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Erschienen in:
Relations Between the Use of Modern Technology and the Financial Results of the Financial Service Sector in Poland Kapitel lesen Erstes Kapitel lesen

2019 | OriginalPaper | Buchkapitel

Impact of Volatility Risk on the TAIEX Option Return

verfasst von : Jui-Chan Huang, Wen-I Hsiao, Jung-Fang Chen, Ming-Hung Shu, Thanh-Lam Nguyen, Bi-Min Hsu

Erschienen in: Information Systems Architecture and Technology: Proceedings of 39th International Conference on Information Systems Architecture and Technology – ISAT 2018

Verlag: Springer International Publishing

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Abstract

The purpose of this study is to gauge the impact of volatility risk on TAIEX Option return using regression models for analyzing 12-month cross-sectional option data. Our empirical results indicate that disparate volatility-risk factors have considerable effects on abnormal returns, and expect to create risk premium; specifically, the market risk premium, policy rewards, and fear index can lessen the return of 7.806%, 6.336%, and 1.294% per year, respectively.

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Vorheriges Kapitel Operational and Information Risk Management System Based on Assessment Model of Risk Culture Level
Nächstes Kapitel Simulation-Based Analysis of Penalty Function for Insurance Portfolio with Embedded Catastrophe Bond in Crisp and Imprecise Setups
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Metadaten
Titel
Impact of Volatility Risk on the TAIEX Option Return
verfasst von
Jui-Chan Huang
Wen-I Hsiao
Jung-Fang Chen
Ming-Hung Shu
Thanh-Lam Nguyen
Bi-Min Hsu
Copyright-Jahr
2019
Buch
Information Systems Architecture and Technology: Proceedings of 39th International Conference on Information Systems Architecture and Technology – ISAT 2018

Print ISBN: 978-3-319-99992-0

Electronic ISBN: 978-3-319-99993-7

Copyright-Jahr: 2019

DOI
https://doi.org/10.1007/978-3-319-99993-7_10

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