恐慌指數對股票市場指數之預測能力：台灣、美國、日本、中國、香港之比較

本文是由各國所編製之恐慌指數(VIX)、貨幣匯率、10年期國債值利率對該地區證券指數報酬率間之互動關係進行研究。研究以美、日、台、中、港5個特定地區為對象，統計期間自2013年12月最後交易日起，至2018年12月最後交易日止，共計5年期間。實證結果發現，美國地區VIX恐慌指數分佈多集中於平均值以下，且上漲變異情形較大；台、中、港間的恐慌指數之相關係數較高，與朱正修(2004)，國內股市與國際股市間存在某種程度的關聯性相符合。證券指數報酬與恐慌指數兩數列呈明顯負相關，經Granger因果檢定，證實美國地區恐慌指數對股票指數雙向皆未出現因果影響，日、台、中、港呈現極顯著恐慌指數先行影響股票指數因果關係。另以各區恐慌指數對證券指數報酬率之迴歸預測模型分析，樣本5地區除美國標普指數未顯著外，餘皆在百分之九十九信心水準下均呈現顯著異於零，迴歸係數皆負值，恐慌指數對股指報酬率之迴歸預測呈顯著影響，惟P值僅表示該變數為顯著異於零，只能解釋變數本身，並無係數大小差別；再由鄒氏檢定對迴歸模型進行比較，證實台灣地區之恐慌指數相較於美、日、中、港地區之恐慌指數，對指數報酬率之預測能力，較為明顯有效。

關鍵字

恐慌指數；波動率指數；預測

並列摘要

This paper is a study of the interaction between The investor fear index (VIX) compiled by countries, the currency exchange rate, and the 10-year Treasury value rate on the return rate of securities indices in the region. The study is conducted in five specific regions of the United States, Japan, Taiwan, China and Hong Kong. The statistical period starts from the last trading day in December 2013 and ends on the last trading day in December 2018, for a total of five years. The empirical results show that the distribution of VIX panic index in the United States is mostly below the average value, and the number of low-segment groups is more, indicating that the increase in the variation is larger, and the correlation coefficient of the panic index between Taiwan, China and Hong Kong is higher. Zhu Zhengxiu (2004), the domestic stock market and the international stock market have a certain degree of correlation. There is a significant negative correlation between the stock index and the panic index. After the Granger causality test, it is confirmed that the US VIX index has no causal effect on the stock index in both directions. Japan, Taiwan, China and Hong Kong have significant influence that VIX index affects the causal relationship of the stock index. In addition, based on the regression prediction model of the panic index of each region on the return rate of the securities index, the 5 regions of the sample Except for the US S&P index, which is not significant, others were significantly different from zero at 99% confidence level, and the regression coefficients were negative. However, it only indicates that the VIX index has a reverse effect on the regression of the stock index return rate prediction. The P value only indicates that the variable is significantly different from zero. It can only explain the variable itself, and there is no difference in coefficient size. Then the regression model is used to perform the Chow test. It is confirmed that the panic index in Taiwan is more effective than the panic index in the US, Japan, China and Hong Kong.