SZU-LANG LIAO* Department of Money and Banking, National Chengchi University. 64, Chih-nan Rd.,Sec. 2, Taipei 116, Taiwan

Transcription

1 VALUAO OF EE OPO H MULPLE E EE A EE AE U-LAG LAO* pa of Mo a Ba aoa Cc Uvs 64 C-a.c. ap 6 awa : x 85 Fax : Ea Ass:aos@ccu.u.w CHOU-E AG pa of Mo a Ba aoa Cc Uvs 64 C-a.c. ap 6 awa : x 85 Fax : Ea Ass: @0.ccu.u.w a : 0/07/00 0

2 VALUAO OF EE OPO H MULPLE E EE A EE AE U-LAG LAO CHOU-E AG s pap as wo cobuos o au. fs cobuo s o pov cos-fo pc fouas of s opos w s ss a p-c s as. xac cos-fo pc fouas of s opos w s ss a couous s po a aso v. sco cobuo s f a s opos o o av poa of a up a Gaa up acoss s as bu aso av pops of a wavss a Gaa wavss spca ab bfo s as. Fuo a a Gaa ca b av w soc pc s a s ss a s cos o s as.. Lao zu-la s Assoca Pofsso of Fac a pa of Mo a Ba aoa Cc Uvs ap awa. a Cou- s P.. caa Faca E a pa of Mo a Ba aoa Cc Uvs ap awa.

3 OUCO Pa-p opos wos paoffs a fuc b pa of pcs of u asss av bco cas popua c as. O of pa-p opos s oo-bac opo wos paoff ps pacua o u o axu pc of u ass u opo s f. s ao of pa-p opo ow as s opo. U oo-bac opo s pc of s opo w b s o a w s pc o o p-spcf s as f pc of u asss s ow a o of s ss. s opos av b ssu pacc fo a as. Ccao Boa Opos Exca CBOE a w o oc Exca E bo ouc &P 500 x pu waas w -o s po a 996. Moa a ssu a s waa w a s pc $44.73 Ju 997. s pc w b aus o $39.76 o Auus f pc of u ass fas bow $ A o c xap cos fo awa Ga Caa cus a sx s opos s awa oc Exca E Cos E a a 0538 fo 998 o 999. Mos s opos cu a of s opos s E a opos w up s ss a s as. Fo xap s coo of 05 of E s a s pc w b aus f sx-a ava cos pc of 33 E fas bow 98% 96% 94% 9% 90% of a s pc $8 u fs os af ssu of waa. Bcaus s waas a w vav poucs faca as fw sus av b o o pc pobs. Ga a a 997 xa pc of pu waa w poc s a waa s s caacscs. fu pov a cos-fo souo fo s opos w s s a a a

4 pap Ga a a 999. C a a 000 su s opos a s pc w b s o pva soc pc f opo s ou of o. A cos-fo pc foua s of uvaa oa sbuo s v u s-ua fawo. Howv s coos of s opos vsa b C a a 000 a o a cass of s poucs pacc. L u ass pc a b o b. a paoff of s opo w s as a a s pc 0 wc was su b C a a 000 s as foows: [ M[... ]0 ] C Max 0. pacc owv a paoff of s opo s o of s as w * 0 * * [ 0 ] [ ] C Max f f M [... ] M [... ] M[... ] f >... 3 > a... a s s pcs;... a s ss. Ou fs cobuo s ac s o v xac cos-fo souo fo s opos w s ss a p-c s as as spcf a 3 u s-ua fawo. Fuo w aso pov cos-fo souo fo s opos w s ss a couous s as wc s cas of fo. o pvous sus suc as C a a 000 av po ou poo of a up acoss s as. sco cobuo of s pap s f a ao o a up a s opo w s ss aso as poa of Gaa up a wavss a Gaa wavss as w. 3

