股市交易額與股市的隱含波動：VIX與VXN之實證

Trading Volumes of Stocks and Market Implied Volatilities: Evidence from VIX and VXN

高友笙(Yu-Sheng Kao) ； 古御呈(Yu-Cheng Ku) ； 俞明德(Min-Teh Yu)

《多國籍企業管理評論》 9卷1期 (2015/03) Pp. 63-89

https://doi.org/10.3966/199553922015030901003

摘要

本文的主旨在於運用門檻迴歸模型與GJR-GARCH的模式，探討在2007－2009年美國的次級房貸危機發生前後，美國股市中落遲的交易額因子對於股市的隱含波動指數是否存在有非對稱性的影響，或門檻效應；同時檢測隱含波動指數的條件變異數是否存在有波動不對稱性的現象。本文主要的實證發現為：採用門檻模型與GJR-GARCH的模式，發現在次貸危機發生前後，S&P 500指數及NASDAQ指數的交易額落遲因子，對VIX及VXN兩個隱含波動指數存在有顯著的門檻效應。該結果提供了顯著證據確認了之前學者們所提出的連續訊息到達假說（Sequential Information ArrivalHypothesis, SIAH）；同時，實證結果亦發現VIX及VXN兩個隱含波動指數的條件變異數，於次貸危機前後階段皆存在有波動不對稱性的現象。

關鍵字

交易額 ； 隱含波動指數 ； 門檻模型

並列摘要

This article investigated whether the threshold effects existed in the relations between the lagged trading volume factors in equity markets and the implied volatility indices, and whether the volatility asymmetric effects existed in the conditional variances of the implied volatility indices in the U.S. markets around the Subprime Mortgage Crisis during 2007-2009. The main empirical findings demonstrated that, with the application the threshold model with the GJR-GARCH process, there were significant threshold effects from the lagged trading volume factors in the indices of S&P 500 and NASDAQ to the implied volatility indices of VIX and VXN around the Subprime Mortgage Crisis, our empirical results provide strong evidence to confirm the sequential information arrival hypothesis (SIAH). Moreover, the volatility asymmetries existed in the conditional variances of VIX and VXN in both periods of pre- and during the Subprime Mortgage Crisis.

並列關鍵字

Trading Volume ； Implied Volatility Index ； Threshold Model ； GJR-GARCH

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