以VIX指數作為擇時指標-探討金磚五國股票市場

VIX as Market Timing Indicator- Empirical Evidence from BRICS Emerging Stock Markets

杜垂玲(Thuy-Linh Do)

指導教授 ： 李建興

共同指導教授 ： 張志雄(Chih-Hsiong 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.2014.00300

摘要

none

關鍵字

none

並列摘要

This thesis focuses on utilizing Volatility Index (VIX) of Chicago Board Options Exchange (CBOE) as an indicator of market timing in investing the emerging BRICS stock markets (Brazil, Russia, India, China and South Africa). The goals of this study are to strengthen the market timing ability of VIX index, construct investment opportunities that buy at the bottom, sell at the top of the market. Our data were obtained from CBOE and Taiwan Economic Journal (TEJ) database for the period of January 1990 to December 2013.
In this study, we considered the moving feature of stock index which is quick fall and slow rise and the deferred effect of stock indexes and VIX index in different stock markets. Vector auto regression (VAR) model was used to find the optimal time lag between BRICS stock indexes and VIX index. The empirical results revealed almost all of the investment opportunities got positive returns, suggested VIX can serve as a useful market timing indicator in emerging BRICS stock markets. We found VIX index has five major features: useful in market timing, powerful in getting stable and high profits, effective at reducing investment risk, international eligibility and convenient for getting data. It was concluded that our investment opportunities which utilized VIX index as market timing indicator can not only significantly reduce risk but also improve investing performance.

並列關鍵字

VIX ； market timing ； BRICS ； stock index

參考文獻

Aboura, S., Villa, C. (2003). International Market Volatility Indexes: A Study on VX1,VDAX, and VIX. Working paper. Paris Dauphine University and Audencia Nantes School of Management.

Ang, A., Hodrick, R., Xing, Y., Zhang, X.Y. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61 (2006), 259-299.

Baker, M., Stein, J. C. (2004).Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299.

Bekaert, G., Wu, G. (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies, 13(1), 1-42.

Black, F., Scholes, M. (1973).The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659.