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題名：VIX對崩盤風險之避險功能分析
書刊名：期貨與選擇權學刊
作者：周雨田 引用關係／陳唯帆／殷正華
作者(外文)：Chou, Ray Yeu-tien／Chen, Wei-fan／Ien, Cheng-hua
出版日期：2011
卷期：4:2
頁次：頁33-73
主題關鍵詞：VIX避險投資組合；崩盤風險；動態條件相關係數；VIX portfolio hedge；Crash risk；DCC
原始連結：連回原系統網址new window
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CBOE（Chicago Board Options Exchange）所推出之VIX指數（Volatility Index）不僅具有高度描述市場風險資訊的能力，亦隱含波動風險與跳躍風險溢酬，換言之，無論是針對帄時因正常漲跌而產生之波動風險，或是在股市恐慌時所造成之崩盤風險，VIX指數均是一項良好的避險工具。本文嘗詴選取美國、韓國以及台灣各自所發展出之波動度指數作為避險工具，分析其對於波動風險以及崩盤風險之避險效果，藉以提供投資人從事風險管理時參考之依據。實證結果顯示波動度指數有不錯的避險效果，並具有迴避崩盤風險之特性。
The Volatility Index (VIX) is capable of describing the market risk information as well as implying the volatility risk premium and jump risk premium. In the other words, volatility index is a hedging tool to hedge both the volatility risk and market crash risk. We analyze the hedging effectiveness of VIX calculated by CBOE, KRX and TAIFEX and find that VIX is a very good hedging tool against crash risk particularly during the financial tsunami period.
期刊論文
1.Marquering, W.、Verbeek, M.(2004)。The Economic Value of Predicting Stock Index Returns and Volatility。Journal of Financial and Quantitative Analysis，39(2)，407-429。  new window
2.Working, H.(1962)。New Concepts Concerning Futures Markets and Prices。American Economic Review，51(2)，431-459。  new window
3.Kahl, K. H.(1983)。Determination of the Recommended Hedging Ratio。American Journal of Agricultural Economics，65(3)，603-605。  new window
4.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review，43(3)，314-343。  new window
5.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica，47(2)，263-291。  new window
6.Ederington, L. H.(1979)。The Hedging Performance of the New Future Markets。The Journal of Finance，34(1)，157-170。  new window
7.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
8.Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Return Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis，19(1)，101-112。  new window
9.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance，7(1)，77-91。  new window
10.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics，20(3)，339-350。  new window
11.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
12.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
13.Bollerslev, Tim(1988)。On The Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process。Journal of Time Series Analysi，9(2)，121-131。  new window
14.Cappiello, Lorenzo、Engle, Robert F.、Sheppard, Kevin(2006)。Asymmetric dynamics in the correlations of global equity & bond returns。Journal of Financial Econometrics，4(4)，537-572。  new window
15.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous GARCH。Econometric Theory，11，122-150。  new window
16.Engle, Robert(2002)。New Frontiers for ARCH Models。Journal of Applied Econometrics，17(5)，425-446。  new window
17.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
18.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance，48(5)，1779-1801。  new window
19.West, K. D.、Edison, H. J.、Cho, D.(1993)。A Utility-based Comparison of Some Models of Exchange Rate Volatility。Journal of International Economics，35，23-45。  new window
20.Brennan, M. J.、Xia, Y.(2001)。Assessing Asset Pricing Anomalies。Review of Financial Studies，14，905-942。  new window
21.Busse, Jeffrey A.(1999)。Volatility Timing in Mutual Funds: Evidence from Daily Returns。Review of Financial Studies，12，1009-1041。  new window
22.Chen, H. S.、Chung, S. L.、Ho, K. Y.(2011)。The Diversification Effects of Volatility-Related Assets。Journal of Banking & Finance，35(5)，1179-1189。  new window
23.Fleming J.、Kirby, C.、Ostdiek, B.(2001)。The Economic Value of Volatility Timing。Journal of Finance，56，329-352。  new window
24.Heifner, R. G.(1972)。Optimal Hedging Levels and Effectiveness in Cattle Feeding。Agricultural Economics Research，24。  new window
會議論文
1.Olienyk, J. P.、Schwebach, R. G.、Zumwalt, J. K.(2000)。The Impact of Financial Crises on International Diversification。Melbourne, Australia。  new window
研究報告
1.Bera, A. K.、Garcia, P.、Roh, J. S.(1997)。Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches。  new window
2.Chou, R. Y.、Liu, N.(2008)。The Economic Value of Volatility Timing Using; Range-based Volatility Model。  new window
3.Engle, R.、Sheppard, K.(2001)。Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH。  new window
4.Szado, E.(2009)。VIX futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis。  new window
5.Duan, J. C.、Yeh, C. Y.(2007)。Jump and Volatility Risk premiums Implied by VIX。  new window
 
 
 
 
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