A Study on the Relations between the TAIEX Weekly Option's Open Interests and the TAIEX Futures Price Behavior
| Autor: | Chia-Chen Liu, 劉家辰 |
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| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 This study proposes three models to capture the behavior of futures prices and develops the corresponding trading strategies. The first model discusses the relation between futures prices and one day earlier upper and lower bounds in settlement date. The second model discusses the relation between one day after return and futures price going beyond the one day earlier upper or lower bounds in none settlement date. The third model discusses the relation between the one day after return and parallel movements of the upper and lower bounds. Based on the regression and back-testing results, we have the following findings. (1) The first model shows a significant relation between the return and the price going beyond upper or lower bounds with high explanatory power. The relation is not significant when return is used as the dependent variable. The strategy’s negative returns show that the price wouldn’t converge to one day earlier upper and lower bound after price going beyond the range. (2) The second model shows significant relation between one day after return and whether the price going beyond the upper and lower bounds with high explanatory power. The back-testing result shows that this breakthrough strategy has positive returns and high winning rate. (3) The third model shows that there is a significant relation between upper and lower bound parallel movements and futures returns, but the significance weakens when the trading period increases. Using the information of co-movements of weekly and monthly options can provide higher winning rate for the third strategy. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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