The Information Effect from Implied Volatility Technology Anlysis in Taiwan
| Autor: | Chia-Hao Liang, 梁嘉豪 |
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| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 Many experts have different opinions including warnings to financial products when the world is in this economic tough time. This recession is so terrible that it cannot be explained or stopped by the central bank. Some economists want to see whether the LV is an index than can at first reflect the economy. The purpose of this research is to find more about VIX. VIX, studied by many reports,has more implied information than price information Therefore, the most important factor is the implied fluctuating rate from pricing model created by Black & Scholes. The Implied Volatility is applied in many analyses of stock market. The typical analysis for the stock market is the pricing technology analysis. When the information effect from Implied Volatility analysis is more important and better than the pricing information effect, the Implied Volatility rate should become another “pricing.” This new pricing is then tested and compared with the original pricing technology analysis model. There are experimental and contrast groups in this research. This research, through signals from trading derived from the technology analysis model to trade futures, has comparisons of the ability to gain profits. Also, this research finds out whether the effect of information from Implied Volatility rate is more complete than the effect of pricing information. This research is considered an index that provides warnings or information for such significant economic events as the recent recession and economic downturns that happened in Southeast Asia before. This research is expected to be applied in markets and can be a reference for many investors as a contribution. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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