5 wavss of a a aa as a a a aa of s opos w osca w soc pc passs acoss s ss. s appoac s as a soc pc s a s ss a a aa a ca vaus fo posv o av. poa of a up a Gaa up a s as w as pops of a wavss a Gaa wavss w a s aa o ffcu. PCG EE OPO H E EE A EE AE assu acs of u ass pc a scb b foow socasc ffa quao: u 4 w u a > 0 a cosas a s a o-soa saa Bowa oo f o a f pobab spac Ω F P. o a accou B cospos o wa accuua b a a $ vs a spo s a ac subsqu po. fo o quva B B 5 B B. 6 L b spo aa asu w ao-o vav P u u xp. 7 U spo aa asu o s ua pobab asu acs of u ass pc bco 8 4

6 5 w pocss s f b u. 9 vw of a 3 paoff a xp of s opo w s ss a p-c s as ca b w as [ ] 0 M C [ ] M M [ ] M M [ ] M 0 w s a cao fucos. U s ua pobab asu aba-f pc of s opo C a s [ ] F C E C [ ] F M E [ ] F M E [ ] { } F E Fo w ow a of souo s o copu foow xpsso: [ ] F M E. ps su foow o. HEOEM: xpc souo o s as foows:

7 6 [ ] F M E [ ] ; ; 3 w ; s cuuav pobab of -soa uvaa oa sbuo w a vco 0 a covaac ax. Fo... paas 3 a f as foows: a sas fo ow of ; s sa f as w paas a pac b a ŷ spcv: 8 9 0

8 7 a coao ax... w s a v b < o < 0 ows. pov o Appx A. Acco cos-fo souo fo s opo w s ss a p-c s as C s [ ] C ; ; [ ] ; ; 0 0 ; ; 3 w s cuuav pobab of saa oa sbuo. vw of 3 w ca pca s opo b pucas sas of soc H w f.

9 8 a pc a boow M oas. aou a M a as foows: [ ] 4 [ ] M a o cos-fo vauaos of xoc opos suc as opos o axu o u of sva asss Joso 987 sc paa ba opos H a a 996 s opos C a a 000 o cooc os w p vaabs cu uoa pob pa sus spaa aass a ss aass cos-fo souos fo s opos vov uvaa oa sbuo fucos. Ao os of vaua uvaa oa cuuav pobabs as Gowz a acwz 987 à 988 a Vvb 997 a po ou Mo Cao suao os s o b os pos fo -o pobabs pfab ov aaca appoxaos o uca ao os. Havassou McFa a uu 996 suv v Mo Cao cqus of vaua uvaa oa pobabs fou a Gw-Havassou-a GH suao s ova os ab o. Cosqu fo cos-fo souo fo s opos w a ub of s as w sus GH suao fo copu uvaa oa cuuav pobabs. pacc s vavs a usua a o ac avas of soc copu cos Maab fo copu pc of s opos a avaab auos wbss.

10 pcs os faca as. Cosqu w o A as ac ava of soc pcs a. fo a ac ava s opo w s ss a p-c s as a paoff bcos w * 0 * [ ] C 6 [ A... A ] M[ A... A ] f >... 7 f > M[ A... A ]. f M c su of ooa vaabs s o ooa a s o cozab pobab sbuo fo a o cos-fo pc fouas fo opos bas o ac ava of ass vaus. Howv w ca v a appoxa cos-fo foua fo ac ava s opos b assu ac avas A a appoxa ooa sbu. Us so appoxao wc s aso us b Lv 99 pc Asa opos w a sa a a saa vao of o A ou u fs wo os of A. foow sa pocu Appx A w ca v cos-fo fouas safowa 3. AALE OF HE EE OPO Caacscs of s Opos Fs w scuss so pops of s opos. Cos a o-a au s opo w a s pc a 00. s pc w b aus f cos pc of u soc fas bow 90% 80% of a s pc. w copa pcs of s opos w s ss a o wo a s as o 3 appoxa cos-fo fouas of ac ava s opos a avaab upo qus. 9

