CBOE波動率偏斜指數對臺灣股價指數之影響

Impacts of the CBOE Skew Index on the Taiwan Stock Index

洪銘威(MING-WEI HUNG)

指導教授 ： 劉曦敏

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

股票市場價格的變動總是令投資人關注，但是股市崩盤的災難卻往往無預警的出現，因此本研究利用股票選擇權市場資訊領先的特性，以CBOE推出的波動率偏斜指數(Volatility Skew Index)來解釋台灣股價指數之變動與趨勢。

本研究使用之日資料期間為2010年1月1日至2015年12月31日，共計1430筆，在控制了臺股波動率或美股(S&P 500指數)波動率及匯率變數後，以自我迴歸之動態模型(Autoregressive Dynamic Models)來分析前期的偏斜指數變動率是否會影響當期的1日、5日、20日和60日的臺股指數報酬率，並設計了三類模型來詳細探討偏斜指數變動率如何影響臺股指數報酬率。實證結果顯示，前期的偏斜指數變動率會同向影響當期的臺股指數報酬率，且此關係在偏斜指數變動率為負值時更加顯著，即在其他情況不變下，臺股指數會隨著前期偏斜指數的下跌而下跌。此外，當臺股指數的報酬率天期越長時，模型的配適度越高。本研究亦發現，前期的美股波動率比台股波動率對當期的1日臺股指數報酬率的解釋力與預測力都較佳。

關鍵字

SKEW指數 ； VIX指數 ； 台灣加權股價指數 ； 芝加哥期權交易所

並列摘要

Investors pay lots of attention to variations of stock prices. However, stock markets crash from time to time without warning. This study thus tries to use the information-leading characteristic of stock option markets and adopt the volatility Skew Index proposed by the CBOE to explore the movements and trends of the Taiwan stock price index.

The daily data employed are from January 1, 2010 to December 31, 2015. After controlling volatilities of the Taiwan stock price index or the S&P 500 index and exchange rates, this study uses autoregressive dynamic models to investigate how lagged Skew Index movements would affect the current 1-day, 5-day, 20-day and 60-day Taiwan stock returns. Three kinds of models are designed to examine the effects of the Skew Index in details. The empirical results show that the lagged Skew index movements have positive impacts on the Taiwan stock returns, and these impacts become more significant when the previous Skew indices decrease. That is, the current Taiwan stock price indices would decrease if the previous Skew indices fall, other things being equal. In addition, the fitness of the models improves with the longer periods of stock returns. This study also finds that volatilities of the S&P 500 index perform better than volatilities of the Taiwan stock price index in explaining and forecasting 1-day Taiwan stock returns.

並列關鍵字

Skew Index ； Volatility Index ； CBOE ； TAIEX

參考文獻

Abdalla, Issam S.A. and V. Murinde (1997), “Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines,” Applied Financial Economics, 7(1), pp. 25-35.

Black, F. (1975), “Fact and Fantasy in the Use of Options,” Financial Analysts Journal, 31(4), pp. 36-41 and 61-72.

Black, F. and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities. Journal of Political Economy,” 81(3), pp. 637-654.

Fleming, J., B. Ostdiek and R. E Whaley (1996), “Trading costs and the relative rates of price discovery in stock, futures, and option markets,” The Journal of Futures Markets, 16(4), pp. 353.

Gemmill, G. (1996), “Did option traders anticipate the crash? Evidence from volatility smiles in the UK with US comparisons,” The Journal of Futures Markets, 16(8), pp. 881-897.