- 學位論文
以VIX指數為擇時指標之探討–區分已開發與新興股票市場
VIX as Market Timing Indicator– Evidence from Developed markets and Emerging markets
摘要
本研究以CBOE推出之VIX指數作為擇時指標並建構最適買賣時點之投資策略，相對於其它文獻，主要增加考量股票市場具「急跌緩漲」之特性，並提出「再突破訊號」作為賣出訊號。樣本期間為1990年1月至2013年12月，以MSCI區分標準之9國已開發股票市場及7國新興股票市場為研究對象。實證結果發現，平均投資策略成功率達八成以上，已開發股票市場原始報酬率平均為22.15%，新興股票市場原始報酬率平均為44.96%。此外，若以傳統實證方式進行投資，其績效明顯較本研究建構之投資策略差，且最高相差達10%以上，可以證實本研究所建構之投資策略不僅考量較周延，亦能夠使投資人於股票市場中有效地獲取高額正報酬。
並列摘要
We select Volatility Index (VIX) of Chicago Board Options Exchange (CBOE) as a market timing indicator and attempt to establish an optimal investment strategy.Unlike other literature, we take the feature of stock markets “quick fall and slow rise” into consideration and build a “break out signal rule” for searching sell timings. The sample contains nine developed markets and seven emerging markets, which divided from MSCI, from January 1990 to December 2013.The empirical results reveal that the average of investment strategy success rate is over than 80%, the return on investment of emerging markets is 22.15% and developed markets’ is 44.96%. In addition, investing in stock market by using traditional strategy, the performance is worse than the strategy we build. Generally speaking, we prove that the strategy we build is not only comprehensive, but also effective for stock market investors to earn highier profits.