11 pa vaa ca opo. sus a ps ab Ⅰ. Fo ab Ⅰ w ca s a so caacscs of s opos a sa o saa Euopa ca opo. Fo xap vaus of s opos a cas fucos of soc pc s-f s a a voa of soc us. ao a fou pops a uqu xs s opos. Fs vaus of s opos a cas w ub of s as. co u sa s ss ow s s pcs w su vaus of s opos. u o o poco owa os of s opos vaus of s opos a awas a a a of saa Euopa ca opo. Fa cass of vaus of soc pc a s ss a sa voa of soc us ffc bw pcs of s opos a pa vaa ca opos s sfca. a soc pc 5 a voa of soc us 0% as a xap. pcs of a aos sa. s Opos w Couous s as appoacs f w a a o au s of sc s as bco a couous s po. a paoff of s opo w couous s pos s as foows: w C C C C M C M o o foow sa: 8. vws of 8 w ca pca s opo w. Pucas o u of Euopa ca opo w s pc.. Pucas o u of Euopa ow a ou ca opo w s pc a ba fo ac.... 0

12 0% 30% 50% ABLE Ⅰ Pcs of Pa Vaa Ca Opo 0 a s Opos w ss a Mup s as % % % H s as a as a of ac o. 0 pss ub of s as fo xap 3 as a s as a / / a 3/.

13 3. o s o u of Euopa ow a ou ca opo w s pc a ba fo ac.... Cosqu w ca v pc fouas of s opos w couous s po b scov pcs of ow a ou ca opos. Bas o cos-fo souos of Euopa s-ba opos pov b ubs a 99 4 w av [ ] u F u E 0.5 f 0.5 f 9 w f ±. 30 fo pc of s opo w couous s po s [ ] f f C f f 4 aso Musa as uows 997 pp.-4.

14 f f 3 a Jup a Gaa Jup ow cos so poa pops of s opos suc as a up a Gaa up. s opos a ssu ssus us s xposu uc b s opos. pov a a aa of s opos Appx B. o scb poa of a up a Gaa up wou oss of a w spf s opos w o o s a. L us f foow xpssos: xp G X π 3 xp π 33 xp xp xp π π π G G G X 34 xp xp xp π π π 35 w G ; X Ŷ X a a xpssos w a pac b a ŷ spcv. us a a aa of s opos w o s a a as foows: a

15 4 [ ] [ ] X X [ ] [ ] [ ] X X X X 36 Gaa [ ] [ ] xp X X π [ ] [ ] X X [ ] [ ] X X [ ] [ ] X X X X X X 37 w s s a. 0 X 0 X

16 π xp a xp π. Cosqu a a Gaa a a as foows: a xp Gaa π 39 Howv a a aa a > a v b foow xpssos: a 0 [ ] [ > ] [ > ] 40 xp Gaa π 0 [ ] xp π xp [ > ] [ > ] π 4 Fo 38 o 4 w ca s a a a Gaa a a couous o w coo os. fo a up a Gaa up xs w soc pc a s bow. o wos w sou cafu p a a Gaa s a os of s as u cas a soc pc s bow s s s. a avss a Gaa avss ao o pops of a up a Gaa up a os of s as xs poa of a wavss a Gaa wavss bfo s as spca ab s as. Cos foow xap. soc pc s cu $00 a s pc of s opo w b aus f soc 5

17 pc fas bow 80% 70% 60% 50% a 40% of a s pc $00 a os a. Assu s-f s a s 5% a voa of soc us s 30%. usa pops of a wavss a Gaa wavss Fu a Fu spcv. As sow Fus u a a Gaa of pa vaa ca opos wc a f o-av a a Gaa of s opos w fucua aaca a ca b av as appoacs s as. soc pcs a awa fo booos of s ss bavos of a a Gaa a sa as a of pa vaa ca opos. Howv f soc pcs a a s ss a a Gaa w osca. poa a o sfca w appoacs s as. Fo Fu f appoacs s as a s a oca u w soc pc oucs s s bu a s a oca axu w soc pc s a abou of wo aac s ss. aac ca of a bw wo aac s ss aso cass ffcu of s aa. wavss of a a Gaa a as poa as a up a Gaa up s opos. COCLUO av pov cos-fo pc foua fo s opo w s ss a p-c s as. ao o a up a Gaa up acoss s as w av aso scov poa of a wavss a Gaa wavss ab s of s as. Fo fuu sac s s o vsa sas of s opos u o poa of a up a a wavss acoss s as. 6

