TVIX指數與臺灣半導體股票股價關係之探討：以考量外資持股高低為例

The Relation Between The TVIX Index and The Stock Price of Taiwan Semiconductor : A Case Study of Considering The Level of Foreign Ownership

陳怡誠(I-Cheng Chen)

指導教授 ： 李建興

共同指導教授 ： 晏揚清(Yang-Cing Yan)

義守大學/管理學院/管理碩博士班/碩士(2014年)

https://doi.org/10.6343/ISU.2014.00376

摘要

本研究以臺灣公開上市之半導體企業股票為研究對象，以統計學的相關性分析探討臺指選擇權波動率指數(以下簡稱TVIX指數)與半導體產業股價指數的相關性關係。首先以各股票於各年度之外資持股比率高低，進行外資持股比率高低與臺指選擇權波動率指數的相關性分析，以探討不同外資持股比率的半導體企業股價指數的影響，是否會因外資持股比率高低而有所不同。其次，將研究期間內之臺指選擇權波動率指數區分為「0~20、21~30及31以上」三個不同水準，探討在不同的臺指選擇權波動率指數水準下，股價指數與臺指選擇權波動率指數的相關性程度是否有所差異。最後再進行高低外資持股比率與不同臺指選擇權波動率指數水準交叉分析。研究期間自2007年1月2日起至2012年12月28日止，經實證研究結果，得到下列結論：
一、在「高低外資持股比率之股價與臺指選擇權波動率指數相關性分析」中，研究發現外資持股比率的高低，對臺指選擇權波動率指數與股價的趨勢影響無顯著相關性。半導體產業股票指數在受臺指選擇權波動率指數影響的研究下，區分外資持股高低的因素並無發現有助於投資策略擬訂的研究結果。
二、在「不同水準之臺指選擇權波動率指數與股價之相關性分析」中，研究結果發現在臺指選擇權波動率指數低於20以下時，此臺指選擇權波動率指數與股價指數的相關性分析中，沒有顯著正向或負向影響關係，此部份研究結果與文獻有所差異。當臺指選擇權波動率指數在31以上時，隨著臺指選擇權波動率指數水準遞增，臺指選擇權波動率指數與股價指數的相關性越趨強烈，且顯著偏向負相關一方，此部份研究結果與文獻研究一致。
三、當臺指選擇權波動率指數在31以上時，市場上呈現恐慌狀態，當時之股價指數處於相對低點，可視為投資擇時進場的時機，亦印證投資名言「The Timing of Investment During The Crisis 危機入市」的理論。

關鍵字

相關性分析 ； 臺指選擇權波動率指數 ； 外資持股

並列摘要

This research adopts semiconductor industry’s stock publicly listed in Taiwan as the research object, with statistical correlation analysis, to discuss the correlation relationship between TVIX and semiconductor industry stock price index. First, with the level of foreign stockholding ratio of each stock in each year, it conducts the correlation analysis between the level of foreign stockholding ratio and TVIX to discuss whether the effect of semiconductor industry stock price index of different foreign stockholding ratio would differ due to the level of foreign stockholding ratio. Next, divide the TVIX during the research into “0-20, 21-30 and above 31” three different levels and discuss whether it has difference in degree of correlation between stock price index and TVIX under different levels of TVIX. Finally, then conduct the cross analysis of the level of foreign stockholding ratio and different TVIX. Research period is from January 2, 2007 to December 28, 2012. After empirical finding, obtain the following conclusions:
1.In the “Correlation analysis between the level of stock price of foreign stockholding ratio and TVIX”, the research shows that the level of foreign stockholding ratio has no significant correlation to the trend effect of TVIX and stock price. On the research which semiconductor industry stock price index is affected by TVIX, distinguishing the factor of level of foreign stockholding does not show a formulated result can contribute to the investment strategy.
2.In the “Correlation analysis between different levels of TVIX and stock price”, the research shows that when the TVIX is less than 20, the correlation analysis between this TVIX and stock price index has no significantly positive or negative influence relationship. This part of research result differs from the literature. When the TVIX is more than 31, with the level of TVIX increasing progressively, the correlation between TVIX and stock price index becomes more intense and significantly tends to negative correlation part. This part of research result is consistent with the literature study.
3.When the TVIX is more than 31, it presents a state of panic on the market, and the stock price index at that time is at a relatively low point. It can be regarded as an investment timing to get in and it also proves the theory of investment saying, “The Timing of Investment During The Crisis”.

並列關鍵字

statistical correlation analysis ； TVIX ； foreign stockholding ratio

參考文獻

一、中文部分

石馥瑄 (2006)。台指選權波動率與加權股價指數報酬率之關係。國立中興大學應用數學研究所碩士論文，台中市。

江木偉 (2004)。台指選擇權隱含波動率指標之資訊內涵-新編VIX指標之實證。國立台灣大學財務金融研究所碩士論文，台北市。

李佳玲 (2006)。台指選擇權波動度指標與景氣指標之關係性研究。國立中央大學企業管理學系碩士論文，桃園縣中壢市。

洪哲茗 (2008)。台指選擇權波動率指標不同編製方式比較及其資訊內涵。國立台灣大學國際企業研究所碩士論文，台北市。