An empirical study of option implied Riskiness in Taiwan market
碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === We employ the option implied “Riskiness” proposed by Bali, Cakici and Chabi-Yo (2011) to perform an empirical study in Taiwan stock market. The Riskiness defined by Aumann and Serrano (2008) and Foster and Hart (2009) are constructed with options with different...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/05182288563840545281 |
| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === We employ the option implied “Riskiness” proposed by Bali, Cakici and Chabi-Yo (2011) to perform an empirical study in Taiwan stock market. The Riskiness defined by Aumann and Serrano (2008) and Foster and Hart (2009) are constructed with options with different maturities. We find the evidence of contemporaneous relation between the underlying asset’s return and risk indices, which is asymmetric and negative. And the forward looking ability of both risk indices is confirmed, there is more than positive linearity between expected risk and return. Riskiness has been proved to have stronger explanatory ability than VIX. As long as the effect of maturity can be separated from option implied riskiness, Riskiness will be a better indicator of market condition than VIX.
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