18 FGUE. a of s Opo w Fv ss. H ] [ ]... ] [ ] 0.05 a v U a of [ 5 [ 5 pa vaa ca opo wc s f o-av a of s ca opo w fucua aaca a a b av as appoacs s as. as a oca us w soc pc oucs s ss bu as a oca axus w soc pc s a abou of wo aac s ss. poo of a wavss s o sfca as appoacs s as. 0 7

19 FGUE. Gaa of s Opo w Fv ss. H ] [ ]... ] [ ] 0.05 a v soc pc s [ 5 [ 5 awa fo booos of s ss bavo of Gaa s sa as a of pa vaa ca opo. Howv f soc pc s a s ss Gaa oscas acoss s ss. poo of Gaa wavss s o sfca w appoacs s as. 0 8

20 9 APPEX A Poof of o o ca ou poof of o w v o wo pas: [ ] B A F E A. w 5 { } F E A... A. { } F E B... A.3 U spo aa asu soc pc a quas xp A.4 s cov o ouc a auxa pobab asu P o F Ω b s s ao-o vav as foows: P xp A.5 B Gsaov s o f b A.6 s a saa Bowa oo u asu P. w ca w A. as foows: { } F P A... P 5 ca ps u of sva asss as xpsso A. fo as s Joso 987.

21 0.... A.7 H w us fac a s s oa sbu w a 0 a vaac s a s p of F. fo w av [ ] P A A.8 w s a ]... [ A.9 Cosqu a < as xap w av [ ] E E A.0 ca pa abov o o oba covaac ax as. fo souo fo A s [ ] [ ] A. a A.3 ca b copu b sa cqu. s cops poof of o.

22 APPEX B a a Gaa of s Opos o v a a Gaa of s opos w app ca u of ffao: B. w B. av a a Gaa of s opos w s ss a p-c s as as foows: a [ ] B.3

23 Gaa π [ ] B A [ ] B A B.4 w A

24 3 B.5 B B.6 a A a B a sa o A a B w paas a pac b a ŷ spcv. B obsv B.3 a B.4 w s s fo copu ao a a. o v vavs as Cuow a u 96 po ou 6 w av x x f x x q B.7 w q q q q q q B.8 a f s saa oa pobab s fuco. Hc ca b cacua as foows: q f B.9 foow sa pocu w ca safowa oba vavs a. 6 sa cqu s aso us o su ao of sc ba opos b 998.

25 EFEECE Cac.. a. a aacs of s opos. Joua of vavs Fa Cuow.. a C.. u. 96. uca vauao of ca uvaa oa as. Aas of Maaca ascs à Musoa ao a socasc poa :. Eov a.j.-b. s s. uca cqus fo socasc opzao p-va B Gowz. a. acwz Copaso of uca scs fo uoa a : ab a opzao of sucua sss Lcu os o. 33 p-va B Ga. a. a Vau &P 500 ba a waas w a poc s. Joua of vavs Fa Ga. a. a s pu opos: vauao s caacscs a a appcao. Ausaa Joua of Maa 4-0. Havassou V.A.. McFa a P.A. u uao of uvaa oa oa pobabs: oca a copuaoa sus. Joua of Ecoocs H oa C. a Ha M. a sc paa ba opos w a ov ba. Joua of Faca E Joso H Opos o axu o u of sva asss. Joua of Faca a uaav Aass Lv E. 99. Pc Euopa ava a cuc opos. Joua of aoa Mo a Fac Musa M. a M. uowo Maa o faca o. 4

26 p. ubs M. a E Ba ow bas. s Vvb.P.M Mo Cao vauao of uvaa oa pobabs. Joua of Ecoocs J Vauao of sc ba opos b poaos Joua of vavs Fa