- 學位論文
TVIX與各國指數連動性之實證研究
An Empirical Analysis on the Co-Movement of TVIX and Various Countries’ Indices
摘要
本研究以誤差修正模型探討台指選擇權波動率(TVIX)、NASDAQ Index、南韓綜合指數與上海B股指數四者間，是否具備領導從屬現象，當確定指數間有此關係，則輔以簡單迴歸分析探討相關指數的預測能力。 研究結果指出TVIX與NASDAQ無共整合，TVIX、南韓綜合與上海B股三者具共整合關係，在此前提下，以誤差修正模型測度，發現偏離均衡時修正速度最快依序為TVIX、上海B股、南韓綜合，進而驗證南韓綜合在長期為領導者，TVIX與上海B股為跟隨者。 在確定領導從屬關係後，預測結果方面確認南韓綜合對於TVIX與上海B股的預測是顯著且解釋力高。 由以上歸納小結為，在金融風暴後台灣與美國的股市緊密度降低，因為區域經濟整合造就台灣、韓國與中國的股市連動性提高。
並列摘要
In this study, use the error correction model to explore the relationship among the Taiwan Volatility Index (TVIX), the NASDAQ Index, the KOSPI and the SSE B-share index, about whether there is the leader-follower phenomenon. If there is the relationship among these indices, simple regression analysis will be able to investigate the predictive ability of the indices. The study concluded that there is no co-integration relationship between TVIX and NASDAQ index, but there is co-integration among TVIX, KOSPI and SSE B-share index. Under this premise, by using the error correction model, found that about the speed of correction from deviation to the equilibrium among these indices, TVIX is the fastest one, SSE B-share index is medium and KOSPI is the slowest one. Furthermore, conclude that KOSPI is the leadership in the long run, TVIX and SSE B-share index are followers. After determining the leadership among these indices, the predicted results confirm that KOSPI can definitely predict and explain about TVIX and SSE B-share index. Conclusion from above analysis is that the stock market’s relationship becomes lower and lower between Taiwan and the U.S. after the financial crisis, but the stock market link among Taiwan, Korea and China improve because of regional economic integration.