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題名:VIX指數作為擇時指標之探討--以臺灣與中國股票市場為例
書刊名:兩岸金融季刊
作者:李建興黃玉珂林依潔
作者(外文):Lee, Jen-sinHuang, Yu-koLin, Yi-jie
出版日期:2015
卷期:3:2
頁次:頁1-25
主題關鍵詞:擇時指標VIX指數急跌緩漲大盤股價指數Market timing indicatorVolatility indexVIXSlow rise and quick fallStock index
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:16
  • 點閱點閱:47
許多文獻發現芝加哥選擇權交易所推行的波動率指數(VIX)是股市擇時之重要參考指標,本研究主要目的在驗證VIX指數是否適合作為台灣與中國大陸股票市場之「擇時指標」。然而,本研究發現依照過去文獻所建議的指標方式,其投資績效並不佳,這可能與過去文獻並未考量股價指數具有「急跌緩漲」之現象有關。為了使VIX指數更具擇時效果以及提高投資績效,故相對於過去文獻,本研究增加考慮「急跌緩漲」之特性並納入擇時準則之衡量。本研究有以下之重要發現:以CBOE所編製之VIX指數作為投資股票市場之擇時指標,在台灣與中國大陸市場而言是成功的,特別是以兩個市場開放QFII後的成功率來看,其成功率分別為95.83%與78.57%,平均成功率為89.47%;且兩個市場開放QFII後之每次投資機會的平均報酬率,台灣市場與大陸市場分別為32.49%與21.24%,兩個市場的平均報酬率為28.35%,即平均年報酬率為27.13%。本研究的重要投資意涵如下:以台灣與中國大陸市場的實證結果而言,CBOE所編製之VIX指數可以作為投資股票市場之擇時指標,特別是在開放QFII之後,其成功率較高。
Past literatures revealed that volatility index (VIX) of Chicago Board Options Exchange (CBOE) is an important market timing indicator. In this paper, we focus on the Taiwan and China market and investigate whether VIX index can be used as an indicator of market timing in these two markets. In contrast to the past literatures, we took “slow rise and quick fall” into consideration when researching the credibility of VIX index. The empirical results show that VIX index can be utilized as a market timing indicator in Taiwan and China market. The VIX index has a significant contribution in the investment performance, especially when after these two markets launched the qualified foreign institutional investors (QFII) scheme, the average success rate of our investment strategy is 89.47%, and the average return is 28.35%.
期刊論文
1.Rephael, A. B.、Kandel, S.、Wohl, A.(2012)。Measuring Investor Sentiment With Mutual Fund Flows。Journal of Financial Economics,104(2),363-382。  new window
2.許溪南、郭玟秀、鄭乃誠(20050900)。投資人情緒與股價報酬波動之互動關係:臺灣股市之實證。臺灣金融財務季刊,6(3),107-121。new window  延伸查詢new window
3.李才賦(2013)。基於CSAD模型的我國創業板羊群效應研究。Technology and Market,20(5),336-338。  延伸查詢new window
4.曹慧紅、何宜慶(2005)。中國股票市場波動性分析研究。南昌大學學報工科版,27(4),67-70。  延伸查詢new window
5.Boscaljon, B.、Filbeck, G.、Zhao, X.(2011)。Market timing using the VIX for style rotation。Financial Services Review,20,35-44。  new window
6.Carrieri, F.、Errunza, V.、Hogan, K.(2007)。Characterizing World Market Integration through Time。Journal of Financial and Quantitative Analysis,42(4),915-940。  new window
7.Lee, Jen-Sin、Yen, P. H.、Chan, Kam C.(2013)。Market states and disposition effect: evidence from Taiwan mutual fund investors。Applied Economics,45(10),1331-1342。  new window
8.Qadan, M.、Cohen, G.(2011)。Is It Profitable to Invest According to the VIX Fear Index。Journal of Modern Accounting and Auditing,7(1),86-90。  new window
9.Sarwar, G.(2012)。Is VIX an investor fear gauge in BRIC equity markets?。Journal of Multinational Financial Management,22(3),55-65。  new window
10.Skiadopoulos, G.、Konstantinidi, G.(2011)。Are VIX futures prices predictable? An empirical investigation。International Journal of Forecasting,27,543-560。  new window
11.Copeland, Maggie M.、Copeland, Thomas E.(1999)。Market Timing: Style and Size Rotation Using the VIX。Financial Analysts Journal,55(2),73-81。  new window
12.蘇冬蔚、Fleisher, B. M.(1998)。Risk, Return and Regulation in Chinese Stock Markets。Journal of Economics and Business,50(3),239-256。  new window
13.Giot, P.(2005)。Relationships between implied volatility indexes and stock index returns: Are implied volatility indexes leading indicators?。Journal of Portfolio Management,31(3),92-100。  new window
14.Simon, D. P.、Wiggins, R. A. III(2001)。S&P Futures Returns and Contrary Sentiment Indicators。Journal of Futures Markets,21(5),447-462。  new window
15.Simon, D. P.(2003)。The Nasdaq volatility index during and after the bubble。Journal of Derivatives,11,9-24。  new window
16.Schmeling, M.(2009)。Investor sentiment and stock returns: Some international evidence。Journal of Empirical Finance,16(3),394-408。  new window
17.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1995)。Predicting Stock Market Volatility: A New Measure。Journal of Futures Markets,15(3),265-302。  new window
18.Whaley, R. E.(1993)。Derivatives on Market Volatility: Hedging Tools Long Overdue。The Journal of Derivatives,1(1),71-84。  new window
19.Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management,26(3),12-17。  new window
20.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。  new window
21.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
22.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance,11(1),1-27。  new window
23.Lee, Wayne Y.、Jiang, Christine X.、Indro, Daniel C.(2002)。Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment。Journal of Banking & Finance,26(12),2277-2299。  new window
研究報告
1.Giot, P.(2002)。Implied Volatility Indices as Leading Indicators of Stock Index Returns。CORE, University of Leuvain。  new window
圖書
1.Cramer, J. J.(2009)。Jim Cramer's Real Money: Sane Investing in an Insane World。New York:Simon & Schuster。  new window
2.Hartmann, U.、Ramirez, F.(2013)。Real Time Detection of Turning Points in Financial Time Series。Munich:GRIN Verlag。  new window
3.Padley M.(2009)。Stock Markets Secret。Australia:Slattery Media Group。  new window
4.Shover, L.(2012)。Trading Options in Turbulent Markets: Master Uncertainty through Active Volatility Management。New York:Bloomberg。  new window
5.Sincere, M.(2010)。All about market indicators。New York:The McGraw-Hill。  new window
6.Treadway, P. T.、Wong, M. C. S.(2013)。Investing in the Age of Sovereign Defaults: How to Preserve your Wealth in the Coming Crisis。New Jersey:Wiley。  new window
7.Turner, T.(2006)。Short-Term Trading in the New Stock Market。London:Macmillan。  new window
 
 
 
 
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