An Analysis Of Investor Behavior During Financial Crisis: Case of TAIEX Index Options

• Main Authors: Yi-Ting Li, 李依婷
• Other Authors: Wen-Den Chen
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/00166736561964455451

碩士 === 東海大學 === 經濟系 === 98 === This paper uses the daily data of TXO and risk-free rate to estimate the TAIEX index options. The results find that not only the relationship between spot return and volatility, it also shows the behavior of investor during stock market bubble. This article uses unit root test (ADF) for testing if bubble exiting. It utilizes the generalized autoregressive conditional heteroskedastic model (GARCH) consist of a dummy variable to prove that exiting bubble caused that the level of the spot return decreasing and volatility increasing more than usual. We take the implied volatility calculated by Black-Scholes model as a real volatility. Heston-Nandi GARCH(1,1) model examine if the investor behavior changes with time-varying. Some conclusions are provided: (1)During stock bubble period we find that the bad news has a bigger effect on the spot return and volatility than good news. (2)The economic experiences bubbles make the investor behavior changes to become risk-averse.(3) Heston-Nandi GARCH(1,1) option pricing model is the lower error than others in bubble.