The relationship between TAIEX return and implied volatility spread in option markets
碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 104 === This study aims to examine the relationship among domestic TW VIX index and TWSE index return as well as implied volatility spread and TWSE index return to verify how they influence on each other and whether there exists causality.This study uses time seri...
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ndltd-TW-104NCKU53040182017-10-15T04:37:05Z http://ndltd.ncl.edu.tw/handle/24348914524737766423 The relationship between TAIEX return and implied volatility spread in option markets 臺灣加權股價指數報酬與選擇權隱含波動率價差之關聯性 Wen-IChen 陳文儀 碩士 國立成功大學 財務金融研究所碩士在職專班 104 This study aims to examine the relationship among domestic TW VIX index and TWSE index return as well as implied volatility spread and TWSE index return to verify how they influence on each other and whether there exists causality.This study uses time series data and applies unit root test, vector autoregressive (VAR) model,Granger causality test, impulse-response function, and decomposition of variance to conclude the following findings. 1.There exists an inverse relationship between TW VIX index and TWSE index return. TW VIX index leads TWSE index return by 3 time periods, and there is only unidirectional causality from TW VIX index to TWSE index return. 2.There is a positive relationship between implied volatility spread (CV-PV) and TWSE index return. It also shows a feedback relationship between these two variables as they lead and lag behind from each other. Tse-Shih Wang 王澤世 2016 學位論文 ; thesis 56 zh-TW |
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碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 104 === This study aims to examine the relationship among domestic TW VIX index and TWSE index return as well as implied volatility spread and TWSE index return to verify how they influence on each other and whether there exists causality.This study uses time series data and applies unit root test, vector autoregressive (VAR) model,Granger causality test, impulse-response function, and decomposition of variance to conclude the following findings.
1.There exists an inverse relationship between TW VIX index and TWSE index return. TW VIX index leads TWSE index return by 3 time periods, and there is only unidirectional causality from TW VIX index to TWSE index return.
2.There is a positive relationship between implied volatility spread (CV-PV) and TWSE index return. It also shows a feedback relationship between these two variables as they lead and lag behind from each other.
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Tse-Shih Wang |
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Tse-Shih Wang Wen-IChen 陳文儀 |
author |
Wen-IChen 陳文儀 |
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Wen-IChen 陳文儀 The relationship between TAIEX return and implied volatility spread in option markets |
author_sort |
Wen-IChen |
title |
The relationship between TAIEX return and implied volatility spread in option markets |
title_short |
The relationship between TAIEX return and implied volatility spread in option markets |
title_full |
The relationship between TAIEX return and implied volatility spread in option markets |
title_fullStr |
The relationship between TAIEX return and implied volatility spread in option markets |
title_full_unstemmed |
The relationship between TAIEX return and implied volatility spread in option markets |
title_sort |
relationship between taiex return and implied volatility spread in option markets |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/24348914524737766423 |
work_keys_str_mv |
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