波動度指數價格領先之實證研究

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姓名

宋欣盈(Hsin-Ying Sung) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

波動度指數價格領先之實證研究
(An Empirical Study of the Price Leadership of VIX)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 領先落後關係
★ VIX
★ VAR模型

關鍵字(英)

★ lead-lag relationship
★ VIX
★ VAR model

論文目次

摘要 i
Abstract ii
表目錄 iv
圖目錄 v
一、緒論 1
1-1研究動機 1
1-2 VIX指數歷史介紹 2
1-3 保險公司投資標的介紹 4
1-3-1 歐美壽險資產配置 4
1-3-2 國內壽險資產配置 4
二、文獻回顧 9
三、樣本選取 12
3-1 樣本期間 12
3-2 日內資料 12
3-3 資料篩選 13
3-4 VIX與S&P 500指數之報酬率相關性 13
3-5 VIX與S&P 500指數之報酬率敘述統計 16
四、研究方法 17
4-1 VIX與S&P 500指數報酬率之單根檢定 17
4-2 確定VAR變數之最適落後期數 17
4-3 VAR模型估計與Granger causality因果關係檢定 24
4-3-1 VAR模型及其判斷標準 24
4-3-2 Granger causality模型估計及其判斷標準 25
4-4實證結果 26
4-4-1 日資料 26
4-4-2 五分鐘高頻資料 28
4-4-3 十五分鐘高頻資料 31
4-4-4 實證結果總整 33
4-5衝擊反應分析 35
五、投資策略 37
5-1 投資策略建構與相關假設--實驗組v.s對照組 37
5-2 投資績效與敏感度分析 40
六、結論 42
參考文獻 43

參考文獻

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指導教授

楊曉文

審核日期

2014-7-21

推文