市場動能效果在個股選擇權之分析

• Main Authors: Guan-Ye Li, 李冠曄
• Other Authors: Jun-Biao Lin
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/52221380087656176631

碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 104 === Stock options market momentum hypothesis is given positive past stock return as investors increase their purchase on call options because they expect positive return to continue. As a result, call options will overprice easily cause of price pressure. In contrast, given negative past stock return, investors increase their purchase on put options because they expect negative return to continue. Similarly, put options will overprice easily cause of price pressure. This study use boundary condition test for American options respectively test whether existence of market momentum between two types options and past stock return. Then we use implied volatility spread to regress on past return to observe overall momentum effect. We use company size which means stock market value as the characteristics of individual stock, in accordance with the size divided into ten groups and sequentially test momentum effect. We found that the smaller size of the company, the effect is much more significant. And with the whole, when the stock price continued to rise in the past, investors tend to purchase additional call options. However, put options momentum effect is not significant when the stock price continued to down in the past.