臺灣博碩士論文加值系統

美國芝加哥選擇權交易所(CBOE)於1993 年推出了以S&P 100 指數選擇權為
計算基礎的波動度指數(CBOE volatility index，簡稱VIX)，透過標準化的計算流
程，來提供投資人一個對於未來市場波動度估計的參考指標。隨著台指選擇權
(TXO)的蓬勃發展，本研究參考了CBOE 編制VIX 的方法，來編制台灣的波動
度指數，並以之來探討與台灣加權指數(TAIEX)之關聯。主要的實證結果如下：
1. 波動度指數變化率對同時期加權指數報酬，呈現顯著的負相關，且擁有非對
稱性的特點，當大盤指數為負報酬時，波動度指數變化率較為正報酬時大。
2. 波動度指數變化率對加權指數而言，並不是一個顯著的領先指標。
3. 當賣權的波動度指數(TVIX_P )為相對高點時，在未來短期加權指數將擁有正
報酬。

In 1993, the Chicago Board Options Exchange constructed the Market Volatility
Index (VIX) based on S&P100 index options implied volatilities. The VIX expresses
investors’ consensus view about expected future stock market volatility. This study
compares the method that CBOE introduced the VIX and use the TXO implied
volatility to construct the Taiwan Market Volatility Index (TVIX). We use the indices
to analysis the relationship between TXO implied volatility and TAIEX. The major
empirical results are presented as follows:
1. There is a strong negative relationship between contemporaneous changes in
TVIX and stock indices. It has asymmetric characteristic that the negative return
lead to larger changes in implied volatility increase.
2. TVIX is not a significant forward-looking indicator of future stock indices returns.
3. When the TVIX_P is higher than normal, the stock indices will have positive
return on a short term basis.

目錄
第一章　 緒論.............................................................................................................1
第一節　 研究背景及動機.....................................................................................1
第二節　 研究問題與目的.....................................................................................2
第三節　 研究流程.................................................................................................3
第二章 文獻探討.........................................................................................................4
第一節　 效率市場與行為財務..............................................................................4
第二節　 動量策略與反向策略.............................................................................5
第三節　 波動度指數.............................................................................................6
第四節　 小結.........................................................................................................8
第三章　 研究方法.....................................................................................................9
第一節　 建構台灣的波動度指數.........................................................................9
第二節　 研究內容...............................................................................................10
第三節　 研究設計............................................................................................... 11
(一) 　實證第一部份......................................................................................... 11
(二) 　實證第二部分.........................................................................................12
第四章　 實證結果與分析.......................................................................................18
第一節　 敘述統計與迴歸分析...........................................................................18
第二節　 一維市場狀態.......................................................................................26
第三節　 二維市場狀態.......................................................................................30
(一) 　當期指數表現.........................................................................................30
(二) 　未平倉量的多空指標.............................................................................34
(三) 　成交量的多空指標.................................................................................37
第五章　 結論...........................................................................................................41
參考文獻.....................................................................................................................43
圖目錄
【圖2-1】價值函數………………………………………………………………….5
【圖3-1】資料選取示意圖…………………………………………………………13
【圖3-2】定義市場狀態概念圖…………………………………………………….15
【圖3-3】狀態組合示意圖…………………………………………………………17
【圖4-1】台灣加權指數與波動度指數關連圖…..………………………………..19
【圖4-2】台灣加權指數與買權之波動度指數關連圖…………………………....20
【圖4-3】台灣加權指數與賣權之波動度指數關連圖……………………………20
【圖4-4】同時期的大盤指數一日報酬與TVIX 一日變動率散佈圖……………..21
【圖4-5】同時期的大盤指數五日報酬與TVIX 五日變動率散佈圖……………..22
表目錄
【表4-1】台灣加權指數日報酬與波動度指數之敘述統計量……..…………….18
【表4-2】一日TVIX 變動率對一日大盤指數報酬率迴歸結果…………………..23
【表4-3】五日TVIX 變動率對五日大盤指數報酬率迴歸結果………………….23
【表4-4】一日TVIX 變動率對一日正、負大盤指數報酬迴歸結果…………….24
【表4-5】未來一日大盤指數報酬率對當日TVIX 迴歸結果……………………..24
【表4-6】未來五日大盤指數報酬率對當日TVIX迴歸結果………………………25
【表4-7】未來一日大盤指數報酬率對當日TVIX變動率迴歸結果………………25
【表4-8】未來五日大盤指數報酬率對當日TVIX變動率迴歸結果………………26
【表4-9】波動度指數，且選取標準為1 個標準差之實證結果…………………27
【表4-10】波動度指數，且選取標準為1.25 個標準差之實證結果……………..29
【表4-11】以波動度指數與當期指數表現為分類指標之實證結果……………...31
【表4-12】以波動度指數與未平倉量多空指標為分類指標之實證結果.……….34
【表4-13】以波動度指數與成交量多空指標為分類指標之實證結果….……… 38

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