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研究生： 陳彥璋
Chen, Yan-Zhang
論文名稱： 金融海嘯對股票波動差與股票預期報酬關係的影響
Reexamining the relationship between volatility spread and expected stock returns during the financial tsunami
指導教授： 顏盟峯
Yen, Meng-Feng
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2011
畢業學年度： 99
語文別： 英文
論文頁數： 38
中文關鍵詞： 隱含波動度 、預期報酬 、波動差 、金融海嘯
外文關鍵詞： Implied Volatility, Expected Return, Volatility Spread, Financial Tsunami Period
相關次數： 點閱：164  下載：6 
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    • 近年來，因為選擇權市場的蓬勃發展，越來越多的學者開始針對選擇權的隱含波動度與標的股票的預期報酬之關連性進行研究，而在經歷過金融海嘯的衝擊後，波動度與預期報酬之間的關係變化更是令人關注。本研究將分別檢視波動度及波動差(Volatility Spreads)和股票預期報酬之間的關連性，並將樣本期間分為比較期間、正常期間與金融海嘯期間進行比較。
    研究結果發現，無論是在正常期間或金融海嘯期間，歷史及隱含波動度和股票預期報酬之間的關連性皆不顯著；若進一步針對歷史-隱含波動差及買-賣權隱含波動差檢視，則發現在正常期間，波動差與股票預期報酬之間的關係十分顯著，但在金融海嘯期間，因市場機能受到破壞，波動差與股票預期報酬之間的關係轉趨於不顯著。

    Recently, many researchers center on the relation between implied volatility of options and stock expected returns due to option market’s rapid development. After the financial tsunami, we pay close attention to the change of the relation. We examine the relation not only between stocks expected returns and individual volatility measures but also between stocks expected returns and volatility spreads. We also divide our data into the comparative, normal and financial tsunami periods.
    According to our analysis, realized and implied volatilities have no significant predictive power to stock expected return in all sample periods. However, we find the relation between volatility spreads and stock expected return is significant in the normal period. During the financial tsunami period, their relation becomes more obscure because the market efficiency fails when the financial crisis comes.

    Content 1. Introduction 1 2. Literature review 3 3. Data 4 4. Volatility and the cross-section of stock returns 5 A. Realized volatility and the cross-section of stock returns 5 B. Implied volatility and the cross-section of stock returns 7 C. Volatility and the cross-section of stock returns: Fama-MacBeth regression 7 5. Volatility spreads and the cross-section of stock returns 8 A. Realized – Implied Volatility Spread 8 B. Call – Put Implied Volatility Spread 10 C. Double sorts on the RVol–IVol & CVol–PVol Spreads 10 6. Controlling for other cross-sectional effects 11 A.Controlling for Size. 12 B.Controlling for Book-to-market ratio. 12 C. Controlling for Skewness from the Risk-Neutral Distribution (Q-skew) 13 D .Controlling for Skewness from the Physical Distribution 13 E. Controlling for Illiquidity 14 7. Conclusions 15 References 18 Table Content Table 1 Portfolios sorted on realized volatilities of three sample periods. 20 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 20 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 21 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 21 Table 2 Portfolios sorted on call implied volatilities of three sample periods. 22 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 22 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 22 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 23 Table 3 Portfolios sorted on put implied volatilities of three sample periods. 24 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 24 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 24 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 25 Table 4 Fama-MacBeth regression on individual volatility measure in three sample periods. 26 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 26 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 26 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 26 Table 5 Portfolios sorted on Realized-Implied Volatility Spread in three periods. 27 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 27 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 28 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 28 Table 6 Portfolios sorted on Call-Put Volatility Spread in three periods. 29 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 29 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 29 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 30 Table 7 Double-sort volatility spread portfolios with controls in three periods. 31 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 31 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 31 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 32 Table 8 R-I Volatility spread arbitrage portfolios with controls for other cross-sectional effects 33 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 33 Panel B. Te comparative period from Jan 1996 to Aug 2007 (140 months) 34 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 35 Table 9 C-P Volatility spread arbitrage portfolios with controls for other cross-sectional effects. 36 Panel A. The comparative period from Jan 1996 to Dec 2004 (108 months) 36 Panel B. The normal period from Jan 1996 to Aug 2007 (140 months) 37 Panel C. The financial tsunami period from Sep 2007 to Aug 2009 (24 months) 38

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