The Predictive Ability of TAIEX Option Volatility Smirk for TAIEX Return

• Main Authors: Chia-Tzu Chang, 張佳慈
• Other Authors: Ging-Ginq Pan
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/50410640987490489536

碩士 === 國立屏東科技大學 === 財務金融研究所 === 99 === In recent years, the volatility smile pattern changed, it was into a negative slope pattern with strike price rise that’s the volatility smirk. In this paper , to understand what is the impact for the pattern changing of volatility smile, and it implemented the test with the TXO and Taiwan Weighted Stock Index. The main variable is demand-based skew with the deviations from OTM put and ATM call option price, the risk neutral skewness, and the underlying return skewness to explore the predictive ability of volatility smirk for TAIEX return, to test how long does the predictability last, and to inspect which one’s predictive ability is better with the different ways of skew measuring. Finally, the results of empirical test is that the demand-based skew can predict the return of TAIEX, and it’s predictability can be sustained for five weeks. Risk neutral skewness also can predict the return of TAIEX, and it’s predictability can be sustained for five weeks at least.