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    Title: 台指選擇權到期日之結算價及方向預測
    The settlement price and direction forecast of the taifex equity options at expiration date
    Authors: 張文崟
    Contributors: 張元晨
    張文崟
    Keywords: 一週到期選擇權
    到期日
    結算價
    Date: 2015
    Issue Date: 2015-08-03 13:24:18 (UTC+8)
    Abstract: 台灣期交所於2001 年12 月推出台指選擇權,更於2012年11月推出一週到期選擇權,至今交易量屢創新高,本研究希望以實證資料探討台指選擇權到期日當天是否存在到期日效應 ,及台指選擇權到期日的結算價可否預測兩項議題. 本研究利用到期前一日台指選擇權收盤資料來預估選擇權賣方最佳結算價,並利用此一價格來推估到期日當天的結算價。
    表目錄 3
    圖目錄 3
    第壹章 緒論 4
    第一節 研究背景與動機 4
    第二節 研究目的 7
    第三節 研究架構 7
    第貳章 文獻探討 9
    第一節 台指選擇權介紹 9
    第二節 國內外到期效應相關文獻 10
    第三節 國內外選擇權交易策略相關文獻 12
    第參章 研究方法 14
    第一節 資料選取與來源 14
    第二節 選擇權賣方最佳結算價計算模型 17
    第肆章 實證結果與分析 23
    第一節 到期日結算價方向預測準確率 23
    第二節 加入美股前一日漲跌篩選到期日結算價方向預測準確率 27
    第三節 利用期貨交易策略回測結果 32
    第四節 利用選擇權交易策略回測結果 36
    第伍章 結論與建議 49
    第一節 結論 49
    第二節 研究建議 49
    參考文獻 51
    Reference: 中文部分
    1.杜化宇譯,期貨與選擇權概論,雙葉書廊有限公司,民88 年。
    2.謝明忠,台指選擇權交易策略之研究與實證,政治大學,碩士,民94 年。
    3.陳銘鴻,台指選擇權賣出勒式策略分析,樹德科技大學,碩士,民94 年。
    4.莊金月,期貨前十大交易額未平倉口數與台股漲跌趨勢關係之探討,中正大學,碩士,民95 年。
    5.周孟宣,台指選擇權交易策略實證研究—以期初持有至到期結算為例,中山大學,碩士,民95 年。
    6.阮子彧,應用基因演算法在台股籌碼面的知識發現,交通大學,碩士,民96 年。
    7.黃美雪,台指選擇權交易策略之獲利可能性研究,雲林科技大學,碩士,民96 年。
    8.張穆奎,臺指選擇權時間價值之研究,台灣大學,碩士,民97 年。
    9.王琪瑾,台指選擇權賣方策略搭配台指期貨避險的實證探討,高雄應用科技大學,碩士,民97 年。
    10.黃莉青,期貨市場三大法人之交易行為與台指期貨報酬之關聯性,中央大學,碩士,民98 年。
    11.林宥辰,台指選擇權到期日效應與隱含波動度微笑曲線之探討,中央大學,碩士,民國95 年。
    12.嚴志哲,台指選擇權操作策略研究,明新科技大學,碩士,民國99 年。
    13.吳明修,摩根台股指數期貨到期日效應對股票市場之影響,國立高雄第一科技大學,碩士,民國88年。
    14.吳孟憲,選擇權到期效果之研究 : 以臺灣市場為例,國立台灣大學碩士,民國93年。
    15.李淳祥,台指選擇權市場淨買壓假說之驗證,國立政治大學,碩士,民國95年。
    16.林世釗,臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究,國立台北大學,碩士,民國92年。
    17.李見發、林榮裕、陳秀綾,台灣股價指數期貨及摩根台指期貨到期效應之因素研究,財金論文叢刊,第三期,民國94 年。
    18.林子傑,提前平倉與轉倉策略對股價指數期貨到期日效應之實證:以台灣股票市場為例,國立中央大學財務金融研究所未出版碩士論文,民國95 年。
    19.謝文良、曲靜芳,「摩根台指期貨之到期日效應」,管理評論,第二十八卷第一期,民國98 年。
    20.闕河士、楊德源,新加坡摩根台股期貨到期日效應之因素探討:套利或操縱?「股價指數期貨到期日效應之實證:以台灣股票市場為例」,財務金融學刊,第十三卷第二期,民國94 年。

    英文部分
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    6. Chamberlain, T. W., C. S. Cheung, C. Y. C. Kwan, and C. Clarence, (1989),
    “Expiration-day effects of index futures and options: Some Canadian evidence”, Financial Analysts Journal, Vol.45, pp.67-71.

