博碩士論文 etd-0522115-000259 詳細資訊


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姓名 楊一倫(I-lun Yang) 電子郵件信箱 d-3946@hotmail.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 103學年第2學期
論文名稱(中) VIX 指數期貨市場交易活動的隱含資訊
論文名稱(英) The Information Content of Trading Activity Evidence from VIX Futures
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    紙本論文:1 年後公開 (2016-06-27 公開)

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    論文語文/頁數 英文/74
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    摘要(中) 本文旨在探討 VIX 期貨是否能預測 VIX 報價及 S&P500 的實質波動度,並藉此
    觀察交易行為。本文資料使用 2004 年 11 月至 2011 年 1 月的日內資料,分別判別
    交易量為買方發動或賣方發動,並分別計算交易量(trade volume)、交易金額(dollar
    volume)和交易次數(number of trade)。實證交易行為是否能證明報價變動(VIX
    futures quote change),結果發現交易行為與價格變動呈現同向關係,並具有預測
    的效果。利用 VAR 模型實證 VIX 期貨報價報酬(quote return)與淨交易量(net
    trade volume)、淨交易金額(net dollar)與淨交易次數(net number of trade),
    實證後發現報酬與交易量之間存在訊息效果(information effect),報酬率與交
    易量彼此呈現顯著正相關。此外,也使用總交易量(total trade volume)、總交
    易金額(total dollar volume)與總交易次數(total number of trade),由於資
    訊沒有有效區分,未發現任何效果。另一方面,本文利用三種計算實質波動度的
    方式估計 S&P500 的實質波動度,實證 S&P500 的實質波動度與 VIX 期貨交易量之
    間的關係,運用落後期實質波動度、VIX 指數、景氣循環作為控制變數,大部分
    實質波度皆被控制變數解釋,交易量的解釋效果並不顯著,未能證明交易量對實
    質波動度的影響。
    摘要(英) In this study, we focus on the VIX futures market to investigate whether this market
    predicates VIX futures quotes and S&P500 realized volatility. We use the intraday
    datafrom November 2004 to January 2011.The volume is being differenced with
    buyer-initiated volumeand seller-initiated volume, which calculates trade volume,
    dollar volume and number of trade. We find the price changes can be predicted by
    contemporaneous and lagged trade activity. Specifically, the interrelationships among
    VIX quote returns and net trade volume, net dollar volume, and net number of trade
    are analyzed using a VAR model. Our results reveal the existence of information effect
    and a significantly positive relationship between quote returns and trade activity, but
    we do not find out the interrelationshipswith VIX quote returns and total trade volume,
    total dollar volume, and total number of trade. This paper use three methods to
    calculate S&P500’s realized volatility in order to analyze the relationship with realized
    volatility and VIX futures’ volume. We use lagged realized volatility, VIX index and
    cycle as control variables that realized volatility can notto be explained by control
    variables so trade volume variables are insignificant in our results.
    關鍵字(中)
  • 淨交易次數
  • 淨交易金額
  • 淨交易量
  • 報價變動
  • 實質波動度
  • 訊息效果
  • 報價報酬
  • 交易行為
  • VIX 期貨
  • 關鍵字(英)
  • VIX futures
  • information effect
  • quote return
  • quote change
  • trade activity
  • realized volatility
  • net trade number of trade
  • net dollar volume
  • net trade volume
  • 論文目次 論文審定書 i
    誌謝 ii
    摘要 iii
    ABSTRACT iv
    CONTENTS v
    List of Figures i
    List of Tables ii
    I. INTRODUCTION 1
    II. LITERATURE REVIEW 6
    2.1 Relationship price impact and trade activity volume 8
    2.2 Changes in trades and quote revisions effects 8
    2.2.1 Information effect 8
    2.2.2 Liquidity effect 9
    2.2.3 Inventory effect 10
    2.3 Volatility information in the trading activity 10
    III. DATA 12
    3.1 Sample 12
    3.2 Summary statistics 13
    IV. EMPIRICAL RESULTS 16
    4.1 Price impact model 16
    4.2 The VAR model for VIX futures market 18
    4.3 The regression of different futures realize volatility method 21
    4.3.1 Patterns existing between RV and trading activity 22
    4.3.2 Regression of Predictive Ability of Trading Activity 24
    4.4 Robustness Test 27
    4.4.1 15-minute 27
    4.4.2 Price impact model at 15 minute 28
    4.4.3 The VAR model for VIX futures market at 15minute 29
    V. CONCLUSION 31
    REFERENCES 33
    參考文獻 REFERENCES
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    口試委員
  • 翁培師 - 召集委員
  • 林智勇 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2015-05-22 繳交日期 2015-06-27

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