本研究以台灣期貨交易所公布的波動率指數與台灣加權股價指數報酬進行實證研究,在日資料及日內資料下檢視兩者的短期動態變化關係,並提出投資人行為面的觀點解釋兩者關係,藉此描述出台灣金融市場投資人的心理,包含代表性捷思、情感捷思、外推現象與過度恐慌四個面向,研究中也比較台灣TVIX、TVXO與美國VIX、IV實證結果的異同。 實證結果發現,波動率指數與指數報酬有負向關係與不對稱現象,並證實槓桿假說不適用於解釋短期關係,而行為面的觀點可以合理解釋;短期間台灣投資人的確依據代表性捷思、情感捷思來做決策,並會以過去不同期間資料對波動率指數進行外推判斷;本研究由實證結果推測台灣TVIX、TVXO與美國VIX、IV不一致的實證結果可能是由於台指選擇權價平附近與價內外投資人心理層面的差異所造成;負向指數報酬對於波動率指數變化影響較正向報酬大,且隨著負向程度越大,敏感性越強,顯示投資人對於熊市過度恐慌的現象。
We use Taiwan volatility index data from TAIFEX and TAIEX index return data from TWSE at both the daily and intraday level to examine the short-term dynamic relation and propose the behavior of investors to explain their relation. Then we describe investors’ mentalities in Taiwanese financial market including representativeness heuristics, affect heuristics, extrapolation phenomenon, and additional fear of a crash. Also, the similarities and dissimilarities between empirical results of TVIX/TVXO and VIX/IV are discussed in the study. Empirical results show that there is a negative and asymmetric relation between Taiwan volatility index and index return and that leverage hypothesis is not reasonable to explain short-term relation. However, the behavioral explanation is consistent with our results. Furthermore, we prove that investors in Taiwan actually make decisions by representativeness heuristics and affect heuristics in truth, extrapolate the future volatility index by different period data, and think perhaps that the difference between empirical results of TVIX/TVXO and VIX/IV is because TAIEX index option investors’ mentalities are distinct between near the money and out of money/in the money. We also notice that negative index return has a larger effect on the change in Taiwan volatility index than positive one. In detail, the more the magnitude of negative index returns increases, the more the sensitivity of the change in Taiwan volatility index rises. This fact manifests that the additional fear of crash exists in investors’ mind.