臺指選擇權市場活動性與臺灣加權股價指數波動性之關聯性

• Main Authors: Chen, Che-Hui, 陳哲輝
• Other Authors: Chuang, I-Yuan
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/46080832650870818413

碩士 === 國立中正大學 === 財務金融研究所 === 101 === This study examines the dynamic relationship between option market activity and cash market volatility on the TAIEX index before and after the financial crisis in 2007. We employ OMA、CMV、TWR、USR and analyze them by using Unit Root test, Johensen Co-integration test, VAR model, VECM model, Granger Causality test, and Impulse Response Function. Our empirical results are as below：(1)CMV with OMA occurred during the financial crisis is higher; (2)CMV and OMA showing significantly right distributivity after the financial crisis; (3)CMV and OMA after the financial crisis presents a serious high leptokurtic; (4)CMV with OMA has the characteristics of time series; (5)CMV the OMA are constant series; (6)OMA subject to prior periods prior to the financial crisis interferences, CMV after the financial crisis by the early the interference; (7)before the financial crisis and the OMA, CMV has a one-way causal relationship.