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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/65376

    Title: 波動度指數價格領先之實證研究;An Empirical Study of the Price Leadership of VIX
    Authors: 宋欣盈;Sung,Hsin-Ying
    Contributors: 財務金融學系
    Keywords: 領先落後關係;VIX;VAR模型;lead-lag relationship;VIX;VAR model
    Date: 2014-07-21
    Issue Date: 2014-10-15 15:29:49 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 隨著2008年美國金融海嘯的爆發後,波動度指數(Volatility Index;VIX) VIX逐漸受到市場投資人的重視。本篇以VAR模型與Granger causality因果關係檢定VIX 與S&P 500 index報酬率的領先落後關係,並採用日資料、五分鐘及十五分鐘的高頻資料來分析。由估計的結果來看,由於日資料所包含的資訊不足,造成兩指數間不存在因果關係;然而在高頻的日內資料中,可得出S&P 500 index領先VIX 15~60分鐘;而VIX則領先S&P 500 index 約5~45分鐘的結果。我們進一步利用在十五分鐘高頻切割的第三個子樣本中,得出VIX首度領先了S&P 500 index的現象,去建構一個追高殺低的當沖投資策略,並證實該投資策略其報酬優於僅用自身標的當觀察指標之投資策略,確實存在著以VIX為領先指標之效應。;VIX has received great attention for the investors after the Financial crisis in 2008. This research attempts to investigate the lead-lag relationship between VIX and S&P 500 index. We use the VAR model and Granger causality test to examine such effect with different frequencies of data. According to the empirical study, the intraday data shows that S&P 500 index lead VIX about 15 to 60 minutes and VIX lead S&P 500 index about 5 to 45 minutes. Furthermore, we utility the leading relationship to build an investment strategy of “buying high and selling low”. This strategy has proved that VIX can be a leading indicator. Thus, discovering the leading relationship can benefit the investor in managing the trading strategy.
    Appears in Collections:[財務金融研究所] 博碩士論文

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