| DC 欄位 |
值 |
語言 |
| DC.contributor | 財務金融學系 | zh_TW |
| DC.creator | 宋欣盈 | zh_TW |
| DC.creator | Hsin-Ying Sung | en_US |
| dc.date.accessioned | 2014-7-21T07:39:07Z | |
| dc.date.available | 2014-7-21T07:39:07Z | |
| dc.date.issued | 2014 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=101428009 | |
| dc.contributor.department | 財務金融學系 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en_US |
| DC.subject | 領先落後關係 | zh_TW |
| DC.subject | VIX | zh_TW |
| DC.subject | VAR模型 | zh_TW |
| DC.subject | lead-lag relationship | en_US |
| DC.subject | VIX | en_US |
| DC.subject | VAR model | en_US |
| DC.title | 波動度指數價格領先之實證研究 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | An Empirical Study of the Price Leadership of VIX | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |