臺灣博碩士論文加值系統

本研究探討隱含波動率之總外溢指標是否對於股市有影響能力。採用Diebold and Yilmaz (2012) 所出之Generalized Forecast Error Variance (GVDC) 方法，輔以建構股市 (VIX) 、黃金 (GVZ) 與匯率 (EVZ) 隱含波動率之外溢矩陣 (Volatility Spillover Matrices, VSP)，以及總外溢指標 (Total Spillovers Index, TVSP)。因總外溢指標係由隱含波動率所構成，故研究假說：總外溢指標可視為恐慌情緒外溢指標，該指標愈高，表示投資人情緒愈恐慌，股票報酬愈低；基於此假說，本研究透過向量自我迴歸模型 (VAR Model)，將總外溢指標與美歐股價指數報酬進行分析。實證發現總外溢指標皆與美國 (S&P500) 、歐洲 (STOXX50) 股價指數報酬間存在著負向顯著關係，由此可斷定研究假說成立。此意涵當今商品間相互影響程度高，單一隱含波動率已無法提供足夠預測能力，因此該指標的建立確有其貢獻。

This paper examines the impact of the spillover index for volatility indices on stock returns. Specifically, this paper constructs the spillover Matrices by using the data of the S&P 500 (VIX), gold volatility index (GVZ), and exchange rate volatility index (EVZ). We estimate the directional spillover index and total spillover index based on Diebold and Yilmaz’s (2012) forecast-error variance decompositions in a generalized vector autoregressive framework.
The empirical results show that while the volatility indices for S&P 500, gold, and exchange rate have no significant effects on subsequent U.S. and EURO stock returns, the spillover index of volatility indices has a significant impact on subsequent the U.S. and EURO stock returns. This finding implies that the spillover index of volatility indices contains more information on market returns than the individual volatility index. Our empirical results provide useful information for policy makers, investors, and risk managers.

目錄
摘要 I
目錄 III
表目錄 IV
圖目錄 V
第壹章 緒論 1
第貳章 文獻回顧 4
第一節 隱含波動率 4
第二節 外溢效果的估計 6
第三節 股市、黃金與匯率間之外溢效果 8
第四節 股市、黃金與匯率間之關聯性 12
第五節 文獻評論 14
第参章 研究方法 15
第一節 資料介紹 15
第二節 資料來源 17
第三節 因果關係檢定 18
第四節 H-P濾波 21
第五節 外溢效果衡量 22
第肆章 實證分析 25
第一節 外溢效果指數 25
第二節 隱含波動率資訊內涵之驗證 34
第三節 總外溢指標資訊內涵之驗證 37
第伍章 結論 41
參考文獻 43

 
表目錄
表4.1 三隱含波動率與美歐股價指數報酬之敘述統計量 25
表4.2 SP之外溢矩陣 27
表4.3 VSP之外溢矩陣 27
表4.4 VSP影響至其他變數之方向外溢效果敘述統計量 30
表4.5 VSP受其他變數影響之方向外溢效果敘述統計量 30
表4.6隱含波動率樣本外因果關係 32
表4.7 VSP之淨外溢效果敘述統計量 32
表4.8 VIX與S&P500報酬之因果關係檢定 34
表4.9 GVZ與S&P500報酬之因果關係檢定 35
表4.10 EVZ與S&P500報酬之因果關係檢定 35
表4.11 VIX與STOXX50報酬之因果關係檢定 35
表4.12 GVZ與STOXX50報酬之因果關係檢定 36
表4.13 EVZ與STOXX50報酬之因果關係檢定 36
表4.14 TVSP與S&P500報酬之向量自我迴歸 38
表4.15 TVSP與STOXX50報酬之向量自我迴歸 38
表4.16 TVSP與S&P500、STOXX50報酬之向量自我迴歸 39
表4.17 TVSP與S&P500報酬之因果關係檢定 40
表4.18 TVSP與STOXX50報酬之因果關係檢定 40
表4.19 TVSP與S&P500、STOXX50報酬之因果關係檢定 40

 
圖目錄
圖4.1 VSP影響至其他變數之方向外溢效果 28
圖4.2 VSP受其他變數影響之方向外溢效果 29
圖4.3 VSP之淨外溢效果 31
圖4.4 總外溢指標 (TVSP) 33
圖4.5隱含波動率各期數值變化 33

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