以VIX指數作為擇時指標-探討七大工業國股票市場

VIX as Market Timing Indicator-Empirical Evidence from G-7 Stock Markets

佟劭文(Shao-Wen Tong)

指導教授 ： 李建興

共同指導教授 ： 張志雄(Chih-Hsiung Chang)

義守大學/管理學院/財務金融學系/碩士(2014年)

https://doi.org/10.6343/ISU.2014.00235

摘要

本研究探討投資人如何透過有效的擇時，使投資可以穩定獲利與降低損失風險；本文以芝加哥選擇權交易所(CBOE)所編製之VIX指數作為投資七大工業國(G-7)股票市場之擇時指標規劃投資策略。
根據本研究之實證結果，透過VIX指數的變化可準確掌握投資買進與賣出之時機，當VIX指數上升並突破30之時，股票市場進入恐慌狀態，G-7大盤股價指數皆發生下跌現象，投資人選擇此時投資買進便可以買在股價指數之相對低點；當股票市場脫離恐慌狀態時，投資人需考量股票市場急跌緩漲之現象，於VIX指數跌破20後再突破20之時賣出，即可賣在相對的高點，將可以有效提升投資獲利，本研究認為VIX指數確實具備有效擇時、穩定獲利、國際通用與資訊便利等四大特性，投資人可將VIX指數作為投資G-7股票市場之擇時指標。

關鍵字

投資 ； VIX指數 ； 擇時指標 ； 七大工業國股票市場 ； 急跌緩漲

並列摘要

During investing stock markets, investors always try to find out an effective way of timing that can not only get the stable and high profits but also reduce investment risk. In this thesis, we use Chicago Board Options Exchange (CBOE) Volatility index (VIX) as market timing indicator to invest G-7 stock markets. In addition, we also designed investment opportunities that provide investors extremely high stock returns.
According to our research empirical results, the successful rates of our investment opportunities are really high. While VIX index above 30, stock markets are in high level of panic, stock indexes drop quickly. It is an optimal timing to buy stocks, which investors can buy stocks at low price. We also consider the feature of the stock index which is quick fall and slow rise, definite “break-out” signal (VIX index below 20 till VIX index bounce to 20). Investors who sell stock at break-out signal can sell at high price.There are four major features of VIX index: effective timing, provide high returns, international usage and collect data easily. Investors can use VIX index as market timing indicator to invest G-7 stock markets.

並列關鍵字

investing ； VIX ； market timing indicator ； G-7 stock markets ； quick fall and slow

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