- 學位論文
VIX波動率指數與台灣股市電子類股及營建類股指數關聯之探討
Explore the VIX Index and the Taiwan stock market indices associated with the Electronic sector and Construction sector
摘要
投資人在股票市場中想要獲利，擇股與擇時為二項最重要的關鍵因素，其中又以擇時更加重要，但是在變幻莫測的股市中如何擇時進場才是最佳，是投資人最為困惑的。 本研究以芝加哥選擇權交易所(CBOE)所推出之VIX指數作為投資人情緒指標及擇時入市之參考，有別於過去文獻多以單一國家證券指數作為研究對象，本研究以台灣股票市場中電子類股價指數與營造類股價指數作為研究擇時進出場之分析對象，並考量VIX指數恐慌、樂觀遞延效果以及股市之急跌緩漲特性，提出以VIX高於30以及低於20後再次突破20時加以設計進出場之投資組合方案共49項。 本研究得出以VIX指標做為投資人情緒指標，對於台灣股市中營造類股價指數有較高之投資績效，可做為投資人往後投資之參考依據。
並列摘要
In order to gain profits in the stock market, choosing the right stocks and right timing are the two most important key factors, with timing more important than the choice of stocks. However, the investors are most confused regarding the timing in entering the ever-changing stock market. This study employs the VIX index, proposed by the Chicago Board Options Exchange (CBOE), as the sentiment indicator and the timing reference of entering the stock market. Different from the past literature, which looks into the single index in one country, this study analyzes the electronics-industry stock index and the construction-industry stock index as markers of buying and selling stocks. Also, considering the deferred effect of panic and optimistic of VIX and the “gradual-increase yet dramatic-decrease” features of the stock market, this study offers forty-nine investment proposals using either the strategies of VIX higher than 30 or VIX lower than 20, and then re-exceeding 20. This study indicates that investors using the VIX index as the sentiment indicator make higher profits and better performance in the construction-industry stock index in the Taiwan stock market, which can serve as further investment references in the future.