臺灣博碩士論文加值系統

波動率指數－VXO指數和VIX指數，是由芝加哥選擇權交易所(CBOE)在1993年和2003年先後所推出。而台灣期貨交易所在獲得CBOE授權後，亦於近期公佈台灣選擇權市場的波動率指數－VIX指數和VXO指數，以提供給投資人參考使用。本論文在考量波動率指數具有均數復歸的特性，擬定選擇權和期貨的相關交易策略進行分析，希望在使用台灣期貨交易所編製的波動率指數，可以提供給投資人一個做為進場時機的交易指標。實證結果發現：1.波動率指數與台灣加權指數呈現顯著的負向關係。2.在加入交易成本後，所進行的各項模擬交易中，皆不存在顯著的超額報酬。3.在波動率指數的擇時能力上，在設定交易條件之後，部分的交易策略可提升其夏普指標(Sharpe ratio)，可提供給投資人在進行交易時，一個參考的交易訊號。

The Volatility Index-VXO and VIX are constructed by Chicago Board Options Exchange (CBOE) in 1993 and 2003 successively. After being given authorization from CBOE, Taiwan Futures Exchange (TAIEX) started constructing the Volatility Index (VIX and VXO) in Taiwan option market which provides the references for market investors. Based on the characteristic of mean-reverting of the Volatility Index, the present study analyzed the trading strategies that are concerned with futures and options. It is hoped that the Volatility Index that has been constructed by Taiwan Futures Exchange could provide investors with some information, such as when to buy or sell in option market and futures market.The results of this study are as follow:
1. Significantly negative correlations were found between Taiwan stock index and Volatility Index.
2. After the transaction cost was calculated, the significant abnormal return was not found in all simulated trading strategies.
3. As regard to the timing ability of Volatility Index, parts of trading strategies can increase the Sharpe Index after the trading conditions were set which can provide inventors with a reference when they are trading.

第一章　緒論　1
　第一節 研究背景與動機　1
　　1、研究背景　1
　　2、研究動機　2
　第二節 研究目的與章節架構　4
　　1、研究目的　4
　　2、章節架構　5
第二章　文獻回顧　6
　第一節 波動率模型參考文獻　6
　　1、隱含波動率模型　6
　　2、GARCH模型　9
　　3、波動率指數　11
　第二節 交易策略參考文獻　14
第三章　研究方法　16
　第一節 波動率指數敘述　16
　　1、VXO指數之編製方法說明　16
　　2、VIX指數之編製方法說明　19
　第二節 交易策略敘述　26
　　1、交易設計說明　26
　　2、報酬率計算方式　27
　　3、交易績效指標　28
第四章　實證結果與分析　29
　第一節 資料來源與樣本敘述　29
　　1、資料來源　29
　　2、樣本資料之敘述統計　29
　第二節 波動率指數與加權指數之關聯性　32
　　1、樣本選擇與分類　32
　　2、單根檢定　33
　　3、波動率指數與加權指數的迴歸與均數復歸分析　35
　第三節 VIX指數和VXO指數的交易策略分析　38
　　1、日內波動率指數特性之模擬交易　38
　　2、反向指標之模擬交易　46
　　3、漲跌趨勢之模擬交易　54
　　4、短期動能策略之模擬交易　59
　　5、波動率指數相對水準之模擬交易　68
第五章　結論與建議　76
　第一節 結論　76
　第二節 建議　78
參考文獻　79
　　1、中文部分　79
　　2、西文部分　80

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