VIX對崩盤風險之避險功能分析

Hedging against Crash Risk -An Application of VIX Related Derivatives

陳唯帆(Wei-Fan Chen)

指導教授 ： 李存修

共同指導教授 ： 周雨田

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.2012.01405

摘要

CBOE所推出之VIX指數不僅具有高度描述市場風險資訊的能力，亦隱含波動風險與跳躍風險溢酬，換言之，無論是針對平時因正常漲跌而產生之波動風險，或是在股市恐慌時所造成之崩盤風險，VIX指數均是一項良好的避險工具。本文嘗試選取美國、韓國以及台灣各自所發展出之波動度指數作為避險工具，分析其對於波動風險以及崩盤風險之避險效果，藉以提供投資人從事風險管理時參考之依據。實證結果顯示波動度指數有不錯的避險效果，並具有迴避崩盤風險之特性。

關鍵字

VIX避險策略 ； 崩盤風險 ； 動態條件相關係數 ； 經濟價值 ； 風險報酬抵換法則

並列摘要

The Volatility Index (VIX) not only good at drawing the market risk information but also implies the volatility risk premium and jump risk premium. In the other words, volatility index is capable of hedging against either the volatility risk or market crash risk. We analyze the hedging effectiveness of VIX created by CBOE, KRX and TAIFEX and find that VIX is the best hedging tool against crash risk during the financial tsunami period.

並列關鍵字

VIX Portfolio Hedge ； Crash Risk ； DCC ； Economic Value ； Risk Return Tradeoff

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