臺灣博碩士論文加值系統

本研究以選擇權報酬模型探討疫情對選擇權風險與報酬特徵之影響。首先，以數學證明股票之算術報酬率絕非對數常態分配，並以模擬方式驗證股票算術報酬率為常態分配之假設是可接受的，此一證明結果為學界迷思帶來重大貢獻，並穩健選擇權報酬模型。其次，透過理論與實證結果，我們發現當市場處於疫情嚴重肆虐之熊市，在不同履約價格下，報酬於賣權均為正，於買權不必然為負；當市場轉為牛市時，報酬於賣權均為負，於買權不必然為正。而賣權於熊市之報酬波動相對於買權在牛市為高，然其所獲得之報酬亦較高，另買權在熊市任何價位均承受極高之尾部風險。雖然疫情引發熊市並對股票市場帶來負報酬的影響，但在選擇權市場仍可獲得正報酬。

This dissertation focuses on the impact of COVID-19 on the options regarding its risk/return characteristic by using the option return model. Firstly, we use mathematical formulation to prove that the arithmetic rate of stock return is absolutely not log-normally distributed and simulate the arithmetic stock return to show that the normality assumption of stock return is acceptable. This proof not only has a great contribution to a long-standing misconception in the academia but also strengthens the option return model. Secondly, through the theoretical and empirical results, we find that: (1) in the bear market where the pandemic is severely raging, for all strike prices, the returns are positive on the puts but not necessarily negative on the calls; when the market turns from bear to bull, the returns are negative on the puts but not necessarily positive on the calls; (2) the return volatilities for the puts in the bear market are relatively greater than that for the calls in the bull market, which also come with higher returns; (3) no matter what moneyness, the calls bear extremely high tail risk in the bear market. Although the pandemic triggers a bear market which consequently produces negative returns on the stock market, it is still available for investors to earn positive returns in the option market.

摘要 i
Abstract ii
Acknowledgements iii
Table of Contents v
List of Tables vii
List of Figures viii
Chapter 1 Introduction 1
1.1 Background 1
1.2 Research motivation and purpose 2
1.3 Main findings 4
1.4 Contribution to existing research 5
1.5 Structure of the study 6
Chapter 2 Literature Review 7
2.1 Revision on global economy forecast after the outbreak 7
2.2 The shock of COVID-19 on the stock market 8
2.3 The nature of option return and risk 10
2.4 Market trend and options trading 12
2.5 Summary 13
Chapter 3 Research Design, Method and Data 14
3.1 An in-depth proof of the stock return distribution 14
3.1.1 Mathematical formulation 15
3.1.2 Monte Carlo simulation 17
3.1.3 Summary 20
3.2 Methodology and data 21
3.2.1 Model of the option return distribution 21
3.2.2 Research data 22
Chapter 4 Results and Analysis 24
4.1 The market trend of the TAIEX 24
4.2 The return distribution of the options 26
4.3 The probability of return on the options 29
4.4 The expected return on the options 36
4.5 The variance of return on the options 37
4.6 The higher moments of return on the options 39
4.7 The empirical evidence of the option return and risk 43
4.7.1 The TXO return 43
4.7.2 The variance of TXO return 47
4.7.3 Implications and summary 49
Chapter 5 Concluding Remarks and Extensions 51
5.1 Conclusions 51
5.2 Limitations and future extensions 52
References 54
Appendix 59

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