波動率指數期貨與標準普爾500指數成分股之流動性共變

Liquidity Commonality between VIX Futures and S&P500

林楷模(Kai-Mo Lin)

指導教授 ： 王耀輝

國立臺灣大學/管理學院/財務金融學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.10401

摘要

流動性對於股票市場、債券市場或其他金融市場的影響，皆扮演著重要的角色。近年來，由於全球受到金融海嘯影響，流動性共變現象變得更嚴重，對於投資人而言，所應承擔的風險程度增加了，這也就是為什麼流動性共變會越來越受到重視。在過去的相關文獻裡，皆顯示了流動性共變的存在的證據，因此足以證明流動性共變的重要性。

本研究沿用Chordia, Roll, and Subrahmanyam(2000)的研究方法，採用西元2006年3月至2010年4月之間的樣本資料，檢測標準普爾500指數(S&P 500)的成份股與芝加哥期權交易所波動率指數期貨(VIX futures)是否存在市場流動性共變、規模效應與產業流動性共變。此外，也針對了不同的市場報酬以及高低波動性對樣本資料做分組，檢視在不同市場狀態底下，標準普爾500指數與波動率指數是否存在流動性共變。最後，本研究欲探討金融危機對於流動性共變的影響，觀察西元2008年金融海嘯前後標準普爾500指數的成份股與芝加哥期權交易所波動率指數期貨的流動性共變現象是否受到劇烈的衝擊與影響。

研究結果顯示，波動率指數(VIX)與標準普爾500指數(S&P500)存在顯著的市場流動性共變。而規模大小的不同，對於波動率指數(VIX)與標準普爾500指數(S&P500)流動性共變的影響存在些許差異；但從產業別效果來看則較不顯著。本研究尚發現當處於不同市場狀態底下，對於波動率指數(VIX)與標準普爾500指數(S&P500)的流動性共變，會因為市場狀態的不同而有些許差異。此外，波動率指數(VIX)與標準普爾500指數(S&P500)之間的流動性共變關係會因為波動性漲跌的不同而有所影響。最後，本研究指出金融海嘯對於波動率指數(VIX)與標準普爾500指數(S&P500) 有相當的顯著的影響及衝擊。

關鍵字

流動性 ； 流動性共變 ； 波動率指數 ； 規模效果 ； 產業效果

並列摘要

Liquidity always plays an important role in stock, bond, or other finance markets. Recently, the liquidity commonality becomes more and more serious because the financial tsunami has a severe impact on global economy. To all investors, they have to take much more risk than before, thus, the importance of examining liquidity commonality has been noticed by both academic and practical fields. According to the past literature, it has proved that there are some obvious evidences on the existence and emphasis of liquidity commonality.

Chordia, Roll, and Subrahmanyam(2000) were the first to bring up the concept of liquidity commonality. The study chooses sample data from 2006 to 2009 following the research method of Chordia, Roll, and Subrahmanyam(2000). The main purpose is to detect if there is some influence on market liquidity commonality, size effect, and industry effect between S&P 500 and VIX futures. Besides that, the study also examines if there is liquidity commonality between S&P 500 and VIX futures under different market return and volatility circumstances. At last, the study discusses about the impact on liquidity commonality by financial crisis, taking the financial tsunami in 2008 for an example to observe the liquidity commonality between S&P 500 and VIX futures.

Our empirical results show that it has significant liquidity commonality between S&P 500 and VIX futures. There are some different impacts on liquidity commonality between S&P 500 and VIX futures from different market size, but it is not obvious from different industries. Furthermore, the study finds out when in different market return and volatility situations, the liquidity commonality between S&P 500 and VIX futures does exist. At the end of the study, it indicates the financial tsunami has very severe impact on liquidity commonality between S&P 500 and VIX futures.

並列關鍵字

Liquidity ； Liquidity Commonality ； VIX ； Size Effect ； Industry Effect

參考文獻

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