臺灣博碩士論文加值系統

本文旨在探討美國總體經濟指標的宣告對VIX期貨市場的影響，分別使用2004年4月到2011年8月的日頻以及日內資料去做驗證。首先，利用事件研究法來看宣告前後的日交易量是否有差異；接下來，透過建構不同的迴歸模型來分析未預期的總體經濟宣告變動和日內報酬率之間的關係。結果發現許多總體經濟宣告和報酬率呈負向變動關係，而且在宣告後短時間內即反映訊息完畢，其中，非農就業指數宣告對VIX期貨市場最為具有影響力。本文更進一步實證宣告內容對於VIX期貨是否會有不對稱的影響，研究結果支持負面消息比起正面消息對VIX期貨的影響更大。另一方面，本文也發現買賣方發動失衡量 (order flow) 也和VIX期貨報酬有正向顯著影響。最後，在穩健性檢定本文多增加研究在不同景氣循環下，是否VIX期貨報酬對總體消息宣告有不一樣的影響，結果支持過去論文的發現，確實在不同景氣下，VIX期貨報酬對於某些總體消息宣告有不對稱的反應。

This paper examines the impact of macroeconomic announcements on the VIX futures market by using intraday and daily data from April 2004 to August 2011. We first construct an event study for the changes of daily volume surrounding the announcements, and then model the series of comprehensive regressions to investigate the relationship between macroeconomic surprises and intraday quote returns. We find that most macroeconomic announcements are significantly negative to VIX futures quote returns and fully reflect the information quickly; in particular, nonfarm payrolls have the largest impact. After further examining the asymmetric reaction to the content of news, our findings support evidence that a negative surprise has a stronger influence on the VIX futures market than a positive surprise. In terms of order flow, we also note it has a significantly positive influence on quote returns. Finally, we extend our model under the condition of the business cycle and also find an asymmetric impact on VIX futures, which corresponds to the existing literature.

論文審定書 ............................................................................................................. i
摘要 ....................................................................................................................... ii
ABSTRACT ........................................................................................................... iii
CONTENTS .......................................................................................................... iv
List of Tables .......................................................................................................... v
I. INTRODUCTION ............................................................................................... 1
II. LITERATURE REVIEW .................................................................................... 6
III. DATA DISCRIPTION ..................................................................................... 11
3.1 Macroeconomic announcements .................................................................. 11
3.2 VIX futures data ............................................................................................ 12
IV. METHODOLOGY .......................................................................................... 15
4.1 Event study for VIX futures volume and trade initiation ................................ 15
4.2 Modeling the response of VIX futures to macroeconomic news ................... 16
4.2.1 Individual regression of surprise and quote return .................................... 16
4.2.2 Regression of the aggregate of surprise and quote return ........................ 17
4.2.3 Regression of quote return change on surprise ........................................ 18
4.2.4 Regression of surprise and order flow effect on quote returns .................. 19
V. EMPIRICAL RESULTS ................................................................................... 21
5.1 Change of trading activity surrounding announcements .............................. 21
5.2 Response of VIX futures quote returns to macroeconomic announcement . 25
5.3 Impact of aggregate macroeconomic news on quote returns ...................... 25
5.4 Persistence of announcement surprises on quote returns ........................... 27
5.5 Effect of surprise and order flow on quote returns ....................................... 29
5.6 Robustness test ............................................................................................ 30
5.6.1 Extensions of data frequency .................................................................... 30
5.6.2 Conditioning on the business cycle ........................................................... 31
VI. CONCLUSION .............................................................................................. 34
REFERENCES .................................................................................................... 37

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