隱含波動率價差與未來報酬之關係－以S&P 500指數為例

Implied Volatility Spread and Future Returns

李原豪(Yuan-Hao Lee)

指導教授 ： 王耀輝

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.01579

摘要

過去有許多研究在美國 CBOE 所編列 VIX 指數與股市表現之連動關係，試圖利用 VIX 的變化來預測未來股市之走勢，然而當 VIX 呈現高水準狀態時，投資人只能預測未來股市會有大幅波動的情況，但無法知其為往上或往下之趨勢，本文便利用隱含波動率價差 (Implied Volatility Spread) 之變化來預測未來股市走勢，以彌補 VIX 指數不足之處。其中隱含波動率價差為 S&P 500 指數選擇權市場中價平 (At-the-money) 買權與賣權(兩者具有相同到期日與執行價格)之隱含波動率差異，所採用之研究方法為迴歸分析法。首先，分析兩個與 VIX 指數有關之變數與 S&P 500 指數超額報酬之關係；二為分析隱含波動率價差與 S&P500 指數超額報酬之關係；然後，將上述所用之 VIX 相關變數加入第二階段迴歸分析；最後，再加入三個過去學者已證明可解釋超額報酬之變數。研究發現隱含波動率價差在未來兩個星期內能有效地預測未來股市走勢。

關鍵字

波動率指數 ； 指數選擇權 ； 隱含波動率 ； 預測

並列摘要

Lots of previous studies discussed about the relationships between volatility indices and future returns on stock markets. However, few researches directly utilized implied volatilities of index options to forecast future returns. Therefore, this study focuses on the relationship between implied volatilities of index options and the future returns. First, we investigate the relationship between the future returns on S&P 500 and current levels and innovations of squared VIX. Second, we estimate the relationship between the future returns and the implied volatility spread of at-the-money S&P 500 index call and put options. Third, we add the two VIX-related factors described above to the regression. Finally, we control for the three Fama and French and momentum factors. We find the implied volatility spread has a strong predictive ability to forecast future returns in two weeks.

並列關鍵字

VIX ； index options ； implied volatility ； prediction

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