全球隱含波動度指數之共動性

Spillover Effects of International Implied Volatility Indices

郭維裕(Wei-Yu Kuo)

《風險管理學報》 15卷1期 (2013/06) Pp. 31-56

摘要

本研究應用Diebold and Yilmaz（2009, 2012）的外溢指標（spillover index）分析全球七個股票市場之隱含波動度指數間的外溢效果，藉此探討國際股市間的共動性。實證結果顯示：隱含波動度指數間的外溢效果相當顯著，約佔整體變異程度的78%；換言之，各主要國際股市之間存在著相當密切的共動性。此外，由淨外溢效果可知，各波動度指數影響其他指數以及受到其他指數的影響程度不一。我們發現：美國與荷蘭兩個股市為主要的外溢效果輸出國，而瑞士與比利時兩股市則為主要的外溢效果流入國。我們亦發現：在不同的國際金融情勢發展下，各波動度指數間的共動性結構亦會產生變化。以德國為例，德國股市在前半段子樣本中，扮演著外溢效果輸出國的角色，但在後半段子樣本內，轉變成為外溢效果的接受者。最後，我們嘗試利用滾動視窗估計法（rolling window estimation）描述外溢指標的動態行為，結果發現外溢效果指標的確具備隨時間改變的動態特性，且顯示出全球股市間的波動度外溢效果起伏震盪相當劇烈。

關鍵字

隱含波動度指數 ； 共動性 ； 外溢指標

並列摘要

This paper applies the spillover index of Diebold and Yilmaz (2009, 2012) to investigate the volatility spillover effects among implied volatility indices of seven international stock markets. Our empirical results indicate that there exist significant spillover effects among implied volatility indices, namely, the spillover effect accounts for about 78% of the total variation among the sample indices. In other words, the co-movement among international implied volatility indices is evident. We also find that in terms of net spillover effect, the implied volatility indices of U.S. and Dutch stock markets have significantly positive spillover effect on the implied volatility indices of the other stock markets, while Swiss and Belgian stock markets two primary receivers of international volatility spillover effect. Moreover, based on the subsample robustness analysis, we find that the role as an exporter or an importer of spillover effects played by a certain country may actually change with the evolution of international financial markets. In particular, we find that German market was a spillover effect exporter during the first subsample whereas becoming a pure importer in the second subsample. Finally, we utilize the method of rolling window estimation to illustrate the dynamic behaviour of international volatility spillover effect. Indeed, the results reveal quite apparent dynamic behaviour of volatility spillover effects in international stock markets.

並列關鍵字

implied volatility indices ； co-movement ； spillover index

參考文獻

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