On the Relationship between Risk Neutral Density and Investors\'\' Emotion.

• Main Authors: Yung-Hsien Wu, 吳泳嫻
• Other Authors: Shih-Kuo Yeh
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5304027%22.&searchmode=basic

碩士 === 國立中興大學 === 財務金融學系所 === 107 === My research topic is " The relation between the moment of the Risk Neutral density and investor''s emotion under the dangerous period : Evidence from S&P stock option. In this paper we study information of the Risk Neutral density (RND) implied by the option price. Our research data use the American monthly stock option-S&P during the period from June 1,2000 until December 31,2017 (total of 212 months). We want to use the data to explain the relationship between the moment (standard deviation, Skewness ,and Kurtosis) and emotion of the investors. At the beginnings, we find that the density of the probability would be negative. It is irrational, so we should deal the data. And we found that the strike price''s delta were negative and the curve which was plotted with the strike price and delta didn''t smooth at all. When we deal this trouble, we would find when we solve this questions as soon as possible. Our research used the Consumer confidence index (CCI) and put call ratio as research''s index of emotion. And add the rational variable to understand whether irrational emotion would effect the investors or consumer''s directions. Besides we want to know at the dangerous period the RND''s moment would change by the investor''s direction or not . So our research has three focus: 1.The relation between the investor''s emotion and the RND moment. 2.When we add the rational variable would change the direction or not? 3. At the dangerous period, the result of 1 would change or not.