博碩士論文 etd-0029118-142947 詳細資訊


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姓名 黃國綸(Guo-lun Huang) 電子郵件信箱 asx810410@gmail.com
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 106學年第2學期
論文名稱(中) 波動度與尾端風險交易策略
論文名稱(英) Tail Risk Trading Strategy Using Volatility-of-volatility Index
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    紙本論文:5 年後公開 (2023-01-29 公開)

    電子論文:使用者自訂權限:校內 5 年後、校外 5 年後公開

    論文語文/頁數 英文/51
    統計 本論文已被瀏覽 5565 次,被下載 0 次
    摘要(中) 本研究係以選擇權造市商委託簿所擷取之每日選擇權避險數量變化來預測市場尾端風險事件(或為黑天鵝事件),並以恐慌指數選擇權(VIX Options)建構多頭跨式部位的方式獲取尾端風險報酬。相關文獻指出美國芝加哥選擇權交易所(CBOE)於2012年推出的VVIX指數隱含大量尾端風險資訊,其是以VIX選擇權為標的,套用VIX指數計算方法而得的指數,故VVIX又稱為VIX of VIX或波動度的波動度(Volatility-of-volatility)。本研究透過造市商在VIX選擇權市場造市後,於期貨市場進行動態避險的委託簿失衡比例(OOIB)預測VVIX指數走勢。結果顯示OOIB具有VVIX指數價格變化的預測能力,進一步檢測後發現主要預測力來自價平選擇權,本研究遂以VIX價平選擇權建構尾端風險交易策略。
    根據全樣本資料,當造市商選擇權委託簿失衡的避險比例(OOIB)為正且足夠大時,交易策略能產生正報酬。即便OOIB於2011年後有大幅收斂的情況,策略修正後亦能成功取得波動度預測所產生之尾端風險報酬。此一結果反映出VIX選擇權造市商的避險部位隱含大量極端事件發生的資訊與預測能力,為市場動能與市場波動度的綜合體現,機構投資者能以此做為避險策略。
    摘要(英) The purpose of this paper is to use a new model-free measure to proxy for tail risk and exploit option induced order imbalance (OOIB) to predict the return of this tail risk indicator. Unlike VaR or VIX based literatures, this paper exploits the volatility of volatility as measured by the CBOE VVIX index to measure tail risk events. In this study, the option induced order imbalance (OOIB) is the dynamic hedging position from VIX option market makers. The OOIB positively and significantly predicts the return of VVIX index, and it was mainly contributed by at-the-money options. This result indicates that the order imbalance in VIX option market has the information and predictability toward market volatility of volatility and tail risk events, this paper then develops a long straddle position on VIX options to capture tail risk returns.
    關鍵字(中)
  • Lee and Ready委託單分類演算法
  • 證券市場微觀結構
  • 委託簿失衡
  • 選擇權造市商動態避險
  • VVIX指數
  • 尾端風險
  • 波動度的波動度
  • 關鍵字(英)
  • Order Imbalance
  • Market Maker Delta Hedge
  • VVIX index
  • Volatility-of-volatility
  • Tail Risk
  • Lee and Ready Classification Algorithm
  • Market Microstructure
  • 論文目次 摘要 i
    ABSTRACT ii
    I. Introduction 1
    II. Literature Reviews 6
    III. Methodology 10
    3.1 Order Imbalance and Control Variables 10
    3.2 Hypothesis and Main Test 13
    3.3 Option Leverage Level Test 14
    3.4 Data Description 15
    IV. Empirical Results 17
    4.1 Main Regression 17
    4.2 Option Leverage Level Test 19
    V. Tail Risk Trading Strategy 21
    5.1 Description of Tail Risk Trading Strategy 21
    5.2 Trading Strategy and Performance 22
    5.3 Revision and Best Strategy 25
    VI. Conclusion 27
    References 28
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    口試委員
  • 徐之強 - 召集委員
  • 何耕宇 - 委員
  • 周冠男 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2017-06-15 繳交日期 2018-01-29

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