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S&P 500 인덱스 옵션 위험중립 왜도와 투자자정서간의 관계에 대한 실증 연구 원문보기

  • 저자

    김병찬

  • 학위수여기관

    韓國外國語大學校 大學院

  • 학위구분

    국내석사

  • 학과

    경영학과

  • 지도교수

    김솔

  • 발행년도

    2014

  • 총페이지

    88 p

  • 키워드

  • 언어

    kor

  • 원문 URL

    http://www.riss.kr/link?id=T13538787&outLink=K  

  • 초록

    An Empirica test of investor sentiment and S&P 500 Index Option Skewness This paper examines the relation between investor sentiment proxies and the risk –neutral skewness of S&P 500 index option risk-neutral skewness is estimated by the method of Bakshi, Kapadia and Madan(2003), which is non-parametic method, and the interpolation-extrapolation method and Trapezoidal rule is used to compute when the non-parametic method compute the skewness. We use 4 sentiment proxies: Michigan Consumer Sentiment Index, non-commercial trader's net position of S&P500 futures market, Baker and Wurgler(2006)'s sentiment index, and Bull-Bear Survey of American Association Investment Index. We firstly conduct the regression to find the general relations of two, and then examine the lead-lag relation between investor sentiment proxies and risk neutral skewness and the autocorrelation in the skewness through VAR analysis. Contrary to the previous studies, we observe that sentiment proxies show different signs by the economic conditions. Overall, the sentiment proxies explain the three-dimension moment better in the crisis in U.S, and especially non-commercial trader's net position of S&P500 futures market explains bet among the proxies. Moreover, especially variance decomposition and impulse response, we also confirm that investor sentiment has more influence on the skewness in us crisis period than in aggregate sample period.


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