth moment, kurtosis, is seldom. One of the main economic functions of trading derivatives is to “mine” th...
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ndltd-TW-094NTU053040502015-12-16T04:38:22Z http://ndltd.ncl.edu.tw/handle/08682112450774743439 The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis 台指選擇權隱含波動率、偏態及峰態之資訊內涵 Shu-Hsiu Chen 陳書修 碩士 國立臺灣大學 財務金融學研究所 94 Practically, the application of options implied second moment, implied volatility, is very popular, but the study of implied third moment, skewness, and fourth moment, kurtosis, is seldom. One of the main economic functions of trading derivatives is to “mine” the market price. With regard to options, the function of mining price can be extended to other parameters. If the participators in the market did not find such useful information, the first movers will be benefited by the information. This research uses the intraday data of Taiwan Stock Exchange Capitalization Weighted Index (TAIEX) call options of each trading day in 2005 and employs Jarrow-Rudd model and linear interpolation to extract 28-day implied volatility, skewness, and kurtosis. Then, use linear regression empirically to check the relation between options implied moments and the stock index one trading day and one week ahead. In substance, the conclusions are as follows, 1. Options implied distribution is positively-skewed and platykutic generally. 2. If we use implied skewness and/or implied kurtosis as independent variable(s), and the stock index some trading day(s) ahead as dependent variable, the model is significant. 3. Implied second, third, fourth moments together have good explanatory power to the underlying stock index one and five trading day(s) ahead. The asymmetry phenomenon that the rise or the drop of implied standard deviation will not significantly affect stock index. 4. Implied skewness and kurtosis together have explanatory power to future implied standard deviation. Tsun-Siou Lee 李存修 2006 學位論文 ; thesis 36 en_US |
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碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Practically, the application of options implied second moment, implied volatility, is very popular, but the study of implied third moment, skewness, and fourth moment, kurtosis, is seldom. One of the main economic functions of trading derivatives is to “mine” the market price. With regard to options, the function of mining price can be extended to other parameters. If the participators in the market did not find such useful information, the first movers will be benefited by the information.
This research uses the intraday data of Taiwan Stock Exchange Capitalization Weighted Index (TAIEX) call options of each trading day in 2005 and employs Jarrow-Rudd model and linear interpolation to extract 28-day implied volatility, skewness, and kurtosis. Then, use linear regression empirically to check the relation between options implied moments and the stock index one trading day and one week ahead. In substance, the conclusions are as follows,
1. Options implied distribution is positively-skewed and platykutic generally.
2. If we use implied skewness and/or implied kurtosis as independent variable(s), and the stock index some trading day(s) ahead as dependent variable, the model is significant.
3. Implied second, third, fourth moments together have good explanatory power to the underlying stock index one and five trading day(s) ahead. The asymmetry phenomenon that the rise or the drop of implied standard deviation will not significantly affect stock index.
4. Implied skewness and kurtosis together have explanatory power to future implied standard deviation.
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author2 |
Tsun-Siou Lee |
author_facet |
Tsun-Siou Lee Shu-Hsiu Chen 陳書修 |
author |
Shu-Hsiu Chen 陳書修 |
spellingShingle |
Shu-Hsiu Chen 陳書修 The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis |
author_sort |
Shu-Hsiu Chen |
title |
The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis |
title_short |
The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis |
title_full |
The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis |
title_fullStr |
The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis |
title_full_unstemmed |
The Information Content of TAIEX Options Implied Volatility, Skewness, and Kurtosis |
title_sort |
information content of taiex options implied volatility, skewness, and kurtosis |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/08682112450774743439 |
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