波動度指數蔓延效果之研究─以次級房貸事件為例

A Study on the Contagion Effect of Volatility Index─ During the Subprime Mortgage Crisis

包心婷(Hsin-Ting Pao)

指導教授 ： 邱建良

共同指導教授 ： 李彥賢(Yen-Hsien Lee)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00306

摘要

本研究以2007年1月1日至 2009年12月31日的美國波動度指數VIX，及有編列波動度指數之國家(地區)：美國VIX、比利時、德國、荷蘭、日本、韓國、台灣、英國、歐洲為樣本，運用共整合檢定法，探討在美國次級房貸危機期間，各國波動度指數是否存在長期均衡關係；並運用雙變量GARCH模型來檢驗次級房貸事件期間各國波動度指數是否存在風險傳染蔓延效應與因果關係的檢定。
本研究結果發現，各國波動度指數存在領先落後關係，美國波動度指數相對各國波動度指數具有領先關係，長期亦存在均衡關係；其次，檢驗美國波動度指數與各國波動度指數相關性，在危機期間，美國波動度指數與比利時、德國、荷蘭、日本、韓國波動度指數之間相關係數有明顯增強，代表美國波動度指數與上述各國波動度指數相關性有提高，此結果顯示次級房貸危機存在風險傳染蔓延效應現象。

關鍵字

波動度指數 ； 雙變量GARCH模型 ； 蔓延效應 ； 次級房貸

並列摘要

This thesis utilized the co-integration test to investigate whether long-run equilibrium relationships between volatility index in U.S and the volatility indexes in other countries (such as Belgium, Germany, Netherlands (Holland), Japan, South Korea, Taiwan, the United Kingdom and Europe) from 2007 to 2009. We also used the Bivariate GARCH model to examine the contagion effect among the indexes during the subprime mortgage crisis, and employed the Granger Causality Test to examine the lead-lag relationship.
In term of lead-lag relationship, the results of this thesis showed VIX had leading the volatility indexes of other countries. Moreover, there are long-run equilibrium relationships between volatility index in U.S and the volatility indexes in other countries. Finally, the correlation coefficient between VIX and the volatility indexes of Belgium, Germany, Netherlands, Japan or South Korea were significant increased during the subprime crisis, which meant VIX has strong connection with the volatility indexes of the above countries and the contagion effect existed during the subprime mortgage crisis.

並列關鍵字

Volatility Index ； Bivariate GARCH ； Contagion Effect ； The Subprime Mortgage Crisis

參考文獻

13.Grambovas, C.A. (2003), Exchange Rate Volatility and Equity Markets, Eastern European Economics, 41, 24-48.

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