    7. Chan, K. C., Louis T. W. Cheng, and P. P. Lung, (2004), “Net buying pressure, volatility smile, and abnormal profit of Hang Seng index options”, Journal of futures markets, Vol.24, pp.1165 – 1194.
    8. Chou, H. C., W. C. Chen , and D.H. Chen,(2006), “The expiration effect of stock-index derivatives ”, Emerging Marks Finance and Trade ,Vol.42,
    pp.81-102.
    9.Chung, H. and Hseu, M., “Expiration Day Effects of Taiwan Index Futures: The Case of the Singapore and Taiwan Futures Exchanges,” Journal of International Financial Markets, Institutions & Money, Vol. 18, No. 2, 2008, pp. 107-120.
    10.Corredor, P., P. Lechon and R. Santamaria ,(2001), “Option-Expiration Effects in Small Markets: The Spanish Stock Exchange”, Journal of Futures Markets, Vol.21,pp.905-928.
    11. Chow, Y. F., H.M. Yung, and H. Zhang, (2003), “Expiration day effects: The case of Hong Kong”, Journal of Futures Markets, Vol.23, pp. 67-86.
    Day, T. E. and Lewis, C. M., “The Behavior of the Volatility Implicit in the Prices of Stock Index Options,” Journal of Financial Economics, Vol. 22, No. 1, 1988, pp. 103-122
    12. Dodd, R., “Consequences of Liberalizing Derivatives Markets,” In Financial Policy Forum,Washington D. C., January, 2005.
    13. Das, S. and K. Sundaram ,(1997), “Of smiles and smirks: A term-structure perspective”, Working paper, Harvard University, Cambridge, MA. December.
    14. Hancock, G. D., (1993), “Whatever happened to the triple witching hour?”Financial Analysts Journal, Vol.40, pp.66-72.
    15.Hsieh, S. F. and Ma, T, “Expiration-Day Effects: Does Settlement Price Matter?” International Review of Economics and Finance, Vol. 18, No. 2, 2009, pp. 290-300.
    16. Hsieh, W. L. G., “Expiration-Day Effects on Individual Stocks and the Overall Market: Evidence from Taiwan,” The Journal of Futures Markets, Vol. 29, No. 10, 2009, pp. 920-945.
    17. Hull, J., A. White, (1987), “The pricing of options on assets with stochastic volatilities”, Journal of Finance, Vol.42, pp.281-300.
    18. Karolyi, A.G.,(1996), “Stock market volatility around expiration days in Japan“. Journal of Derivatives, Vol.4, pp.23-43.
    19.Koenker, R. and Bassett, G., “Regression Quantile,” Econometrica, Vol. 46, No. 1, 1978, pp. 33-50.
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    21. Peña I.,G. Rubio and G. Serna,(1999),“Why do we smile? On the determinants of the implied volatility function”, Journal of Banking & Finance, Vol.23,pp.1151-1179.
    22. Pope, P.F. and P.K. Yadav, (1992),“The impact of option expiration on underlying stocks : The UK evidence“, Journal of Business Finance and Accounting”, Vol.19,pp.329-344.
    23. Rubinstein, M. ,(1985), “Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1979 through August 31, 1978”, Journal of Finance, Vol.40, pp.455-480.
    24. Samuelson, P. A. ,(1965), “Proof that Properly Anticipated Prices Fluctuate Randomly, ”Industrial Management Review, Vol.6 , pp.41-49.
    25. Schlag, C., (1996), “Expiration day effects of stock index derivatives in Germany”, European Financial Management, Vol.1, pp.69-95.
    26. Stoll, H. R., and R. E. Whaley, (1986), “Expiration day effects of index options and futures,” New York University: Monograph Series in Finance and Economics.
    27. Stoll, H. R., and R. E. Whaley, (1987), “Program trading and expiration-day effects” , Financial Analysts Journal, Vol.43, pp,16-28.
    28. Stoll, H. R., and R. E. Whaley, (1991), “Expiration-day effects: What has changed?”, Financial Analysts Journal, Vol.47, pp,58-72.
    29. Stoll, H. R. and R. E. Whaley, (1997).“Expiration-day effects of the All Ordinaries Share Price Index Futures :Empirical evidence and alternative settlement procedures”, Australian Journal of Management, Vol.22, pp.139-174.
    30.Swidler, S., L. Schwartz, and R. Kristiansen, (1994),“Option expiration day effects in small mark: Evidence from the Oslo Stock Exchange”, Journal of Financial Engineering, Vol.3, pp,177-195.
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    102932136
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102932136
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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