本文主要探討選擇權價格隱含的非系統波動率與未來股票報酬的關係，除使用迴歸作為計量模型外，考量波動度具有狀態轉換現象(regime switching)且存在不對稱性，因此也使用馬可夫狀態轉換模型(Markov-switching Model)作為計量模型，探討在高波動與低波動狀態，非系統隱含波動率與未來股票報酬關係。首先，本文觀察到市場波動率指數對於未來市場的波動度具有顯著的預測能力，且由LR檢定結果發現，市場波動率指數的預測能力在高波動與低波動時存在不對稱性，而個股選擇權的隱含波動率對於未來波動度也具有顯著預測能力，且存在不對稱關係。除此之外，也發現非系統隱含波動率不論在高波動或低波動狀態下，對於未來非系統波動率均具有預測能力；但歷史非系統波動僅在低波動狀態下對於未來非系統波動率具有預測能力。進一步研究期望非系統波動與風險溢酬的關係，結果顯示兩者之間存在顯著正向關係，且亦存在不對稱性。最後研究考量個別公司的特質後，期望非系統波動與未來股票報酬的關係，結果發現兩者之間無顯著關係存在。

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