| Summary: | 碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 97 === After Taiwan stock index options (TXO) have been listed in the Taiwan Futures Exchange(TAIFEX) since December 24th, 2001, the option market has become much more prosperous. For this reason, arbitrageurs and investors have regarded TXO as one of the best financial instruments for the purpose of hedging. Under the assumption of Black and Scholes(1973), implied volatility must be flat and constant through time, but empirical studies give implied volatility function the appearance of smile.
From the past empirical studies, it has several reasons to explain the phenomenon of smile effect. For example, expiration effect( Heynen (1994), Ju, Lo and Wang (2008), Taylor and Xu (1994)), trading cost, market momentum and historical volatility(Peña, Rubio and Serna (1999)). As time goes further, Bollen and Whaley(2004) and Chan, Cheng and Lung(2004) use the factor of net buying pressure to interpret the smile effect of implied volatility function. In 2008, Han explains the shape of implied volatility function from the aspect of investor sentiment.
In this paper, we follow the model of Bollen and Whaley(2004) and use the conception of Han(2008) for the purpose to construct another investor sentiment index which is called CPratio classified by different types of investor. The ultimate intention is that we want to find out whether the CPratio classified by different types of investor and net buying pressure classified by delta can affect the change in implied volatility significantly and the result is that individual investors’ sentiment has the effect on the change in implied volatility for at-the-money call with significance.
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