| The Shape of Option Implied Volatility: a Study Based on Market Net Demand Pressure | |
|---|---|
| 學年 | 100 |
| 學期 | 1 |
| 出版（發表）日期 | 2012-01-01 |
| 作品名稱 | The Shape of Option Implied Volatility: a Study Based on Market Net Demand Pressure |
| 作品名稱（其他語言） | |
| 著者 | Mo, Tianyu; Zheng, Zhenlong; Lin, William T. |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Shanghai Jiao Tong University; Emerald Group Publishing |
| 著錄名稱、卷期、頁數 | China Finance Review International 2(1), pp.27-52 |
| 摘要 | Purpose – Owing to the importance of the efficiency of commercial banks, the aim of this paper is to find the relationship between capital regulation, monetary policy and the asymmetric effects of the commercial banks' efficiency. Design/methodology/approach – First, the paper makes a static profit model of commercial banks with double constraints and then makes a proposition with numeric simulation. Findings – In this paper, the author finds it unreasonable to calculate the commercial banks' cost and profit efficiency by SFA (DEA) directly, as there is no evidence that indicates the linearity relationship among them. Hence, more complicated solutions should be introduced. Research limitations/implications – The rate of non-performing loans (NPL) is inversely proportional to the commercial banks' cost and profit efficiency and capital adequacy ratio (CAR) and statutory reserve ratio (SRR) show a nonlinear relationship between commercial banks' cost and profit efficiency. Hence, the paper defines the different influences of commercial banks' efficiency imposed by CAR and SRR as the asymmetric effects of commercial banks' efficiency. Practical implications – The nonlinear relationship is found based on improved Kopecky and VanHoose, so excessive regulation has harmful effects on the commercial banks. The reasonable capital regulation and other prudential supervision measures should be emphasized. Originality/value – First, the paper gets its proposition through the improved KV model, which displays a new perception on analyzing this problem. Second, the nonlinear relationship is discovered by this new model and the empirical results show the nonlinear relationship further. |
| 關鍵字 | Option;Implied volatility;Market maker;Net demand pressure;Options markets;Supply and demand |
| 語言 | en |
| ISSN | 2044-1401 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/75039 ) |
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