新冠疫情下VIX與股票市場之關係研究

A Study on the Relations between VIX and Taiwan Stock Market During the Covid-19 Pandemic

梁育宸(Yu-Chen Liang)

指導教授 ： 唐代彪

國立臺灣大學/社會科學院/國家發展研究所/碩士(2021年)

https://doi.org/10.6342/NTU202103394

摘要

本研究透過芝加哥交易所(CBOE)以及台灣經濟新報(TEJ)，選取新冠疫情於2020年1月全球爆發，至2021年5月台灣本土案例出現之日資料。本研究蒐集變數各340筆日資料作為研究樣本，包括加權指數、電子類股價指數以及金融保險類股價指數，探討其對於恐慌指數之反應，其中包括台指恐慌指數、CBOE恐慌指數以及富邦期恐慌指數，並利用QQ迴歸模型觀察不同恐慌指數對不同產業別之影響。透過模型可得以下結果：
第一，三個股價指數和台指VIX整體為負向關係。當股價指數在低分位量以及高分位量時，具有負向顯著的關係。然而股價在中位數時，卻有顯著的正向關係，且在台指VIX處於低分位及高分位時更為明顯，亦即恐慌指數的上升有推升股價的效果。
第二，三個股價指數和CBOE VIX整體為正向關係。當股價指數在低分位量以及高分位量時，具有顯著的正向關係。特別是股價在中位數時，擁有顯著的正向關係且較高的估計係數。
第三，加權指數和富邦期VIX的關係整題為負向，加權指數處於中位數時系數為正，但效果並不顯著。統計迴歸結果和台指VIX對加權指數的影響相似，在加權指數處於中位數時，與富邦期VIX有正向關係。
台指VIX對於台股來說具有避險的效果，尤其在股價報酬率暴漲暴跌更為有效。CBOE VIX對於台股來說避險效果較差，甚至沒有辦法避險。儘管富邦期VIX在股價漲跌幅較高時具有避險效果，但相較台指VIX避險效果較差。原因可能是富邦期VIX收費過高導致，VIX指數的漲跌福被較高的經理費、管理費等等費用抑制，導致避險效果較差。

關鍵字

新冠疫情 ； 恐慌指數 ； VIX ； QQ迴歸

並列摘要

This study uses the Chicago Stock Exchange (CBOE) and the Taiwan Economic News (TEJ) database to collect data from January 2020 to May 2021. This study collects 340 daily data for each variable as a sample, including TAIEX, electronic stock price indexes, financial and insurance stock price indexes, TWNVIX, CBOE VIX, and Fubon S P 500 VIX. This study perform QQ regression analysis to explore the impact of panic index on return of different industries. The following results can be obtained through the model:
First, there is negative relationship between stock price index and the Taiwan Index VIX. When the stock price index is in the low quantile and the high quantile, there is a significant negative relationship. However, when the stock price is in the median portion, there is a significant positive relationship, and it is more obvious when the TWNVIX is in the low and high quintiles.
Second, the overall relationship between stock price index and CBOE VIX is positive. When the stock price index is in the low quantile and the high quantile, there is a significant positive relationship. Especially when the stock price is at the median portion, it has a significant positive relationship and a higher estimated coefficient.
Third, the relationship between the TAIEX and the Fubon VIX is negative. When the weighted index is at the median, the coefficient is positive, but the effect is not significant. The statistical regression results are similar to the impact of the TWNVIX on the TAIEX. When the TAIEX is at the median portion, it has a positive relationship with the Fubon VIX.

並列關鍵字

Covid-19 ； panic index ； VIX ； QQ regression

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