臺指選擇權隱含波動率指標對真實波動率與指數報酬的資訊內涵之研究

The Information Content of Implied Volatility Index for Realied Volatility and Index Return: Evidence from Taiwan Index Option Market

郭玟秀(Wen-Hsiu Kuo) ； 陳仁龍(Jen-Lung Chen) ； 邱永金(Yung-Chin Chiu)

《創新與管理》 7卷2期 (2010/05) Pp. 127-146

https://doi.org/10.30118/JIM.201005.0007

摘要

最近，台灣期貨交易所編製台指選擇權波動率指數高頻率日內資料庫，係依據芝加哥選擇權交易所(CBOE)研發之「波動率指數編製公式」所計算，針對台灣選擇權市場的交易活動，編製一套合適的波動率指數。本文將利用台灣期貨交易所編製的台指選擇權VIX及VXO日內資料庫，五分鐘、十五分鐘、三十分鐘之高頻率資料，探討台指選擇權波動率指數對於台股指數未來波動性及報酬率是否具有資訊內容。實證結果發現，相較於VXO，VIX最能有效解釋未來真實波動率且為正向關係；VIX及VXO的變動對股價指數報酬同期變動皆為顯著負相關，但不對稱關係不明顯；在研究波動率指數變動與未來股價報酬關係方面，則以VIX有較佳的解釋能力且亦呈現顯著負相關，支援波動率指數為反向操作指標之假說；同時發現，隨著計算期間的增加，所納入的資訊越多，波動率指數對於股價指數未來的波動性及同期報酬的解釋能力越佳。

關鍵字

隱含波動率 ； 波動率指數 ； 真實波動率 ； 指數選擇權 ； 資訊內容

並列摘要

Recently, the Taiwan Futures Exchange（TAIFEX）uses the volatility index model constructed by CBOE to set up the intraday volatility index database of Taiwan's option market. The purpose of this research is to use five-minute, fifteen-minute, and thirty-minute data of the VIX and VXO（that is the VIX of 1993）from TAIFEX database to examine information content of volatility indices for realied volatility and index return. The results indicate that the VIX has the best explanatory ability for the realied volatility, and there is a positive relationship between the realized volatility and VIX. Furthermore, there is a negative relationship between the changes in the stock index return and volatility indices, but the asymmetric effect is not very significant. The VIX not only has the best explanatory ability for forecasting the stock index return, but there is a negative relationship between the future stock index return. Meanwhile, we found that if the more term and information are considered, the explanatory ability of volatility indices for realized volatility and stock index return will increase.

並列關鍵字

Implied Volatility ； Volatility Index ； Realized Volatility ； Index Option ； Information Content