期權(quán)交易量的信息功能-基于香港恒生指數(shù)期權(quán)市場的證據(jù).pdf

1、廈門大學(xué)碩士學(xué)位論文期權(quán)交易量的信息功能：基于香港恒生指數(shù)期權(quán)市場的證據(jù)姓名：張敏申請學(xué)位級別：碩士專業(yè)：金融工程指導(dǎo)教師：張順明201105AbstractTheabilitytopredictpricevolatilityisimportantforportfolioselectionandassetmanagementaswellasforthepricingofprimaryandderivativesecuritiesAndt

2、helowertransactioncostsandgreaterfinancialleverageoftheoptionsmarketsmayinduceinformedtraderstotradeintheoptionmarketratherthaninthestockmarketTheinformedtradersonlyCanmakedirectbetsontheirprivateinformationofthefuturepr

3、icevolatilityintheoptionmarketsSotheresearchoftheinformationroleoftheoptionvolumeandanexaminationoftheinterrelationsbetweenthefuturepricevolatilityandtheoptiontradingvolumeareveryusefulTheycallprovideusefulinsightsaboutt

4、hefuturepricevolatilityrelatedinformationcontentofoptiontradesBecauseofasset’Spricevolatilityoptionisusedwidelybyhedgingandspeculativetraders，SOsomeresearchersmayarguethattheoptionvolumeshouldfollowthepricevolatilityunil

5、aterallyForexample，whenaperceivedoraIlunexpectedactualincreaseinthestockpricevolatilityoccurs，stockoptions。volumewillincrease，becausethetradersaddtheirriskmanagementandspeculativeactivitiestocutthepotentiallossesortoenha

6、ncethepotentialgainsontheirequitypositionsButthisrelationneedssomeconditions，suchasperfectmarketsandsymmetricinformationwhilethemarketsarea’tperfect，ifsometradersarebetterinformed，oriftradersCan’taccuratelyforecastthevol

7、atilitythentheunidirectionallinkfromthevolatilityandthevolumemaybreakdownAlso，becauseinformedtradersmaybemoreattractedtotheoptionsmarketsthantothestockmarkets，optiontradesmayfirstreflecttheinformationonthefuturepricevola

8、tilityduetothefactthatoptionpricingformulasneedthisvolatilitytodeterminetheoptionpriceThus，theoptiontradingvolumemayprecedethefuturepricevolatilityiftheoptiontradesarelargelyinitiatedbyinformedThispaperexaminesthedyaamic