The Relationship Between Asymmetry Properties Of Implied VolatilityInTaiex Options And Stock Index Returns

• Main Authors: Ke,Ding-Wei, 柯丁維
• Other Authors: Han,Chien-Shan
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/52490144183947942292

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 100 === VIX is the volatility indicator involving overall consideration. The content of VIX includes call option volatility and put option volatility. This study is to look into the call option volatility and put option volatility to see if there is any equivalent message reading in terms of the return rate of the call option volatility and put option volatility. When the call option volatility is relatively high, it could mean the future stock market is optimistic. If the call option goes up, it could mean possible volatility influence to the rise of stock market, and therefore the call option price goes higher.On the contrary, if the put option volatility goes up, it could mean possible volatility influence to the downturn of stock market, and therefore the put option price goes higher. In order to provide a reference indicator for investors to analyze market environment and future trend and to uplift the practical market trading performance and profitability by observing the nature of the trend, this study analyses the inconsistency between the call and put volatility, the relationship between volatility and stock return, and if VIX does lead to the future stock return.