VIX對商品ETF報酬率及波動率的影響分析

Analysis on the Influence of VIX on Return Rate and Volatility of Commodity ETFs

周秀娟(Hsiu-Chuan Chou)

指導教授 ： 莊忠柱

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00976

摘要

近年來，商品ETF投資已經逐漸成為全球投資人資產配置的重點之一，而國內在近幾年也分別發行原油與黃金商品ETF，提供國內投資人更多樣化的投資商品選擇。本研究以2006年4月10日至2017年2 月28日間的全球最具規模及代表性的兩檔商品ETF(黃金ETF與原油ETF)為研究對象，藉著GARCH(1,1)模型探討VIX對商品ETF報酬率及波動率的影響。
研究結果顯示，VIX僅對原油ETF的報酬率是有顯著影響且係數估計值都為正，即 VIX變大，原油ETF報酬率也變大，而對黃金ETF的報酬率並無顯著影響。此外，發現VIX對兩檔商品ETF波動率都呈現顯著正向影響，即VIX愈大，兩檔商品ETF波動率也愈大。本研究的結果可作為利害相關人士的參考。

關鍵字

波動率 ； 商品ETF ； GARCH ； VIX

並列摘要

In recent years, commodity ETF investment has gradually become one of the focus of the asset allocation for the global investors. The domestic of crude oil and gold commodity ETF, provide domestic investors more diversified investment. The research period covers April 10, 2006 to February 28, 2017. The largest and representative two commodity ETFs (gold ETF and crude oil ETF) in NYSE was taken as the research object. A GARCH (1,1) model is used to investigate the effect of VIX on the return rate and volatility of commodity ETF.
The results show that VIX may only significantly affect the return rate of crude oil ETF and the coefficient estimates is positive, i.e., the VIX could increase the crude oil ETF return rate. However, the VIX doesn’t significantly affect the return on gold ETF. In addition, the VIX has a significantly positive impact on the volatility of the gold ETF and crude oil ETF, that is, the larger the VIX is, the greater the volatility of the gold ETF and crude oil ETF are. The results of this study can be used as a reference for stakeholders.

並列關鍵字

Volatility ； Commodity ETF ； GARCH ； VIX

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