本研究針對臺灣加權股價指數選擇權(TXO)歷史數據進行避險績效測試之研究。在研究中，我們採用動態的Delta中立避險策略，並且考慮了手續費與稅相關的交易成本。此外，我們使用不確定性指數、情緒指標及機構投資人籌碼，三類型的變數作為我們波動率預測模型之因子，以檢驗增加因子是否能提高波動率預測模型的解釋能力與避險績效。我們也將避險績效以年份作為劃分，分別探討不同年度避險績效的表現。最後，我們將避險頻率分為連續避險、三日避險及五日避險，三種不同的避險頻率，並分析不同避險頻率下避險績效的表現。實證結果顯示，增加因子能提升波動率預測模型的解釋能力，並以波動率指數(VIX)、買賣權未平倉量比率(PCO)、期貨前十大交易人買方未沖銷部位比率(TOP10BLT)與期貨前十大特定法人買方未沖銷部位比率(TOP10BSI)的改善效果較佳。此外，增加因子也能改善避險報酬提生避險績效的表現。再者，若是連續避險，買權與賣權均在2018年有較佳的報酬；若是三日避險，買權在2018年、賣權在2021年有較好的報酬；若是五日避險，買權在2020年、賣權以2018年避險績效較佳。另外，若將避險頻率由連續避險改為三日避險，能提升買權與賣權的避險績效，若是將三日避險改為五日避險，則只能提升買權的避險績效，賣權則是會稍微下降。

This study uses the hedging performance test on the Taiwan Stock Exchange Capitalization Weighted Stock Index Option (TXO) historical data. In our study, we employ the delta-neutral dynamic hedging strategy and consider transaction costs related to fees and taxes. In addition, we use three types of variables including uncertainty index, sentiment indicator and position of institutional investor as the factors of our volatility forecasting model. In order to test whether adding the factor can improve the explanatory power of the volatility forecasting model and the hedging performance. we divide the hedging performance by year, and discuss the hedging performance in different years. Finally, we divide the hedging frequency into three different hedging frequencies, including continuous hedging, three-day hedging and five-day hedging, and analyze the hedging performance under different hedging frequencies. The empirical results show that adding factors can improve the explanatory power of the volatility forecasting model, and the Volatility Index (VIX), the Put-Call Open Interest Ratios (PCO), the Futures Open Interest Ratios of Buy Position of the Top10 Large Traders (TOP10BLT), and the Futures Open Interest Ratios of Buy Position of the Top10 Specific Institutional Investors (TOP10BSI), their improvement effect is better. In addition, adding factors can also improve the hedging returns and increase the hedging performance. Furthermore, in continuous hedging, both call and put options have better returns in 2018; in three-day hedging, call options have better returns in 2018 and put options in 2021; in the five-day hedging, the call option performed better in 2020, and the put option performed better in 2018. Additionally, changing the hedging frequency from continuous hedging to three-day hedging can improve the hedging performance of call and put options. If three-day hedging is changed to five-day hedging, it can only improve the hedging performance of call options, put options will be slightly decreased.

論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
目錄 v
表次 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 1
第三節 避險策略 3
第二章 文獻回顧 4
第一節 波動率相關文獻 4
第二節 避險相關文獻 5
第三章 研究方法 7
第一節 Black-Scholes模型 7
第二節 波動率模型 10
第三節 波動率預測模型 12
第四節 避險績效 14
第四章 實證結果 17
第一節 資料描述 17
第二節 避險績效 20
第五章 結論與建議 36
參考文獻 39

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